# EDGAR Filing Document

**Accession Number:** 0000356476
**File Stem:** 0001145549-23-010238
**Filing Date:** 2023-2
**Character Count:** 503563
**Document Hash:** a94f815b41493e484962d7dea2e8d954
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-010238.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-010238

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EMPOWER FUNDS, INC.
- **CENTRAL INDEX KEY:** 0000356476
- **IRS NUMBER:** 840876044
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03364
- **FILM NUMBER:** 23670659

**BUSINESS ADDRESS:**
- **STREET 1:** 8515 E ORCHARD ROAD
- **CITY:** GREENWOOD VILLAGE
- **STATE:** CO
- **ZIP:** 80111
- **BUSINESS PHONE:** 303-737-3000

**MAIL ADDRESS:**
- **STREET 1:** 8515 E ORCHARD ROAD
- **CITY:** GREENWOOD VILLAGE
- **STATE:** CO
- **ZIP:** 80111

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GREAT-WEST FUNDS INC
- **DATE OF NAME CHANGE:** 20121005

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAXIM SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Empower Core Bond Fund (Series ID: S000023755)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000069832 | Investor Class      | MXFDX           |
| C000155781 | Institutional Class | MXIUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EMPOWER FUNDS, INC.

- **b. Investment Company Act file number:** 811-03364

- **c. CIK number of Registrant:** 0000356476

- **d. LEI of Registrant:** RUYOMHMDMSPQ01U66388

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

  - **Street Address 1:** 8515 E Orchard Road

  - **City:** Greenwood Village

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80111

  - **Telephone number:** 866-831-7129

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

- **a. Name of Series:** Empower Core Bond Fund

- **b. EDGAR series identifier (if any):** S000023755

- **c. LEI of Series:** YYRPT0RYF3AOXJJQS039

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $529794454.63

**Total Liabilities:** $89842343.64

**Net Assets:** $439952110.99

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 148.576133201927 | **1-Year:** 7102.749792573351 | **5-Year:** 49334.025834584321 | **10-Year:** 76888.083056605037 | **30-Year:** 59603.247455246470

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

- **3-Month:** 7.445841957762 | **1-Year:** 183.129471385823 | **5-Year:** 329.965951862835 | **10-Year:** 231.116758495429 | **30-Year:** 276.794104608388

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000069832 | -1.31%               | 4.09%                | -0.85%               |
| Class ID C000155781 | -1.33%               | 4.05%                | -0.66%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-26004454.14            | $649661.90                                 |
| Month 2  | $-23946525.15            | $14391228.13                               |
| Month 3  | $-23877821.03            | $-4404675.30                               |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** YYRPT0RYF3AOXJJQS039

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Dreyfus Institutional Preffered Money Market Funds                                   | Dreyfus Institutional Preffered Money Market Funds PFD GOVT PLUS SL | CUSIP: 26200T885<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    749000 | PA      | $749000.00    | 0.17%             | 2023-01-02      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA INC REPO.                                                        | HSBC SECURITIES USA INC REPO. SLRPA 4.250% 01/03/2023               | CUSIP: 744900199<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | RA               | CORP              | US        |   3337203 | PA      | $3337203.00   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES INC REPO.                                                            | BOFA SECURITIES INC REPO. SLRPA 4.250% 01/03/2023                   | CUSIP: 744900201<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |   3261667 | PA      | $3261667.00   | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA REPO                                                                     | CITIBANK NA REPO SLRPA 4.250% 01/03/2023                            | CUSIP: 744900195<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | RA               | CORP              | US        |   3337203 | PA      | $3337203.00   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES LLC REPO                                                        | JP MORGAN SECURITIES LLC REPO SLRPA 4.260% 01/03/2023               | CUSIP: 744900200<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |   3337203 | PA      | $3337203.00   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV EUR6M PAY 1.45 08/10/2042                                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $34409.36     | 0.01%             | 2042-08-10      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | RCV 2.50 PAY EUR6M 12/20/2032                                       | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DIR              |  | US        |         0 | OU      | $-15877.02    | -0.00%            | 2032-12-20      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV EUR6M PAY 2.35 07/04/2029                                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $5801.48      | 0.00%             | 2029-07-04      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV 4.50 PAY BBSW6 03/15/2033                                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              |  | US        |     46016 | OU      | $-8933.06     | -0.00%            | 2033-03-15      | Floating      | 12.29%                | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV 1.05 PAY EUR6M 08/11/2047                                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $-12230.75    | -0.00%            | 2047-08-11      | Floating      | 0.74%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV 2.86 PAY EUR6M 07/04/2037                                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $-8203.05     | -0.00%            | 2037-07-04      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV 2.15 PAY EUR6M 08/09/2037                                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $-21401.27    | -0.00%            | 2037-08-09      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK NA                                                              | RCV 1.00 PAY 100.00 12/20/2024                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | Long             | DCR              |  | US        |         0 | OU      | $-10386.86    | -0.00%            | 2024-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CSL GROUP INC                                                                        | RCV 3.75 PAY SOFR  03/15/2033                                       | CUSIP: N/A<br>LEI: 549300S4GZVV5GW3VH47       | Long             | DIR              |  | US        |     35411 | OU      | $20647.84     | 0.00%             | 2033-03-15      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | RCV EUR6M PAY 2.50 12/20/2037                                       | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DIR              |  | US        |       185 | OU      | $11683.00     | 0.00%             | 2037-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV EUR6M PAY 1.56 07/06/2052                                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $4268.88      | 0.00%             | 2052-07-06      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | RCV 4.00 PAY CACPI 03/15/2025                                       | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DIR              | CORP              | N/A       |      2159 | OU      | $-14878.55    | -0.00%            | 2025-03-15      | Floating      | 152.60%               | No            |                  2 | On Loan: No      |
| CITIBANK N.A. NEW YORK                                                               | RCV SOFR  PAY 2.57 06/04/2031                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | Long             | DIR              |  | N/A       |         0 | OU      | $30736.53     | 0.01%             | 2031-06-04      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIBANK N.A. NEW YORK                                                               | RCV 2.73 PAY SOFR  06/04/2033                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | Long             | DIR              |  | N/A       |         0 | OU      | $-17405.90    | -0.00%            | 2033-06-04      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | RCV JNCPI PAY 0.25 03/15/2028                                       | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DIR              | CORP              | N/A       |     26264 | OU      | $94538.52     | 0.02%             | 2028-03-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | RCV BBSW6 PAY 4.00 03/15/2025                                       | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $12361.54     | 0.00%             | 2025-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | RCV 2.72 PAY SOFR  08/11/2037                                       | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DIR              |  | US        |         0 | OU      | $-79407.93    | -0.02%            | 2037-08-11      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                  | RCV SOFR  PAY 2.17 08/11/2052                                       | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DIR              |  | US        |     17734 | OU      | $59285.63     | 0.01%             | 2052-08-11      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | RCV CACPI PAY 3.50 03/15/2033                                       | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $10292.71     | 0.00%             | 2033-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | RCV 3.50 PAY SONIO 03/15/2028                                       | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $-19916.95    | -0.00%            | 2028-03-15      | Floating      | 0.89%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | RCV 4.43 PAY SOFR  12/31/2024                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | Long             | DIR              |  | US        |      3880 | OU      | $89.04        | 0.00%             | 2024-12-31      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | RCV EUR6M PAY 3.00 03/15/2033                                       | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $7878.66      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | RCV MUTK  PAY 0.50 03/15/2033                                       | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DIR              |  | US        |     23072 | OU      | $32582.79     | 0.01%             | 2033-03-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK N.A. NEW YORK                                                               | RCV 2.50 PAY SOFR  06/04/2029                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | Long             | DIR              |  | N/A       |         0 | OU      | $-12742.54    | -0.00%            | 2029-06-04      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | RCV NWBST PAY 3.50 03/15/2028                                       | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DIR              | CORP              | N/A       |         0 | OU      | $-13131.03    | -0.00%            | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                  | RCV 4.39 PAY SOFR  09/30/2024                                       | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DIR              |  | US        |       952 | OU      | $-11236.68    | -0.00%            | 2024-09-30      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV NWBST PAY 3.50 03/15/2033                                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              |  | US        |         0 | OU      | $-19251.31    | -0.00%            | 2033-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK NA                                                              | RCV 1.00 PAY 100.00 06/20/2024                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | Long             | DCR              |  | US        |         0 | OU      | $-17493.97    | -0.00%            | 2024-06-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                                       | CUSIP: 00002FVH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -24 | NC      | $3671.09      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                                       | CUSIP: 00002FVH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -18 | NC      | $19677.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EUROBUND FUTURES                                                    | CUSIP: 00002RXH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DE               | CORP              | US        |        -2 | NC      | $20167.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                                       | CUSIP: 00002FVH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -19 | NC      | $24281.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                                       | CUSIP: 00002FVH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -52 | NC      | $37734.37     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                                       | CUSIP: 00002FVH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |        30 | NC      | $-3047.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE ULTRA 10Y                                                 | CUSIP: 0002UXYH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -98 | NC      | $113144.77    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE ULTRA 10Y                                                 | CUSIP: 0002UXYH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -56 | NC      | $36899.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | Euro-Bobl Futures,Mar-2023,Composite                                | CUSIP: 00002OEH3<br>LEI: 529900UT4DG0LG5R9O07 | Short            | DCO              | CORP              | DE        |        -1 | NC      | $3917.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 2YR                                                       | CUSIP: 00002TUH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |        87 | NC      | $-23085.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND 30YR                                                      | CUSIP: 00002USH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |        -5 | NC      | $20375.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND 30YR                                                      | CUSIP: 00002USH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -94 | NC      | $-1646.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 10YR                                                      | CUSIP: 00002TYH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -15 | NC      | $23605.32     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 10YR                                                      | CUSIP: 00002TYH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -24 | NC      | $7558.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND ULTRA                                                     | CUSIP: 00002WNH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -75 | NC      | $-722577.54   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND 30YR                                                      | CUSIP: 00002USH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |       -87 | NC      | $152924.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8200000 | NS      | $7194427.93   | 1.64%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022-3                                  | ACAR 2022-3 B                                                       | CUSIP: 02528GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25000 | NS      | $24506.93     | 0.01%             | 2026-10-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| COLT 2021-HX1 MORTGAGE LOAN TRUST                                                    | COLT 2021-HX1 A1                                                    | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546547 | NS      | $436044.54    | 0.10%             | 2066-10-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D 3.071 08/15/24                                                    | CUSIP: 25746UDB2<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    195000 | NS      | $187897.57    | 0.04%             | 2024-08-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                     | DUK 2.55 06/15/31                                                   | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    507000 | NS      | $413108.85    | 0.09%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 4.8 02/01/49                                                    | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    120000 | NS      | $102254.00    | 0.02%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI5097                                                           | CUSIP: 3131WHUW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     15450 | NS      | $15967.78     | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI6453                                                           | CUSIP: 3131WKE22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14127 | NS      | $14405.37     | 0.00%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ6999                                                           | CUSIP: 3140KSX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1434076 | NS      | $1170517.85   | 0.27%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BV9699                                                           | CUSIP: 3140MPX55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2964408 | NS      | $2414104.43   | 0.55%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA4864                                                           | CUSIP: 3140QCMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892795 | NS      | $789535.56    | 0.18%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4547                                                           | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2063556 | NS      | $1681450.10   | 0.38%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust A                                           | FORDF 2018-2 A                                                      | CUSIP: 34528QGD0<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    700000 | NS      | $697113.62    | 0.16%             | 2025-03-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GE Healthcare Holding LLC                                                            | GEHC 5.905 11/22/32 144A                                            | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    120000 | NS      | $124343.79    | 0.03%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: —       |
| Glencore Funding LLC                                                                 | GLENLN 2.625 09/23/31 144A                                          | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    425000 | NS      | $338558.27    | 0.08%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V1.589 05/24/27                                                | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    655000 | NS      | $564748.51    | 0.13%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| HARRIMAN PARK CLO LTD                                                                | HRPK 2020-1A A1R                                                    | CUSIP: 413717AN9<br>LEI: 549300BI9STOGTECXV18 | Long             | ABS-CBDO         | CORP              | KY        |   1690000 | NS      | $1655503.72   | 0.38%             | 2034-04-20      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2022-NQM2                                               | IMPRL 2022-NQM2 A1                                                  | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    604046 | NS      | $548408.45    | 0.12%             | 2067-03-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.739 10/15/30                                                 | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    185000 | NS      | $155143.97    | 0.04%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.586 04/26/33                                                 | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    537000 | NS      | $497134.80    | 0.11%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 4.25 04/01/52                                                   | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    400000 | NS      | $317121.24    | 0.07%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                             | NEUB 2015-20A ARR                                                   | CUSIP: 64130TBA2<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |    680000 | NS      | $662290.76    | 0.15%             | 2034-07-17      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-NQM1                                        | NRZT 2019-NQM4 A1                                                   | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25913 | NS      | $23345.23     | 0.01%             | 2059-09-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                                  | NEE 2.25 06/01/30                                                   | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    410000 | NS      | $337163.11    | 0.08%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc                                                     | PNC V5.354 12/02/28                                                 | CUSIP: 693475BK0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    210000 | NS      | $211652.79    | 0.05%             | 2028-12-02      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 5.125 11/17/27                                                   | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    230000 | NS      | $231679.78    | 0.05%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.875 04/15/30                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1020000 | NS      | $923931.05    | 0.21%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Company, LLC                                          | WMB 3.25 05/15/30                                                   | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | NS      | $78101.43     | 0.02%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                               | WM 1.15 03/15/28                                                    | CUSIP: 94106LBN8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    600000 | NS      | $501156.34    | 0.11%             | 2028-03-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC 4.3 07/22/27 GMTN                                               | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    750000 | NS      | $721745.21    | 0.16%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST                                                            | AVNT 2021-REV1 A                                                    | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | NS      | $428598.27    | 0.10%             | 2030-07-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Cifc Funding Ltd                                                                     | CIFC 2020-2A AR                                                     | CUSIP: 12547LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    385000 | NS      | $375875.89    | 0.09%             | 2034-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2800000 | NS      | $2649072.83   | 0.60%             | 2052-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 4.95 01/15/42                                                 | CUSIP: 035240AG5<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    500000 | NS      | $468869.55    | 0.11%             | 2042-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V1.922 10/24/31 MTN                                             | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    745000 | NS      | $569096.41    | 0.13%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8204                                                           | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    999901 | NS      | $814114.13    | 0.19%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA7706                                                           | CUSIP: 3133KPR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    543958 | NS      | $546465.40    | 0.12%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                                              | BK V4.596 07/26/30                                                  | CUSIP: 06406RBK2<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     40000 | NS      | $38612.10     | 0.01%             | 2030-07-26      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corporation                                               | BRK 4.2 08/15/48                                                    | CUSIP: 084664CQ2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     85000 | NS      | $74785.19     | 0.02%             | 2048-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.926 05/15/37 144A                                            | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     65000 | NS      | $56703.74     | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 6.25 03/15/33                                                  | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     85000 | NS      | $86272.12     | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2015-5 EP                                                       | CUSIP: 3136AMMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    100315 | NS      | $91579.73     | 0.02%             | 2043-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| General Electric Company                                                             | GE 6.75 03/15/32 MTNA                                               | CUSIP: 36962GXZ2<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    125000 | NS      | $138439.33    | 0.03%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| AT&T Inc                                                                             | T 4.85 03/01/39                                                     | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    775000 | NS      | $693306.50    | 0.16%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                           | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1800000 | NS      | $1685778.46   | 0.38%             | 2037-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                           | CSMC 2018-RPL9 A                                                    | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135058 | NS      | $126171.98    | 0.03%             | 2057-09-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 1.875 02/28/31                                                  | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    125000 | NS      | $98050.43     | 0.02%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: —       |
| FREMF 2015-K45 Mortgage Trust                                                        | FREMF 2015-K45 B                                                    | CUSIP: 30292PAE8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    560000 | NS      | $534459.69    | 0.12%             | 2048-04-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS4597                                                           | CUSIP: 3132A5DA0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    369006 | NS      | $362496.29    | 0.08%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                                | GILD 1.65 10/01/30                                                  | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    185000 | NS      | $146700.18    | 0.03%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Companies, Inc.                                                     | MMC 4.05 10/15/23                                                   | CUSIP: 571748AU6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    230000 | NS      | $227529.01    | 0.05%             | 2023-10-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K114 X1                                                        | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1463842 | NS      | $94305.69     | 0.02%             | 2030-06-25      | Floating      | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7419                                                           | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77496 | NS      | $69348.27     | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.4 07/15/46                                                  | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     55000 | NS      | $40281.45     | 0.01%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 3.5 08/15/27 WI                                                | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    575000 | NS      | $535900.07    | 0.12%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                                   | NRUC 4.15 12/15/32                                                  | CUSIP: 637432NZ4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    215000 | NS      | $198534.10    | 0.05%             | 2032-12-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 2.3 03/25/28                                                   | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    165000 | NS      | $142918.13    | 0.03%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 3.4 02/04/41                                                     | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     90000 | NS      | $59692.21     | 0.01%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.25 06/01/31                                                   | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    185000 | NS      | $150377.73    | 0.03%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PacifiCorp.                                                                          | BRKHEC 2.7 09/15/30                                                 | CUSIP: 695114CW6<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    135000 | NS      | $116059.38    | 0.03%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| GE Healthcare Holding LLC                                                            | GEHC 6.377 11/22/52 144A                                            | CUSIP: 36267VAL7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    170000 | NS      | $180559.00    | 0.04%             | 2052-11-22      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.953 02/04/32                                                 | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    110000 | NS      | $84141.65     | 0.02%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI3211                                                           | CUSIP: 3131WFR86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      7817 | NS      | $7937.01      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2019-7 JA                                                       | CUSIP: 3136B3Z94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     65511 | NS      | $61696.44     | 0.01%             | 2049-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank 2019-Bnk16                                                                      | BANK 2019-BN16 XA                                                   | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2519044 | NS      | $106812.25    | 0.02%             | 2052-02-16      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK28                                                                      | BANK 2020-BN28 XA                                                   | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2357520 | NS      | $233244.54    | 0.05%             | 2063-03-16      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM1 TRUST                                                                  | MFRA 2021-NQM1 A1                                                   | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255953 | NS      | $220830.70    | 0.05%             | 2065-04-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.125 03/01/27                                                 | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     35000 | NS      | $33057.91     | 0.01%             | 2027-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIII LTD                                                          | BLUEM 2021-33A A                                                    | CUSIP: 09630MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | NS      | $485869.00    | 0.11%             | 2034-11-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3.379 02/08/61                                                 | CUSIP: 10373QBQ2<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    235000 | NS      | $159716.27    | 0.04%             | 2061-02-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS 3.625 01/20/27                                                   | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    385000 | NS      | $363060.79    | 0.08%             | 2027-01-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                  | NRZT 2019-5A A1B                                                    | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130943 | NS      | $121040.59    | 0.03%             | 2059-08-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 4.2 06/01/29                                                   | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     55000 | NS      | $48969.23     | 0.01%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW Finance Corp                                                           | CDWC 2.67 12/01/26                                                  | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | NS      | $79903.62     | 0.02%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 4.5 01/19/63                                                 | CUSIP: 698299BS2<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | NS      | $140821.30    | 0.03%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline L.P./PAA Finance Corp.                                  | PAA 3.55 12/15/29                                                   | CUSIP: 72650RBM3<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |     55000 | NS      | $47688.62     | 0.01%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                          | COMM 2022-HC A                                                      | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | NS      | $85786.33     | 0.02%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM8 TRUST                                                                 | CSMC 2021-NQM8 A1                                                   | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279111 | NS      | $236771.06    | 0.05%             | 2066-10-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA3967                                                           | CUSIP: 3140QBMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361576 | NS      | $336115.03    | 0.08%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA5519                                                           | CUSIP: 3140QDDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788853 | NS      | $696513.32    | 0.16%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 2.05 02/15/28                                                  | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    100000 | NS      | $85883.20     | 0.02%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | TII 0.75 07/15/28                                                   | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    830000 | NS      | $936499.98    | 0.21%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 4.78 03/25/38                                                   | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    235000 | NS      | $214069.51    | 0.05%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-2 LTD                                                            | CGMS 2021-2A A1                                                     | CUSIP: 14316KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    285000 | NS      | $278429.90    | 0.06%             | 2034-04-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.75 08/15/32                                                     | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3620000 | NS      | $3296462.50   | 0.75%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| UnitedHealth Group Inc.                                                              | UNH 5.875 02/15/53                                                  | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    295000 | NS      | $318530.68    | 0.07%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                                        | WBD 4.125 05/15/29                                                  | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     22000 | NS      | $19064.43     | 0.00%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                     | DUK 4.5 08/15/32                                                    | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    255000 | NS      | $238858.72    | 0.05%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                           | VERUS 2021-R2 A1                                                    | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133407 | NS      | $112338.15    | 0.03%             | 2064-02-25      | Floating      | 0.92%                 | No            |                  2 | On Loan: No      |
| VMware Inc                                                                           | VMW 2.2 08/15/31                                                    | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    300000 | NS      | $227659.17    | 0.05%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.75 02/15/33                                                    | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    145000 | NS      | $141862.20    | 0.03%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                                          | EQNR 3.7 04/06/50                                                   | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     20000 | NS      | $15772.38     | 0.00%             | 2050-04-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                                      | RMLT 2021-1R A1                                                     | CUSIP: 76090NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105338 | NS      | $96423.50     | 0.02%             | 2065-01-25      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 3.25 04/06/50                                                | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    155000 | NS      | $111178.59    | 0.03%             | 2050-04-06      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                | WFCM 2021-C60 A4                                                    | CUSIP: 95003DBJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | NS      | $1239322.34   | 0.28%             | 2054-08-17      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.25 05/15/50                                                     | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100000 | NS      | $2744636.70   | 0.62%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4                                           | EART 2022-4A B                                                      | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | NS      | $137363.35    | 0.03%             | 2027-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-21 PQ                                                      | CUSIP: 3136A36C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     19424 | NS      | $17521.49     | 0.00%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2045                                                           | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234782 | NS      | $200783.64    | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8779                                                           | CUSIP: 3140XCXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101260 | NS      | $86650.65     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6541                                                           | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1553205 | NS      | $1388161.27   | 0.32%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                                               | HLNLN 3.375 03/24/29                                                | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    345000 | NS      | $310236.50    | 0.07%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2022-3                                             | GCAR 2022-3A B                                                      | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000 | NS      | $44067.72     | 0.01%             | 2027-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.65 10/21/32                                                   | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     60000 | NS      | $47374.16     | 0.01%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FLORIDA ST BRD ADMIN FIN CORP                                                        | FL FLSGEN 1.26 07/01/2025                                           | CUSIP: 341271AD6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    395000 | NS      | $362670.16    | 0.08%             | 2025-07-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 4.3 07/13/25                                                     | CUSIP: 37045XAZ9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    250000 | NS      | $242116.86    | 0.06%             | 2025-07-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Gulf Power Company                                                                   | NEE 4.55 10/01/44                                                   | CUSIP: 402479CE7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    515000 | NS      | $451378.50    | 0.10%             | 2044-10-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                                                               | MRVL 2.95 04/15/31                                                  | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | NS      | $120650.80    | 0.03%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts, L.P.                                                          | HST 2.9 12/15/31 J                                                  | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    225000 | NS      | $172116.92    | 0.04%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International PLC / Tyco Fire & Security Finance S.C.A.             | JCI 4.9 12/01/32                                                    | CUSIP: 47837RAE0<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | IE        |    100000 | NS      | $98294.19     | 0.02%             | 2032-12-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 5.625 11/17/29                                                   | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    105000 | NS      | $106520.23    | 0.02%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO III Ltd.                                                             | SNDPT 2013-2RA A1                                                   | CUSIP: 83611LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    342133 | NS      | $337161.60    | 0.08%             | 2029-04-16      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| Kaiser Foundation Hospitals/Health Plan, Inc.                                        | KPERM 2.81 06/01/41 2021                                            | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    200000 | NS      | $144913.40    | 0.03%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Company                                                            | KHC 3.75 04/01/30                                                   | CUSIP: 50077LAV8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    280000 | NS      | $254981.57    | 0.06%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Southern California Edison Company                                                   | EIX 2.75 02/01/32                                                   | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    310000 | NS      | $259553.08    | 0.06%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 4.2 05/19/32                                                   | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    360000 | NS      | $294648.97    | 0.07%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                        | MCMLT 2018-3 A1                                                     | CUSIP: 59980XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65533 | NS      | $62565.70     | 0.01%             | 2058-08-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                                                         | NVDA 3.5 04/01/40                                                   | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     60000 | NS      | $48588.51     | 0.01%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 4 04/01/47                                                      | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     27000 | NS      | $21099.83     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.5 04/15/31                                                   | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    300000 | NS      | $259139.83    | 0.06%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V2.879 10/30/30 MTN                                             | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    250000 | NS      | $212351.17    | 0.05%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 11/15/45                                                        | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4140000 | NS      | $3405473.42   | 0.77%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                               | WM 4.15 04/15/32                                                    | CUSIP: 94106LBS7<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     75000 | NS      | $71360.14     | 0.02%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                | WFCM 2015-C31 A4                                                    | CUSIP: 94989WAS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143000 | NS      | $135846.73    | 0.03%             | 2048-11-18      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Chile (Republic of)                                                                  | CHILE 3.5 04/15/53                                                  | CUSIP: P8056EBC1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    305000 | NS      | $216379.15    | 0.05%             | 2053-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| AT&T Inc                                                                             | T 2.3 06/01/27                                                      | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1105000 | NS      | $982774.68    | 0.22%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Bbcms Mortgage Trust 2017                                                            | BBCMS 2017-DELC A                                                   | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228000 | NS      | $223975.39    | 0.05%             | 2036-08-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4                                                                       | CSMC 2020-RPL4 A1                                                   | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326316 | NS      | $289334.18    | 0.07%             | 2060-01-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.4 12/01/61                                                   | CUSIP: 161175CC6<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     85000 | NS      | $54372.23     | 0.01%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST                                                        | CMLTI 2019-E A1                                                     | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137615 | NS      | $135428.98    | 0.03%             | 2070-11-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                                  | CATMED 2.76 10/01/24                                                | CUSIP: 20268JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | NS      | $110260.99    | 0.03%             | 2024-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R03                                         | CAS 2021-R03 1M2                                                    | CUSIP: 20754AAB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    121000 | NS      | $114125.83    | 0.03%             | 2041-12-26      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V9.016 11/15/33 144A                                             | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | NS      | $255966.80    | 0.06%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Disney Walt Co New                                                                   | Disney Walt Co New 0% CP 02/02/2023                                 | CUSIP: 2546R3P24<br>LEI: 549300GZKULIZ0WOW665 | Long             | STIV             | CORP              | US        |    874000 | NS      | $870366.40    | 0.20%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                                        | WBD 4.65 05/15/50                                                   | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    245000 | NS      | $168490.50    | 0.04%             | 2050-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Eaton Corporation                                                                    | ETN 4.15 03/15/33                                                   | CUSIP: 278062AH7<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    350000 | NS      | $325366.15    | 0.07%             | 2033-03-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                                          | EQNR 3.625 04/06/40                                                 | CUSIP: 29446MAG7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    205000 | NS      | $168488.44    | 0.04%             | 2040-04-06      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6412                                                           | CUSIP: 3140QEDS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248623 | NS      | $212075.35    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 915213                                                           | CUSIP: 31411UYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       240 | NS      | $246.29       | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4021                                                           | CUSIP: 31418DPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541632 | NS      | $498076.15    | 0.11%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE Healthcare Holding LLC                                                            | GEHC 5.65 11/15/27 144A                                             | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    180000 | NS      | $182106.09    | 0.04%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V2.804 05/24/32                                                | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | NS      | $154735.81    | 0.04%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 2.8 08/12/41                                                   | CUSIP: 458140BV1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    105000 | NS      | $73315.20     | 0.02%             | 2041-08-12      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 5.25 01/15/33                                                   | CUSIP: 539830BW8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    325000 | NS      | $335083.25    | 0.08%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP Funding LLC                                                               | NXPI 4.875 03/01/24                                                 | CUSIP: 62947QBA5<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |    135000 | NS      | $133966.62    | 0.03%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP Funding LLC                                                               | NXPI 5.35 03/01/26                                                  | CUSIP: 62947QBB3<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |     71000 | NS      | $70591.41     | 0.02%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| New Residential Mtge Loan Tst                                                        | NRZT 2018-2A A1                                                     | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-O            | CORP              | US        |     72279 | NS      | $69400.17     | 0.02%             | 2058-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| NiSource Inc.                                                                        | NI 3.6 05/01/30                                                     | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    130000 | NS      | $115754.61    | 0.03%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                                                           | OKE 6.1 11/15/32                                                    | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     45000 | NS      | $44997.77     | 0.01%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                             | PRPM 2021-9 A1                                                      | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530661 | NS      | $477707.32    | 0.11%             | 2026-10-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3 02/15/41                                                     | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     55000 | NS      | $38809.32     | 0.01%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TransCanada Pipelines Limited                                                        | TRPCN 4.1 04/15/30                                                  | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    130000 | NS      | $119088.74    | 0.03%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.875 06/15/25                                                    | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3375000 | NS      | $3262016.61   | 0.74%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Venture XVII CLO Ltd/Llc                                                             | VENTR 2014-17A ARR                                                  | CUSIP: 92329YAL0<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | KY        |    781841 | NS      | $772456.08    | 0.18%             | 2027-04-15      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Adobe Inc                                                                            | ADBE 2.15 02/01/27                                                  | CUSIP: 00724PAC3<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |    550000 | NS      | $500557.80    | 0.11%             | 2027-02-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Hess Corporation                                                                     | HES 7.3 08/15/31                                                    | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    170000 | NS      | $184568.98    | 0.04%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Bbcms Mortgage Trust                                                                 | BBCMS 2020-C6 A4                                                    | CUSIP: 05492TBP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | NS      | $1276508.10   | 0.29%             | 2053-02-18      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Bermuda (Government of)                                                              | BERMUD 5 07/15/32 144A                                              | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    200000 | NS      | $198630.69    | 0.05%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                                      | BRAVO 2021-NQM2 A1                                                  | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104182 | NS      | $97557.22     | 0.02%             | 2060-03-25      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2800000 | NS      | $2625447.83   | 0.60%             | 2052-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V4.948 07/22/28                                                 | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    280000 | NS      | $273465.00    | 0.06%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                      | CFCRE 2016-C3 A3                                                    | CUSIP: 12531WBB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248000 | NS      | $236000.27    | 0.05%             | 2048-01-10      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                           | CSMC 2021-RPL4 A1                                                   | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300245 | NS      | $274310.09    | 0.06%             | 2060-12-27      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 2.7 02/01/27                                                     | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     30000 | NS      | $27079.83     | 0.01%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 1.749 08/10/30                                                 | CUSIP: 10373QBM1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    115000 | NS      | $91677.60     | 0.02%             | 2030-08-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.572 06/03/31                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    330000 | NS      | $266900.75    | 0.06%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 2.937 11/01/56                                                | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    221000 | NS      | $136671.99    | 0.03%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BUNKER HILL LOAN DEPOSITARY TRUST                                                    | BHLD 2020-1 A1                                                      | CUSIP: 12062RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102794 | NS      | $97916.76     | 0.02%             | 2055-02-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Company                                                     | CP 2.45 12/02/31                                                    | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    180000 | NS      | $149077.87    | 0.03%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                     | DUK 3.15 08/15/27                                                   | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    475000 | NS      | $438288.18    | 0.10%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G08583                                                           | CUSIP: 3128MJUH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146368 | NS      | $143949.45    | 0.03%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.75 02/15/28                                                  | CUSIP: 161175BJ2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   2200000 | NS      | $1983755.55   | 0.45%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 2.8 01/31/30                                                    | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    285000 | NS      | $242114.50    | 0.06%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.65 09/15/59                                                     | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     28000 | NS      | $18741.27     | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Aercap Ireland Capital DAC                                                           | AER 2.45 10/29/26                                                   | CUSIP: 00774MAV7<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |    725000 | NS      | $633970.22    | 0.14%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI1003                                                           | CUSIP: 3131WDDG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3968 | NS      | $4070.55      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI6359                                                           | CUSIP: 3131WKB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       948 | NS      | $962.29       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD2038                                                           | CUSIP: 3132DPHP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    438655 | NS      | $450302.73    | 0.10%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 4097 KA                                                         | CUSIP: 3137ATLD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     69167 | NS      | $65849.76     | 0.01%             | 2031-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 3.7 02/04/51                                                     | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    110000 | NS      | $68895.27     | 0.02%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American International Group, Inc.                                                   | AIG 3.4 06/30/30                                                    | CUSIP: 026874DR5<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    750000 | NS      | $661317.89    | 0.15%             | 2030-06-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K111 X1                                                        | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    574658 | NS      | $51005.69     | 0.01%             | 2030-05-25      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BH5768                                                           | CUSIP: 3140GUMS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000965 | NS      | $980390.87    | 0.22%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                             | AOMT 2020-2 A1A                                                     | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100336 | NS      | $90718.16     | 0.02%             | 2065-01-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide Inc                    | ABIBB 4.7 02/01/36 *                                                | CUSIP: 03522AAH3<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |    725000 | NS      | $684721.04    | 0.16%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZK4456                                                           | CUSIP: 3131X75R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    195204 | NS      | $188269.31    | 0.04%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS1138                                                           | CUSIP: 3132A1HP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6693 | NS      | $6600.39      | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BT1318                                                           | CUSIP: 3140LPPC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335298 | NS      | $1175561.48   | 0.27%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 4 04/01/25                                                       | CUSIP: 37045VAG5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    300000 | NS      | $292590.17    | 0.07%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0296                                                           | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1359368 | NS      | $1296855.55   | 0.29%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA7707                                                           | CUSIP: 3133KPR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    671106 | NS      | $671714.57    | 0.15%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corporation                                                             | H 1.8 10/01/24                                                      | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    250000 | NS      | $234252.73    | 0.05%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                                        | ICE 4.95 06/15/52                                                   | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     25000 | NS      | $23307.96     | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K122 X1                                                        | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    448502 | NS      | $23310.12     | 0.01%             | 2030-11-25      | Floating      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7256                                                           | CUSIP: 36179WBZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88208 | NS      | $79472.37     | 0.02%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.22 03/01/25                                                  | CUSIP: 46647PAH9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     15000 | NS      | $14579.05     | 0.00%             | 2025-03-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                                                  | MFRA 2020-NQM3 A1                                                   | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27107 | NS      | $24724.48     | 0.01%             | 2065-01-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                     | MF1 2022-FL8 AS                                                     | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    345000 | NS      | $329145.01    | 0.07%             | 2037-02-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 1.75 03/01/26                                                  | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     70000 | NS      | $62395.91     | 0.01%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.95 03/14/52                                                  | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     25000 | NS      | $20421.10     | 0.00%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 5.05 03/15/42 144A                                              | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    626000 | NS      | $478941.46    | 0.11%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MARSHALL UNIV W VA                                                                   | WV MARHGR 3.13 05/01/2028                                           | CUSIP: 572716KC1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    100000 | NS      | $90491.94     | 0.02%             | 2028-05-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Metlife Sec Trust                                                                    | MST 2018-1A A                                                       | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60860 | NS      | $57146.16     | 0.01%             | 2057-03-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V4.762 03/29/33                                                | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | NS      | $173332.18    | 0.04%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.545 11/08/32                                                 | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    275000 | NS      | $217368.52    | 0.05%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                                                           | OKE 3.1 03/15/30                                                    | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    165000 | NS      | $138271.51    | 0.03%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| TRK 2021-INV1 TRUST                                                                  | TRK 2021-INV1 A1                                                    | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184338 | NS      | $154432.70    | 0.04%             | 2056-07-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 05/15/41                                                     | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2355000 | NS      | $1770389.63   | 0.40%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| VENTURE 43 CLO LTD                                                                   | VENTR 2021-43A A1                                                   | CUSIP: 92290CAB5<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |    510000 | NS      | $494292.51    | 0.11%             | 2034-04-17      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 5.805 05/01/50                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | NS      | $185435.17    | 0.04%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                          | COMM 2022-HC C                                                      | CUSIP: 12659DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | NS      | $100085.28    | 0.02%             | 2039-01-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST                                                               | CMHAT 2021-MH1 A1                                                   | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104773 | NS      | $89014.49     | 0.02%             | 2046-02-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                                           | STZ 3.6 02/15/28                                                    | CUSIP: 21036PAY4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    140000 | NS      | $129740.05    | 0.03%             | 2028-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                             | AOMT 2019-4 A1                                                      | CUSIP: 03463UAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9276 | NS      | $9209.63      | 0.00%             | 2049-07-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.25 12/01/27                                                  | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     75000 | NS      | $70869.11     | 0.02%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.95 09/01/32                                                  | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    125000 | NS      | $117210.79    | 0.03%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DALLAS-FORT WORTH TEX INTL ARPT                                                      | TX DALAPT 4.51 11/01/2051                                           | CUSIP: 23503CAN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    180000 | NS      | $161787.47    | 0.04%             | 2051-11-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Exelon Corporation                                                                   | EXC 4.05 04/15/30                                                   | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    450000 | NS      | $417778.94    | 0.09%             | 2030-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                             | AOMT 2021-5 A1                                                      | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379130 | NS      | $309250.02    | 0.07%             | 2066-07-25      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 4.54 08/15/47                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     20000 | NS      | $14131.49     | 0.00%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Trust 2017-4                                                           | NRZT 2017-4A A1                                                     | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39985 | NS      | $37158.64     | 0.01%             | 2057-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK TRANSN DEV CORP                                                             | NY NYTTRN 4.25 09/01/2035                                           | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    365000 | NS      | $350789.46    | 0.08%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V3.311 04/22/42                                                 | CUSIP: 06051GJW0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    375000 | NS      | $274925.96    | 0.06%             | 2042-04-22      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                             | BMARK 2019-B11 A5                                                   | CUSIP: 08162BBE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455859 | NS      | $416853.24    | 0.09%             | 2052-05-17      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD7087                                                           | CUSIP: 3133B42U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    549440 | NS      | $447739.53    | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2013-77 BP                                                      | CUSIP: 3136AFLL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     50526 | NS      | $47982.79     | 0.01%             | 2043-06-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                             | PRPM 2021-RPL1 A1                                                   | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104590 | NS      | $93046.55     | 0.02%             | 2051-07-25      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline L.P./PAA Finance Corp.                                  | PAA 3.8 09/15/30                                                    | CUSIP: 72650RBN1<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    645000 | NS      | $560557.35    | 0.13%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust 2019-LIFE                                             | CAMB 2019-LIFE C                                                    | CUSIP: 12482HAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | NS      | $97134.93     | 0.02%             | 2037-12-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST UNIV                                                                   | CA CASHGR 1.79 11/01/2030                                           | CUSIP: 13077DQJ4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    575000 | NS      | $454836.10    | 0.10%             | 2030-11-01      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio Lp                                                                   | ESS 3 01/15/30                                                      | CUSIP: 29717PAU1<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    600000 | NS      | $507401.99    | 0.12%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI7399                                                           | CUSIP: 3131WLGG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     40934 | NS      | $41803.96     | 0.01%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2015-48 QB                                                      | CUSIP: 3136APKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     29988 | NS      | $28436.24     | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.102 02/24/33                                                  | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     95000 | NS      | $77138.15     | 0.02%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QE3246                                                           | CUSIP: 3133BCTB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    363506 | NS      | $297214.89    | 0.07%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2019-14 CA                                                      | CUSIP: 3136B4FP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     84140 | NS      | $79962.08     | 0.02%             | 2049-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics Incorporated                                                       | DGX 2.8 06/30/31                                                    | CUSIP: 74834LBC3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    145000 | NS      | $121406.16    | 0.03%             | 2031-06-30      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.125 08/15/44                                                    | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    610000 | NS      | $515426.17    | 0.12%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2015-56 LB                                                      | CUSIP: 38379LUL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     38991 | NS      | $38037.68     | 0.01%             | 2040-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 4.15 08/05/32                                                  | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    165000 | NS      | $154268.51    | 0.04%             | 2032-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| United States Treasury Bonds                                                         | T 2.5 02/15/45                                                      | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3850000 | NS      | $2898478.50   | 0.66%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | TII 0.25 07/15/29                                                   | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | NS      | $2769607.78   | 0.63%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | NS      | $1023974.81   | 0.23%             | 2052-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL6 LLC                                                                   | VCAT 2021-NPL6 A1                                                   | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565450 | NS      | $492262.11    | 0.11%             | 2051-09-25      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| VMware Inc                                                                           | VMW 1.8 08/15/28                                                    | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    100000 | NS      | $81658.08     | 0.02%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 4.054 03/15/29 144A                                             | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    350000 | NS      | $302792.72    | 0.07%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                                         | MDLZ 2.75 04/13/30                                                  | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     10000 | NS      | $8619.53      | 0.00%             | 2030-04-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BU8729                                                           | CUSIP: 3140MAVX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844934 | NS      | $688352.24    | 0.16%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2772                                                           | CUSIP: 3140XJCJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52653 | NS      | $45277.71     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 4.625 05/15/42                                                  | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    115000 | NS      | $104569.89    | 0.02%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust 2019-3                                         | WLAKE 2019-3A D                                                     | CUSIP: 96042HAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198544 | NS      | $197248.46    | 0.04%             | 2024-11-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                                   | EFMT 2020-2 A1                                                      | CUSIP: 31573WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53958 | NS      | $48238.53     | 0.01%             | 2065-10-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR2 TRUST                                                       | FKH 2022-SFR2 A                                                     | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581710 | NS      | $549260.70    | 0.12%             | 2039-07-19      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bermuda (Government of)                                                              | BERMUD 2.375 08/20/30 REGS                                          | CUSIP: G10367AE3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    200000 | NS      | $168707.38    | 0.04%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                                        | NRZT 2015-1A A3                                                     | CUSIP: 64829CAD0<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-O            | CORP              | US        |     24012 | NS      | $22177.24     | 0.01%             | 2052-05-28      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| NiSource Inc.                                                                        | NI 4.375 05/15/47                                                   | CUSIP: 65473QBF9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     85000 | NS      | $71071.23     | 0.02%             | 2047-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V3.593 07/21/28 GMTN                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    340000 | NS      | $313000.37    | 0.07%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Bank 2017 Bnk8                                                                       | BANK 2017-BNK8 A4                                                   | CUSIP: 06650AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | NS      | $322666.47    | 0.07%             | 2050-11-17      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM4 TRUST                                                                 | GCAT 2021-NQM4 A1                                                   | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381316 | NS      | $292493.10    | 0.07%             | 2066-08-25      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.023 12/05/24                                                 | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    265000 | NS      | $261046.97    | 0.06%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                                  | ONCRTX 2.75 05/15/30                                                | CUSIP: 68233JBU7<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    170000 | NS      | $148048.49    | 0.03%             | 2030-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PRPM 2020-6 LLC                                                                      | PRPM 2020-6 A1                                                      | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68072 | NS      | $62813.07     | 0.01%             | 2025-11-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST                                                          | LMAT 2021-GS4 A1                                                    | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104959 | NS      | $93822.03     | 0.02%             | 2060-11-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM2 TRUST                                                                  | MFRA 2021-NQM2 A1                                                   | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161900 | NS      | $131424.96    | 0.03%             | 2064-11-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 4.55 07/01/30                                                   | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    155000 | NS      | $140491.78    | 0.03%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PRESTIGE AUTO RECEIVABLES TRUST                                                      | PART 2020-1A D                                                      | CUSIP: 74114BAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | NS      | $200193.14    | 0.05%             | 2026-11-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 3.7 01/12/26                                                      | CUSIP: 172967KG5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    430000 | NS      | $413626.15    | 0.09%             | 2026-01-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                                        | WBD 5.3 05/15/49                                                    | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    131000 | NS      | $99047.57     | 0.02%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 4.5 05/15/30                                                 | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    155000 | NS      | $143672.08    | 0.03%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                                  | STAR 2020-3 A1                                                      | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31230 | NS      | $28582.50     | 0.01%             | 2065-04-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| PRET 2021-RN2, LLC                                                                   | PRET 2021-RN2 A1                                                    | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211719 | NS      | $191137.02    | 0.04%             | 2051-07-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR3 TRUST                                                 | PROG 2022-SFR3 A                                                    | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | NS      | $126902.58    | 0.03%             | 2039-04-19      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Targa Resources Co                                                                   | TRGP 4.2 02/01/33                                                   | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    160000 | NS      | $137658.15    | 0.03%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific Inc                                                         | TMO 1.75 10/15/28                                                   | CUSIP: 883556CK6<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     50000 | NS      | $42345.07     | 0.01%             | 2028-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 5 03/15/27                                                   | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     45000 | NS      | $44123.58     | 0.01%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                                  | STAR 2021-1 A1                                                      | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228669 | NS      | $206559.25    | 0.05%             | 2065-05-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                            | DUK 5.3 02/15/40                                                    | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    333000 | NS      | $329536.65    | 0.07%             | 2040-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENEL Finance International N.V.                                                      | ENELIM 5 06/15/32 144A                                              | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | NS      | $180125.32    | 0.04%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.5 05/15/46                                                      | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    260000 | NS      | $193953.91    | 0.04%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V4.897 07/25/33 MTN                                             | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1455000 | NS      | $1381570.69   | 0.31%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                            | TPMT 2017-6 A1                                                      | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221129 | NS      | $210879.68    | 0.05%             | 2057-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4.2 05/15/32                                                    | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    125000 | NS      | $118658.15    | 0.03%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI8648                                                           | CUSIP: 3131WMTD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55353 | NS      | $54681.50     | 0.01%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8053                                                           | CUSIP: 3132DV5N1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    128195 | NS      | $124876.07    | 0.03%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| The Williams Companies, Inc.                                                         | WMB 4.65 08/15/32                                                   | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    180000 | NS      | $167562.68    | 0.04%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 5.35 10/15/25                                                   | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      5000 | NS      | $5055.34      | 0.00%             | 2025-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                              | BPCEGP V3.116 10/19/32 144A                                         | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    425000 | NS      | $310107.86    | 0.07%             | 2032-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-120 ZB                                                     | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    456522 | NS      | $419845.46    | 0.10%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 4216 KQ                                                         | CUSIP: 3137B2TT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     51765 | NS      | $49748.97     | 0.01%             | 2039-10-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| CSX Corporation                                                                      | CSX 3.8 03/01/28                                                    | CUSIP: 126408HJ5<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    400000 | NS      | $381488.26    | 0.09%             | 2028-03-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Chapman University                                                                   | CHAUNI 2.067 04/01/31 2021                                          | CUSIP: 15953PAF6<br>LEI: 549300TAU69ZJZ8QBL34 | Long             | DBT              | CORP              | US        |    200000 | NS      | $156931.01    | 0.04%             | 2031-04-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BV7783                                                           | CUSIP: 3140MMUH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916829 | NS      | $746492.25    | 0.17%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Intuit Inc                                                                           | INTU 1.35 07/15/27                                                  | CUSIP: 46124HAC0<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    500000 | NS      | $432439.03    | 0.10%             | 2027-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V6.442 08/11/28 144A                                             | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | NS      | $227674.03    | 0.05%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                      | DANBNK 5.375 01/12/24 144A                                          | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | NS      | $198343.35    | 0.05%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QA1023                                                           | CUSIP: 31334XD48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     53110 | NS      | $49370.03     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB6287                                                           | CUSIP: 3133AC6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    951115 | NS      | $917362.08    | 0.21%             | 2050-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C32                                  | JPMBB 2015-C32 A5                                                   | CUSIP: 46590JAW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261000 | NS      | $245403.89    | 0.06%             | 2048-11-18      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST                                                                     | MA MASOBL 4.11 07/15/2031                                           | CUSIP: 576004HG3<br>LEI: 549300NLJBK1VP6K2K81 | Long             | DBT              | MUN               | US        |    315000 | NS      | $304123.11    | 0.07%             | 2031-07-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 3883 PB                                                         | CUSIP: 3137ABM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     20615 | NS      | $19109.98     | 0.00%             | 2041-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1629                                                           | CUSIP: 3140XGY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4813793 | NS      | $4075656.56   | 0.93%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC 6.11 01/29/37                                                   | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    435000 | NS      | $439941.88    | 0.10%             | 2037-01-29      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 3.6 04/01/50                                                   | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    921000 | NS      | $620078.60    | 0.14%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2021-DNA5 M2                                                  | CUSIP: 35564KHE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     81109 | NS      | $79994.99     | 0.02%             | 2034-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| International Business Machines Corporation                                          | IBM 2.72 02/09/32                                                   | CUSIP: 459200KN0<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    115000 | NS      | $96486.22     | 0.02%             | 2032-02-09      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 2.1 08/01/27                                                    | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1475000 | NS      | $1259696.36   | 0.29%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4                                        | SDART 2022-4 B                                                      | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | NS      | $338630.53    | 0.08%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Kaiser Foundation Hospitals/Health Plan, Inc.                                        | KPERM 3.002 06/01/51 2021                                           | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    260000 | NS      | $177072.33    | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 4.95 10/15/25                                                   | CUSIP: 539830BU2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    140000 | NS      | $141011.62    | 0.03%             | 2025-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Southern Co.                                                                         | SO 3.7 04/30/30 A                                                   | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    210000 | NS      | $189529.87    | 0.04%             | 2030-04-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                            | TPMT 2017-4 A1                                                      | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207361 | NS      | $196667.76    | 0.04%             | 2057-06-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| TransCanada Pipelines Limited                                                        | TRPCN 2.5 10/12/31                                                  | CUSIP: 89352HBC2<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    115000 | NS      | $91313.42     | 0.02%             | 2031-10-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corporation                                                         | TFC V1.887 06/07/29 MTN                                             | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    135000 | NS      | $112999.29    | 0.03%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.375 09/30/27                                                    | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    430000 | NS      | $362510.16    | 0.08%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.75 10/15/47                                                   | CUSIP: 91324PDF6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     65000 | NS      | $51684.64     | 0.01%             | 2047-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2022-C18                                                        | BBCMS 2022-C18 A4                                                   | CUSIP: 054975AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | NS      | $164144.30    | 0.04%             | 2055-12-17      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.572 10/20/32                                                 | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     85000 | NS      | $66572.20     | 0.02%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.85 09/03/41                                                    | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    125000 | NS      | $86025.16     | 0.02%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                           | VERUS 2021-5 A1                                                     | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477159 | NS      | $380921.69    | 0.09%             | 2066-09-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.875 11/14/48                                                 | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    250000 | NS      | $227715.44    | 0.05%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                           | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | NS      | $533537.59    | 0.12%             | 2037-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V5.015 07/22/33                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    515000 | NS      | $488936.85    | 0.11%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Baxter International, Inc.                                                           | BAX 2.272 12/01/28                                                  | CUSIP: 071813CP2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    300000 | NS      | $255835.55    | 0.06%             | 2028-12-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.1 04/13/62                                                   | CUSIP: 023135CK0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    395000 | NS      | $325958.18    | 0.07%             | 2062-04-13      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 3.5 06/01/30                                                  | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    250000 | NS      | $227581.59    | 0.05%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2020-B18 XA                                                   | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632375 | NS      | $49614.31     | 0.01%             | 2053-07-17      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                      | CSLAU 4.05 04/27/29 144A                                            | CUSIP: 12661PAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    215000 | NS      | $202645.41    | 0.05%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST                                                                | ARRW 2019-2 A1                                                      | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71730 | NS      | $66350.04     | 0.02%             | 2049-04-25      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.592 04/29/31                                                 | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | NS      | $162887.18    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.8 03/01/50                                                   | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    140000 | NS      | $101632.88    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Entergy Corporation                                                                  | ETR 2.95 09/01/26                                                   | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    975000 | NS      | $905195.51    | 0.21%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                                                  | EART 2019-4A D                                                      | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331432 | NS      | $325869.67    | 0.07%             | 2025-09-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Federal Farm Credit Banks                                                            | FFCB 2.85 03/28/34                                                  | CUSIP: 3133ENSY7<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    760000 | NS      | $664343.97    | 0.15%             | 2034-03-28      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Alabama Power Company                                                                | SO 3.45 10/01/49                                                    | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    335000 | NS      | $241324.17    | 0.05%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11800000 | NS      | $11354624.22  | 2.58%             | 2052-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Benchmark 2019-B10 Mtg Tr                                                            | BMARK 2019-B10 XA                                                   | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2335074 | NS      | $120862.48    | 0.03%             | 2062-03-17      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Company                                                    | BRKHEC 3.7 07/15/30                                                 | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    350000 | NS      | $318876.79    | 0.07%             | 2030-07-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 2.6 02/15/33 144A                                              | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    280000 | NS      | $210167.22    | 0.05%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                        | CA CAS 7.3 10/01/2039                                               | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     85000 | NS      | $103264.33    | 0.02%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| AmerisourceBergen Corporation                                                        | ABC 3.45 12/15/27                                                   | CUSIP: 03073EAP0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    175000 | NS      | $163504.20    | 0.04%             | 2027-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital Inc.                                                                 | AHTLN 1.5 08/12/26 144A                                             | CUSIP: 045054AN3<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    200000 | NS      | $170678.19    | 0.04%             | 2026-08-12      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K068 A2                                                        | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    190000 | NS      | $180405.86    | 0.04%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR6352                                                           | CUSIP: 3140L5BW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79543 | NS      | $68106.33     | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2022-C18                                                        | BBCMS 2022-C18 A5                                                   | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | NS      | $52314.71     | 0.01%             | 2055-12-17      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V4.571 04/27/33                                                 | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    585000 | NS      | $535101.11    | 0.12%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| CHABOT-LAS POSITAS CALIF                                                             | CA CBTHGR 1.89 08/01/2031                                           | CUSIP: 15722TJW2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    500000 | NS      | $388538.75    | 0.09%             | 2031-08-01      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| CHICAGO ILL TRAN AUTH                                                                | IL CHITRN 3.91 12/01/2040                                           | CUSIP: 16772PCX2<br>LEI: 549300CB8XLRGIPN3E12 | Long             | DBT              | MUN               | US        |     65000 | NS      | $54358.66     | 0.01%             | 2040-12-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK18                                                                      | BANK 2019-BN18 XA                                                   | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    983309 | NS      | $42215.64     | 0.01%             | 2062-05-17      | Floating      | 0.89%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK32                                                                      | BANK 2021-BN32 A5                                                   | CUSIP: 06542BBH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | NS      | $1251386.55   | 0.28%             | 2054-04-17      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3309                                                           | CUSIP: 36179RVA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36879 | NS      | $33422.78     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Electric Company                                                             | GE 5.875 01/14/38 MTN                                               | CUSIP: 36962G3P7<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    575000 | NS      | $584647.02    | 0.13%             | 2038-01-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 2.8 01/15/51                                                  | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    105000 | NS      | $66265.99     | 0.02%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | NS      | $3047666.61   | 0.69%             | 2052-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.912 07/25/33                                                 | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    360000 | NS      | $342765.65    | 0.08%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 3.75 04/01/32                                                   | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    160000 | NS      | $142326.17    | 0.03%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2021-B                                                      | BHG 2021-B A                                                        | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73442 | NS      | $69131.12     | 0.02%             | 2034-10-17      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                                   | COP 3.8 03/15/52                                                    | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    115000 | NS      | $90406.43     | 0.02%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission and Storage Inc                                             | BRKHEC 3 11/15/29                                                   | CUSIP: 276480AH3<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |     25000 | NS      | $21582.01     | 0.00%             | 2029-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                  | CGCMT 2015-GC33 A4                                                  | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403000 | NS      | $383522.85    | 0.09%             | 2058-09-12      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| MARSHALL UNIV W VA                                                                   | WV MARHGR 3.38 05/01/2031                                           | CUSIP: 572716KE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    100000 | NS      | $86397.98     | 0.02%             | 2031-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V4.431 01/23/30 GMTN                                             | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | NS      | $93070.37     | 0.02%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | NS      | $7039141.20   | 1.60%             | 2052-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Inc                                                                    | DPABS 2017-1A A23                                                   | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    619125 | NS      | $567381.63    | 0.13%             | 2047-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                        | MCMLT 2018-1 A1                                                     | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86149 | NS      | $83041.54     | 0.02%             | 2062-05-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST TWY AUTH                                                                 | NY NYSTRN 2.9 01/01/2035                                            | CUSIP: 650009S53<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    105000 | NS      | $86161.37     | 0.02%             | 2035-01-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA 0.875 08/05/30                                                 | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   3650000 | NS      | $2897337.44   | 0.66%             | 2030-08-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN 867553                                                           | CUSIP: 31409CZS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3324 | NS      | $3375.25      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI4948                                                           | CUSIP: 3131WHP92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13147 | NS      | $13188.39     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA8214                                                           | CUSIP: 3133KQDT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    259733 | NS      | $267067.97    | 0.06%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V1.593 05/04/27                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    690000 | NS      | $605291.76    | 0.14%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-E                                     | NAVSL 2021-EA A                                                     | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189558 | NS      | $158796.15    | 0.04%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6032                                                           | CUSIP: 3140QDV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    823562 | NS      | $707598.69    | 0.16%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5331                                                           | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154384 | NS      | $151328.98    | 0.03%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prologis, L.P.                                                                       | PLD 4.625 01/15/33                                                  | CUSIP: 74340XBT7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    300000 | NS      | $290420.14    | 0.07%             | 2033-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc.                                                               | BATSLN 5.7 08/15/35                                                 | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    100000 | NS      | $90266.23     | 0.02%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9492                                                           | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181325 | NS      | $155066.82    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3694                                                           | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520104 | NS      | $508005.81    | 0.12%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 5.2 04/01/45                                                     | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    200000 | NS      | $162554.09    | 0.04%             | 2045-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 6.75 04/01/46                                                    | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     75000 | NS      | $71902.77     | 0.02%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Hungary (Republic Of)                                                                | REPHUN 5.25 06/16/29 144A                                           | CUSIP: 445545AP1<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    250000 | NS      | $238750.00    | 0.05%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Newcrest Finance Pty Ltd                                                             | NCMAU 3.25 05/13/30 144A                                            | CUSIP: 65120FAD6<br>LEI: 549300I0XDZ4K7PDSS04 | Long             | DBT              | CORP              | AU        |    475000 | NS      | $396409.18    | 0.09%             | 2030-05-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 3 02/27/27 144A                                              | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    322000 | NS      | $284883.06    | 0.06%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 4.125 03/01/48 C                                                | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     88000 | NS      | $70221.69     | 0.02%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                             | PRPM 2021-7 A1                                                      | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410751 | NS      | $372372.82    | 0.08%             | 2026-08-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Puget Energy Inc                                                                     | PSD 3.65 05/15/25                                                   | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    185000 | NS      | $175958.27    | 0.04%             | 2025-05-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.615 04/22/32                                                  | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    940000 | NS      | $749641.38    | 0.17%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                                 | JPMCC 2020-NNN AFX                                                  | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | NS      | $108380.45    | 0.02%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXV LTD/LLC                                                             | SYMP 2021-25A A                                                     | CUSIP: 87167WAC9<br>LEI: 5493006CLZCEH6WYKR81 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | NS      | $679147.70    | 0.15%             | 2034-04-19      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Sysco Corporation                                                                    | SYY 6.6 04/01/50                                                    | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    225000 | NS      | $245227.92    | 0.06%             | 2050-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                        | SUTHEA 3.361 08/15/50 20A                                           | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    115000 | NS      | $77943.02     | 0.02%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP/Targa Resources Finance Corp.                            | TRGP 4 01/15/32                                                     | CUSIP: 87612BBU5<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |    310000 | NS      | $260830.90    | 0.06%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Qatar Energy                                                                         | QPETRO 3.3 07/12/51 144A                                            | CUSIP: 74730DAD5<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    300000 | NS      | $221250.00    | 0.05%             | 2051-07-12      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Radnor Re 2020-1 Ltd                                                                 | RMIR 2020-1 M1A                                                     | CUSIP: 750493AA6<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-O            | CORP              | BM        |     26853 | NS      | $26815.36     | 0.01%             | 2030-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Starbucks Corporation                                                                | SBUX 3 02/14/32                                                     | CUSIP: 855244BC2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    300000 | NS      | $255783.84    | 0.06%             | 2032-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| United States Treasury Notes                                                         | TII 0.625 07/15/32                                                  | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2995000 | NS      | $2813258.49   | 0.64%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.25 08/15/31                                                     | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2130000 | NS      | $1727130.48   | 0.39%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| VENTURE 42 CLO LTD                                                                   | VENTR 2021-42A A1A                                                  | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |    645000 | NS      | $623513.76    | 0.14%             | 2034-04-17      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.375 08/15/50                                                    | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2545000 | NS      | $1414165.04   | 0.32%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 5.35 02/15/33                                                   | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    700000 | NS      | $722181.47    | 0.16%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 5.3 02/15/30                                                    | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    825000 | NS      | $850114.48    | 0.19%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.329 09/21/28                                                   | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1925000 | NS      | $1850856.28   | 0.42%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2                                         | WLAKE 2022-2A B                                                     | CUSIP: 96042VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275000 | NS      | $267747.89    | 0.06%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                           | VERUS 2020-4 A1                                                     | CUSIP: 92538LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62076 | NS      | $55329.65     | 0.01%             | 2065-05-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                | WFCM 2015-NXS1 A5                                                   | CUSIP: 94989HAQ3<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-O            | CORP              | US        |    325000 | NS      | $308327.37    | 0.07%             | 2048-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| The Williams Companies, Inc.                                                         | WMB 2.6 03/15/31                                                    | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    110000 | NS      | $89017.83     | 0.02%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Willis North American Inc.                                                           | WTW 2.95 09/15/29                                                   | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    765000 | NS      | $643062.76    | 0.15%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Agree LP                                                                             | ADC 4.8 10/01/32                                                    | CUSIP: 008513AD5<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    370000 | NS      | $342298.16    | 0.08%             | 2032-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V1.794 02/13/32 MTN                                              | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    625000 | NS      | $469725.21    | 0.11%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V4.889 07/20/33                                                  | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    355000 | NS      | $333530.06    | 0.08%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Alliant Energy Finance LLC                                                           | LNT 4.25 06/15/28 144A                                              | CUSIP: 01882YAB2<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    425000 | NS      | $392949.25    | 0.09%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 3.65 03/15/27                                                   | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     40000 | NS      | $37359.22     | 0.01%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AutoNation, Inc.                                                                     | AN 1.95 08/01/28                                                    | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | NS      | $59809.15     | 0.01%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                              | BPCEGP V2.045 10/19/27 144A                                         | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    260000 | NS      | $224105.43    | 0.05%             | 2027-10-19      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.299 07/21/32                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    370000 | NS      | $284939.52    | 0.06%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings Llc                                                             | CE 6.165 07/15/27                                                   | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    275000 | NS      | $271239.71    | 0.06%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.85 04/01/61                                                  | CUSIP: 161175BY9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    415000 | NS      | $240019.55    | 0.05%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD7534                                                           | CUSIP: 3133B5LP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    944426 | NS      | $769612.67    | 0.17%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BV8155                                                           | CUSIP: 3140MNBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41859 | NS      | $34107.97     | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2801                                                           | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933198 | NS      | $759804.01    | 0.17%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9416                                                           | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3655336 | NS      | $3381245.71   | 0.77%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1571                                                           | CUSIP: 3140XGW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340255 | NS      | $277039.00    | 0.06%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V0.925 10/21/24                                                  | CUSIP: 38141GYL2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     50000 | NS      | $47900.01     | 0.01%             | 2024-10-21      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                                        | ICE 4.6 03/15/33                                                    | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     35000 | NS      | $33476.42     | 0.01%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Israel (State Of)                                                                    | ISRAEL 3.25 01/17/28                                                | CUSIP: 46513YJH2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    360000 | NS      | $341100.00    | 0.08%             | 2028-01-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.5 04/15/38                                                   | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    475000 | NS      | $400124.77    | 0.09%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                                                 | MQGAU V1.34 01/12/27 144A                                           | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   1725000 | NS      | $1503430.36   | 0.34%             | 2027-01-12      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V3.772 01/24/29 GMTN                                             | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    600000 | NS      | $549452.65    | 0.12%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma PLC                                                                   | RPRX 2.15 09/02/31                                                  | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    265000 | NS      | $200402.69    | 0.05%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: —       |
| SUPERIOR ENERGY SERVICES LLC                                                         | COMMON STOCK                                                        | CUSIP: 78412FA18<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       761 | NS      | $23971.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc.                                                             | ORLY 4.7 06/15/32                                                   | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    260000 | NS      | $251308.40    | 0.06%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR7 TRUST                                                 | PROG 2022-SFR7 A                                                    | CUSIP: 74333CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | NS      | $163496.75    | 0.04%             | 2039-10-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Regatta Funding Limited/Corp                                                         | REGT6 2016-1A AR2                                                   | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   1180000 | NS      | $1146892.74   | 0.26%             | 2034-04-20      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5                                        | SDART 2022-5 B                                                      | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | NS      | $111822.33    | 0.03%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.625 08/15/43                                                    | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | NS      | $321753.91    | 0.07%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.5 10/31/27                                                      | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    125000 | NS      | $105727.54    | 0.02%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                                             | VCAT 2021-NPL4 A1                                                   | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    358974 | NS      | $325025.11    | 0.07%             | 2051-08-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 4.375 03/15/43                                                 | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    170000 | NS      | $117062.96    | 0.03%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                                                          | WDAY 3.5 04/01/27                                                   | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    125000 | NS      | $116821.14    | 0.03%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUMMIT ISSUER LLC                                                                    | FIBER 2020-1A A2                                                    | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | NS      | $126944.85    | 0.03%             | 2050-12-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Sysco Corporation                                                                    | SYY 4.45 03/15/48                                                   | CUSIP: 871829BH9<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |     50000 | NS      | $40992.76     | 0.01%             | 2048-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | NS      | $1970442.82   | 0.45%             | 2052-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.125 02/15/43                                                    | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2375000 | NS      | $2026171.88   | 0.46%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 02/15/47                                                        | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | NS      | $1227832.04   | 0.28%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-8                                                    | VERUS 2021-8 A1                                                     | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292036 | NS      | $245951.29    | 0.06%             | 2066-11-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                                   | VICI 4.95 02/15/30                                                  | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    160000 | NS      | $152306.77    | 0.03%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Waste Connections Inc (CA) Inc                                                       | WCNCN 4.2 01/15/33                                                  | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    127000 | NS      | $117950.49    | 0.03%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I Llc                                                       | AOMT 2020-1 A1                                                      | CUSIP: 03464RAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39019 | NS      | $36443.94     | 0.01%             | 2059-12-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| AutoNation, Inc.                                                                     | AN 4.75 06/01/30                                                    | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | NS      | $446097.43    | 0.10%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2020-B22 XA                                                   | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1107402 | NS      | $95855.14     | 0.02%             | 2054-01-16      | Floating      | 1.52%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.137 11/15/35 144A                                            | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    339000 | NS      | $249255.28    | 0.06%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                                     | CIFC 2012-2RA A1                                                    | CUSIP: 12551PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    243778 | NS      | $242014.91    | 0.06%             | 2028-01-20      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corporation                                                    | COF V5.247 07/26/30                                                 | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    495000 | NS      | $471411.62    | 0.11%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022- P2                                              | CRVNA 2022-P2 A3                                                    | CUSIP: 14686JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | NS      | $467401.34    | 0.11%             | 2027-04-10      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                             | COLT 2021-3 A1                                                      | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436180 | NS      | $337190.83    | 0.08%             | 2066-09-27      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7500000 | NS      | $6676363.20   | 1.52%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DAE Funding LLC                                                                      | DUBAEE 1.55 08/01/24 144A                                           | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    435000 | NS      | $404249.64    | 0.09%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD8229                                                           | CUSIP: 3133B6EA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     33219 | NS      | $27062.50     | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA7441                                                           | CUSIP: 3133KPHS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28853 | NS      | $28985.65     | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2019-21 BD                                                      | CUSIP: 3136B4QP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     74693 | NS      | $68162.22     | 0.02%             | 2057-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNS 415 A3                                                          | CUSIP: 31395QFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59365 | NS      | $54457.25     | 0.01%             | 2042-11-01      | Fixed         |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 910358                                                           | CUSIP: 31411KMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38995 | NS      | $40584.30     | 0.01%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-3                                                    | FCAT 2022-3 B                                                       | CUSIP: 33845PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240000 | NS      | $234261.67    | 0.05%             | 2028-07-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 4.7 05/15/32                                                     | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    170000 | NS      | $163890.16    | 0.04%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Howard University                                                                    | HOWUNI 2.801 10/01/30 2020                                          | CUSIP: 442851AU5<br>LEI: K51157D64JPMRRMNLC27 | Long             | DBT              | CORP              | US        |    100000 | NS      | $83396.84     | 0.02%             | 2030-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.55 09/15/55                                                     | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    120000 | NS      | $80069.24     | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.8 12/01/57                                                      | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    497000 | NS      | $342896.85    | 0.08%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp                                                                   | ALCSW 2.75 09/23/26 144A                                            | CUSIP: 01400EAA1<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | NS      | $183010.95    | 0.04%             | 2026-09-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES XI LLC                                            | AXIS 2022-2A A2                                                     | CUSIP: 03236XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | NS      | $123620.18    | 0.03%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 7.75 10/19/32                                                | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     60000 | NS      | $64534.50     | 0.01%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.187 11/15/36 144A                                            | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    239000 | NS      | $171670.79    | 0.04%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Csmc Trust 2017                                                                      | CSMC 2017-FHA1 A1                                                   | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34862 | NS      | $30954.28     | 0.01%             | 2047-04-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.91 05/24/33                                                    | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    360000 | NS      | $337115.88    | 0.08%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                                             | AMCAR 2019-3 D                                                      | CUSIP: 03066NAG9<br>LEI: 5493003R0K8V08JVGR27 | Long             | ABS-O            | CORP              | US        |    155000 | NS      | $149023.90    | 0.03%             | 2025-09-18      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                             | AOMT 2021-2 A1                                                      | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288285 | NS      | $236620.64    | 0.05%             | 2066-04-25      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 2.259 03/25/28                                               | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    120000 | NS      | $99590.72     | 0.02%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                      | BANK 2020-BN26 XA                                                   | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1062554 | NS      | $65418.16     | 0.01%             | 2063-03-16      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 2.939 06/04/51                                                 | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     40000 | NS      | $26336.11     | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                        | CA CAS 7.55 04/01/2039                                              | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    130000 | NS      | $162712.16    | 0.04%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.352 04/24/25                                                   | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    550000 | NS      | $533323.03    | 0.12%             | 2025-04-24      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc.                                                            | CRBG 3.9 04/05/32 144A                                              | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     50000 | NS      | $43668.37     | 0.01%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                                        | WBD 5.2 09/20/47                                                    | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    127000 | NS      | $94338.30     | 0.02%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 3.482 03/19/30                                                  | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     35000 | NS      | $32641.09     | 0.01%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHLB 3.375 09/10/32                                                 | CUSIP: 3130AT4C8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    560000 | NS      | $514259.52    | 0.12%             | 2032-09-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC7473                                                           | CUSIP: 3133ASJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     33582 | NS      | $27385.42     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB4693                                                           | CUSIP: 3140QQGB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994237 | NS      | $1010826.56   | 0.23%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4387                                                           | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23780 | NS      | $20044.98     | 0.00%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES 2022-SFR1 TRUST                                                       | FKH 2022-SFR1 A                                                     | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144185 | NS      | $135221.63    | 0.03%             | 2039-05-19      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                         | GSMS 2020-GC45 XA                                                   | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2029327 | NS      | $66023.54     | 0.02%             | 2053-02-14      | Floating      | 0.67%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 4.6 09/09/32                                                    | CUSIP: 58013MFS8<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    188000 | NS      | $183827.62    | 0.04%             | 2032-09-09      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                                         | MDLZ 3 03/17/32                                                     | CUSIP: 609207BB0<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     20000 | NS      | $17107.68     | 0.00%             | 2032-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Healthcare Realty Holdings L.P                                                       | HR 2.05 03/15/31                                                    | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    525000 | NS      | $383774.64    | 0.09%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 4 08/05/29                                                     | CUSIP: 458140BZ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    230000 | NS      | $218779.47    | 0.05%             | 2029-08-05      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank 2019-BN17 C                                                                     | BANK 2019-BN17 A4                                                   | CUSIP: 065403BC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632000 | NS      | $581372.25    | 0.13%             | 2052-04-17      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Ozlm Xviii Limited                                                                   | OZLM 2018-18A A                                                     | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | US        |   1030000 | NS      | $1007265.84   | 0.23%             | 2031-04-15      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM7 TRUST                                                                  | OBX 2022-NQM7 A1                                                    | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96030 | NS      | $94204.76     | 0.02%             | 2062-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                         | BACR V7.385 11/02/28                                                | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    230000 | NS      | $239735.46    | 0.05%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V2.159 09/15/29 144A                                            | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | NS      | $163044.27    | 0.04%             | 2029-09-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 5.05 08/05/62                                                  | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    190000 | NS      | $166680.58    | 0.04%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc                                                                 | KDP 4.5 04/15/52                                                    | CUSIP: 49271VAR1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    200000 | NS      | $166646.40    | 0.04%             | 2052-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Microchip Technology Incorporated                                                    | MCHP 2.67 09/01/23                                                  | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    245000 | NS      | $240432.04    | 0.05%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| New Resi Mtg Tr 20                                                                   | NRZT 2017-3A A1                                                     | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112373 | NS      | $106047.62    | 0.02%             | 2057-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Boston Gas Company                                                                   | NGGLN 3.757 03/16/32 144A                                           | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     65000 | NS      | $56587.40     | 0.01%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 4.3 03/25/28                                                    | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     85000 | NS      | $82215.63     | 0.02%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Electric Company                                                        | FE 4.15 04/15/25 144A                                               | CUSIP: 708696BX6<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     45000 | NS      | $43230.20     | 0.01%             | 2025-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 3.65 02/01/50                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    105000 | NS      | $76684.06     | 0.02%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Cleco Corporate Holdings LLC                                                         | CNL 4.973 05/01/46                                                  | CUSIP: 18551PAD1<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |      5000 | NS      | $4214.80      | 0.00%             | 2046-05-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                                                   | CAG 4.85 11/01/28                                                   | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    304000 | NS      | $296440.20    | 0.07%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                           | STAR 2021-6 A1                                                      | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    426966 | NS      | $353747.29    | 0.08%             | 2066-11-25      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Unilever Capital Corporation                                                         | UNANA 2.625 08/12/51 30Y                                            | CUSIP: 904764BR7<br>LEI: MYF1DAS6G5WY7PRWCU78 | Long             | DBT              | CORP              | US        |    125000 | NS      | $80585.23     | 0.02%             | 2051-08-12      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| OREGON ED DISTS                                                                      | OR OEDSCD 1.89 06/30/2031                                           | CUSIP: 68587FBB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    600000 | NS      | $470257.32    | 0.11%             | 2031-06-30      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                                                  | NY PORTRN 1.09 07/01/2023                                           | CUSIP: 73358W4V3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    345000 | NS      | $338872.94    | 0.08%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 4.227 03/19/40                                                  | CUSIP: 30231GBF8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    175000 | NS      | $157461.94    | 0.04%             | 2040-03-19      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7555                                                           | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | NS      | $2666963.63   | 0.61%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4 11/15/52                                                        | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    955000 | NS      | $956342.97    | 0.22%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                                   | VICI 5.125 05/15/32                                                 | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    220000 | NS      | $203709.00    | 0.05%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8199                                                           | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1479299 | NS      | $1204507.49   | 0.27%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QE5482                                                           | CUSIP: 3133BFCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    855089 | NS      | $696334.46    | 0.16%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Puget Energy Inc                                                                     | PSD 4.1 06/15/30                                                    | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    165000 | NS      | $147338.59    | 0.03%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| State Street Corporation                                                             | STT V5.82 11/04/28                                                  | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    100000 | NS      | $103267.50    | 0.02%             | 2028-11-04      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2019-12 HA                                                      | CUSIP: 3136B4EJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     78134 | NS      | $73864.43     | 0.02%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 254880                                                           | CUSIP: 31371LCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1534 | NS      | $1523.78      | 0.00%             | 2023-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V2.406 10/30/25 MTN                                             | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    415000 | NS      | $392455.58    | 0.09%             | 2025-10-30      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 4122 AB                                                         | CUSIP: 3137AUXZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     78873 | NS      | $69056.66     | 0.02%             | 2042-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA0983                                                           | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27877 | NS      | $27238.65     | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V2.746 02/11/33 144A                                            | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    240000 | NS      | $185483.64    | 0.04%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.375 11/30/25                                                    | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1120000 | NS      | $1001787.49   | 0.23%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4750                                                           | CUSIP: 31418EH45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66888 | NS      | $54481.51     | 0.01%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4068                                                           | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1879657 | NS      | $1699271.83   | 0.39%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Mills, Inc.                                                                  | GIS 4.2 04/17/28                                                    | CUSIP: 370334CG7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    175000 | NS      | $169107.91    | 0.04%             | 2028-04-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.522 04/22/31                                                 | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    200000 | NS      | $163657.37    | 0.04%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                                         | MAR 2.85 04/15/31 HH                                                | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    350000 | NS      | $283423.93    | 0.06%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Metlife Sec Trust                                                                    | MST 2017-1A A                                                       | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27330 | NS      | $25514.35     | 0.01%             | 2055-04-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.25 12/31/26                                                     | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2330000 | NS      | $2086533.20   | 0.47%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Wellfleet Clo X Ltd / Llc                                                            | WELF 2019-XA A1R                                                    | CUSIP: 94949WAM8<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |   1040000 | NS      | $1013122.24   | 0.23%             | 2032-07-20      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSN AUTH N Y                                                         | NY MTATRN 5.17 11/15/2049                                           | CUSIP: 59261AG76<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    315000 | NS      | $271845.55    | 0.06%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.511 10/20/32 MTN                                              | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | NS      | $54779.29     | 0.01%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                                        | NFLX 4.875 06/15/30 144A                                            | CUSIP: 64110LAV8<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    495000 | NS      | $461636.52    | 0.10%             | 2030-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| New Resi Mtg Tr 20                                                                   | NRZT 2017-6A A1                                                     | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70986 | NS      | $66324.73     | 0.02%             | 2057-08-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 2.5 02/01/31                                                    | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    580000 | NS      | $450014.15    | 0.10%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 4.95 07/01/50                                                   | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    130000 | NS      | $100729.28    | 0.02%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma PLC                                                                   | RPRX 3.35 09/02/51                                                  | CUSIP: 78081BAP8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     35000 | NS      | $21576.28     | 0.00%             | 2051-09-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-6                                        | SDART 2022-6 B                                                      | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80000 | NS      | $77954.04     | 0.02%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc.                                                            | CRBG 3.85 04/05/29 144A                                             | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    185000 | NS      | $168499.42    | 0.04%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DISTRICT COLUMBIA                                                                    | DC DISREV 3.43 04/01/2042                                           | CUSIP: 25483VXM1<br>LEI: 549300HWFOZXPKGOX654 | Long             | DBT              | MUN               | US        |    200000 | NS      | $148365.07    | 0.03%             | 2042-04-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                                  | STAR 2021-2 A1                                                      | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163139 | NS      | $150583.17    | 0.03%             | 2065-05-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                         | B 0 02/16/23                                                        | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | NS      | $1492140.08   | 0.34%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| United States Treasury Notes                                                         | T 2.875 05/15/32                                                    | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8150000 | NS      | $7510734.38   | 1.71%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| VENTURE 37 CLO LTD                                                                   | VENTR 2019-37A A1R                                                  | CUSIP: 92333BAQ3<br>LEI: 549300IW5Q3C6JHMIU22 | Long             | ABS-CBDO         | CORP              | KY        |    870000 | NS      | $846829.29    | 0.19%             | 2032-07-15      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Inc                                                                    | DPABS 2019-1A A2                                                    | CUSIP: 25755TAL4<br>LEI: 25490005ZWM1IF9UXU57 | Long             | ABS-O            | CORP              | US        |    102112 | NS      | $88208.86     | 0.02%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA8213                                                           | CUSIP: 3133KQDS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    389226 | NS      | $400931.92    | 0.09%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-124 JA                                                     | CUSIP: 3136A9V96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     50894 | NS      | $44836.29     | 0.01%             | 2042-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2013-9 PT                                                       | CUSIP: 3136ABSM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     51730 | NS      | $48105.42     | 0.01%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K112 X1                                                        | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1126353 | NS      | $91592.81     | 0.02%             | 2030-05-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AI6588                                                           | CUSIP: 3138ALKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166363 | NS      | $162364.68    | 0.04%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V3.824 01/20/28 MTN                                             | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    295000 | NS      | $275269.23    | 0.06%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding                                                 | BHF 1.75 01/13/25 144A                                              | CUSIP: 10921U2H0<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    270000 | NS      | $248643.56    | 0.06%             | 2025-01-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                                     | BNSF 4.05 06/15/48                                                  | CUSIP: 12189LBC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | NS      | $166597.10    | 0.04%             | 2048-06-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.9 06/01/52                                                   | CUSIP: 161175CA0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    335000 | NS      | $210321.86    | 0.05%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7882                                                           | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1619048 | NS      | $1441666.56   | 0.33%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 5.3 01/15/29                                                   | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    100000 | NS      | $94634.00     | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                        | CMLTI 2018-RP1 A1                                                   | CUSIP: 17326QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30207 | NS      | $28808.36     | 0.01%             | 2064-09-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI3411                                                           | CUSIP: 3131WFYG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     31117 | NS      | $31584.37     | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS2089                                                           | CUSIP: 3132A2KA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     84722 | NS      | $87856.51     | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA5276                                                           | CUSIP: 3133KL2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1915449 | NS      | $1626647.45   | 0.37%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2015-151 BA                                                     | CUSIP: 38379QW43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     13473 | NS      | $13305.83     | 0.00%             | 2045-10-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership Lp                                            | INVH 2.3 11/15/28                                                   | CUSIP: 46188BAB8<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    175000 | NS      | $144705.62    | 0.03%             | 2028-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BU8224                                                           | CUSIP: 3140MAD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48344 | NS      | $39391.81     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BV4692                                                           | CUSIP: 3140MJGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1453569 | NS      | $1183842.14   | 0.27%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Evergy Metro Inc.                                                                    | EVRG 4.2 03/15/48                                                   | CUSIP: 485134BR0<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    125000 | NS      | $101334.22    | 0.02%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MORTGAGE TRUST                                                         | LIFE 2021-BMR A                                                     | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    447251 | NS      | $433079.86    | 0.10%             | 2038-03-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials Inc                                                        | MLM 3.2 07/15/51                                                    | CUSIP: 573284AX4<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    325000 | NS      | $221126.34    | 0.05%             | 2051-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                  | NRZT 2021-NQ2R A1                                                   | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209719 | NS      | $181293.80    | 0.04%             | 2058-10-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA3861                                                           | CUSIP: 3140QBJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502958 | NS      | $467541.66    | 0.11%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1787                                                           | CUSIP: 3140QL6Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022868 | NS      | $833701.38    | 0.19%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 3.87 07/23/60                                                | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    340000 | NS      | $219005.88    | 0.05%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| RAPID CITY S D                                                                       | SD RAPGEN 1.78 12/01/2031                                           | CUSIP: 753385MY6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    145000 | NS      | $113569.09    | 0.03%             | 2031-12-01      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3346                                                           | CUSIP: 3140QNWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61141 | NS      | $49785.76     | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB5306                                                           | CUSIP: 3140QQ3Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351800 | NS      | $361735.90    | 0.08%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                            | TPMT 2018-3 A1                                                      | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87775 | NS      | $82981.74     | 0.02%             | 2058-05-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.125 05/15/48                                                    | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | NS      | $252128.91    | 0.06%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM2984                                                           | CUSIP: 3140X6J69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1794706 | NS      | $1708546.58   | 0.39%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3004                                                           | CUSIP: 3140X6KS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362859 | NS      | $1306546.97   | 0.30%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 02/15/41                                                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16750000 | NS      | $11838847.74  | 2.69%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.375 08/31/26                                                    | CUSIP: 912828YD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9855000 | NS      | $8934558.37   | 2.03%             | 2026-08-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                           | VERUS 2021-2 A1                                                     | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244480 | NS      | $204485.28    | 0.05%             | 2066-02-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                                                      | XEL 3.35 12/01/26                                                   | CUSIP: 98389BAU4<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    525000 | NS      | $493029.64    | 0.11%             | 2026-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15050000 | NS      | $12740040.36  | 2.90%             | 2052-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| B.A.T. International Finance PLC                                                     | BATSLN 4.448 03/16/28                                               | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    250000 | NS      | $231540.31    | 0.05%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital PLC                                                           | AALLN 3.875 03/16/29 144A                                           | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    240000 | NS      | $215468.67    | 0.05%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK23                                                                      | BANK 2019-BN23 XA                                                   | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2934277 | NS      | $108498.99    | 0.02%             | 2052-12-17      | Floating      | 0.69%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 5.04 05/01/27                                                    | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    330000 | NS      | $326362.59    | 0.07%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: —       |
| Broadcom Inc                                                                         | AVGO 3.469 04/15/34 144A                                            | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    266000 | NS      | $212196.85    | 0.05%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd 2020-I/LLC                                                           | BABSN 2020-1A AR                                                    | CUSIP: 06762LAM0<br>LEI: 549300VMZDDY0435KV08 | Long             | ABS-CBDO         | CORP              | KY        |    610000 | NS      | $593537.93    | 0.13%             | 2036-10-15      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Becton, Dickinson and Company                                                        | BDX 4.669 06/06/47                                                  | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    450000 | NS      | $395982.49    | 0.09%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NQM1                                                                       | CSMC 2020-NQM1 A1                                                   | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171245 | NS      | $155248.49    | 0.04%             | 2065-05-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                                           | STZ 2.25 08/01/31                                                   | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    250000 | NS      | $198598.66    | 0.05%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST                                                    | CAALT 2021-3A A                                                     | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | NS      | $348633.98    | 0.08%             | 2030-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio                                                                     | DUK 3.65 02/01/29                                                   | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    145000 | NS      | $134264.57    | 0.03%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FLORIDA ST BRD ADMIN FIN CORP                                                        | FL FLSGEN 2.15 07/01/2030                                           | CUSIP: 341271AF1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    575000 | NS      | $470817.13    | 0.11%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-NQM2 TRUST                                                                 | GCAT 2020-NQM2 A1                                                   | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33790 | NS      | $30033.78     | 0.01%             | 2065-04-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0294                                                           | CUSIP: 3132DMKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2237696 | NS      | $2197179.50   | 0.50%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA5801                                                           | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    899303 | NS      | $766209.55    | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.851 07/25/28                                                 | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    365000 | NS      | $355795.93    | 0.08%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                                         | MAR 5 10/15/27                                                      | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    275000 | NS      | $271350.93    | 0.06%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSX Corporation                                                                      | CSX 4.1 11/15/32                                                    | CUSIP: 126408HU0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    275000 | NS      | $257811.02    | 0.06%             | 2032-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: —       |
| CSMC 2022-NQM1 TRUST                                                                 | CSMC 2022-NQM1 A1                                                   | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635681 | NS      | $545380.91    | 0.12%             | 2066-11-25      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 4.1 03/25/61                                                   | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     35000 | NS      | $24295.91     | 0.01%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 4.2 03/15/28                                                 | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     60000 | NS      | $56398.26     | 0.01%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2019-45 PT                                                      | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     73379 | NS      | $66304.59     | 0.02%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 4961 JB                                                         | CUSIP: 3137FRK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    150956 | NS      | $135369.02    | 0.03%             | 2042-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4577                                                           | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2789395 | NS      | $2271151.11   | 0.52%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                                   | EFMT 2021-1 A1                                                      | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39837 | NS      | $32488.38     | 0.01%             | 2066-02-25      | Floating      | 0.80%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM2 TRUST                                                                 | CSMC 2021-NQM2 A1                                                   | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295624 | NS      | $244805.39    | 0.06%             | 2066-02-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.5 03/01/42                                                   | CUSIP: 161175CE2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     35000 | NS      | $22426.48     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 4.75 09/01/40 10-C                                               | CUSIP: 373334JS1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     30000 | NS      | $27076.19     | 0.01%             | 2040-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V2.206 08/17/29                                                | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    400000 | NS      | $322872.42    | 0.07%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Sierra Pacific Power Company                                                         | BRKHEC 2.6 05/01/26                                                 | CUSIP: 826418BM6<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |    100000 | NS      | $92867.59     | 0.02%             | 2026-05-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 5.85 11/01/27                                                   | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     45000 | NS      | $46317.92     | 0.01%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.887 01/10/28                                                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    700000 | NS      | $654127.52    | 0.15%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                                              | EQH 1.8 03/08/28 144A                                               | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    405000 | NS      | $336884.76    | 0.08%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V5.402 08/11/33                                                | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    575000 | NS      | $532463.28    | 0.12%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.323 04/26/28                                                 | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    230000 | NS      | $219646.97    | 0.05%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QE0913                                                           | CUSIP: 3133BAAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    833621 | NS      | $803233.12    | 0.18%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-52 PA                                                      | CUSIP: 3136A6AN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     29655 | NS      | $27952.05     | 0.01%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JDE Peets N.V                                                                        | JDEPNA 1.375 01/15/27 144A                                          | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    225000 | NS      | $189913.65    | 0.04%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Mizuho Bank, Ltd. New York Branch                                                    | MIZUHO F 02/01/23 Ycd                                               | CUSIP: 60710RSL0<br>LEI: N/A                  | Long             | STIV             | CORP              | JP        |    970000 | NS      | $970183.39    | 0.22%             | 2023-02-01      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| THOMPSON PARK CLO LTD                                                                | TPRK 2021-1A A1                                                     | CUSIP: 884887AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    645000 | NS      | $626051.19    | 0.14%             | 2034-04-17      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Towd Pt Mtg Tr 2017-1                                                                | TPMT 2017-1 A1                                                      | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97661 | NS      | $96018.74     | 0.02%             | 2056-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 2.65 02/15/32                                                  | CUSIP: 62954HAJ7<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |    325000 | NS      | $254359.06    | 0.06%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH                                                                | NY NYSHGR 2.15 03/15/2031                                           | CUSIP: 64990FE26<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    570000 | NS      | $454726.79    | 0.10%             | 2031-03-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2018-70 HA                                                      | CUSIP: 3136B3BD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     48131 | NS      | $46201.55     | 0.01%             | 2056-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5467                                                           | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162042 | NS      | $157247.74    | 0.04%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                                  | NEE 4.625 07/15/27                                                  | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    435000 | NS      | $427716.09    | 0.10%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PHILADELPHIA PA AUTH                                                                 | PA PHIDEV 6.55 10/15/2028                                           | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |    355000 | NS      | $371073.65    | 0.08%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                         | B 0 02/23/23                                                        | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3035000 | NS      | $3016706.45   | 0.69%             | 2023-02-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 02/15/48                                                        | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1170000 | NS      | $958988.67    | 0.22%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V4.482 08/23/28                                                  | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     50000 | NS      | $47920.73     | 0.01%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                                   | MET 2.4 01/11/32 144A                                               | CUSIP: 59217GET2<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    370000 | NS      | $297477.86    | 0.07%             | 2032-01-11      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Prologis, L.P.                                                                       | PLD 1.75 07/01/30                                                   | CUSIP: 74340XBZ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    625000 | NS      | $492260.99    | 0.11%             | 2030-07-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 3.9 07/15/26                                                     | CUSIP: 86765BAT6<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |     70000 | NS      | $66137.01     | 0.02%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.875 05/15/52                                                    | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    870000 | NS      | $697087.50    | 0.16%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.125 02/29/28                                                    | CUSIP: 91282CBP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | NS      | $606074.22    | 0.14%             | 2028-02-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.699 01/22/31 GMTN                                             | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    445000 | NS      | $367724.28    | 0.08%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.484 09/16/36                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    425000 | NS      | $308180.78    | 0.07%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                  | NRZT 2018-4A A1S                                                    | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80109 | NS      | $76803.09     | 0.02%             | 2048-01-27      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                            | OBX 2021-NQM3 A1                                                    | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269113 | NS      | $202272.34    | 0.05%             | 2061-07-25      | Floating      | 1.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST                                                             | TLOT 2021-B A3                                                      | CUSIP: 89239CAC3<br>LEI: 5493006AB33TXC4NJ781 | Long             | ABS-O            | CORP              | US        |    525000 | NS      | $510367.62    | 0.12%             | 2024-10-21      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| Wendys Funding Llc                                                                   | WEN 2018-1A A2II                                                    | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |     57000 | NS      | $51342.64     | 0.01%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.65 11/20/40                                                    | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    200000 | NS      | $134996.76    | 0.03%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                           | VERUS 2020-5 A1                                                     | CUSIP: 92538CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104172 | NS      | $93179.88     | 0.02%             | 2065-05-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM1 TRUST                                                                  | OBX 2022-NQM1 A1                                                    | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523007 | NS      | $448193.65    | 0.10%             | 2061-11-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR5 TRUST                                                 | PROG 2022-SFR5 A                                                    | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106717 | NS      | $100086.61    | 0.02%             | 2039-06-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                                                          | WDAY 3.8 04/01/32                                                   | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    100000 | NS      | $88273.69     | 0.02%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| T-Mobile USA, Inc.                                                                   | TMUS 5.2 01/15/33                                                   | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    660000 | NS      | $654049.33    | 0.15%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TRIANGLE RE LTD                                                                      | TMIR 2021-3 M1A                                                     | CUSIP: 89600HAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    243286 | NS      | $242166.69    | 0.06%             | 2034-02-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                                | WLAKE 2020-3A D                                                     | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | NS      | $184782.49    | 0.04%             | 2026-02-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UNIV CALIF REGTS MED CTR                                                             | CA UNVHGR 6.55 05/15/2048                                           | CUSIP: 913366EP1<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |     80000 | NS      | $90941.64     | 0.02%             | 2048-05-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                                         | UPST 2021-3 A                                                       | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55059 | NS      | $53921.55     | 0.01%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V2.188 04/30/26                                                 | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    250000 | NS      | $232664.46    | 0.05%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 3 02/14/31 REGS                                              | CUSIP: X7360WBP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1072000 | NS      | $842313.28    | 0.19%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 4.35 03/01/29                                                     | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    690000 | NS      | $656167.24    | 0.15%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Aercap Ireland Capital DAC                                                           | AER 6.5 07/15/25                                                    | CUSIP: 00774MAN5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   1350000 | NS      | $1367925.23   | 0.31%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                                    | AFFRM 2020-Z1 A                                                     | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17171 | NS      | $17030.65     | 0.00%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp                                                          | AWK 3.75 09/01/28                                                   | CUSIP: 03040WAS4<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    125000 | NS      | $118209.09    | 0.03%             | 2028-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide Inc                    | ABIBB 4.9 02/01/46 *                                                | CUSIP: 03522AAJ9<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |    325000 | NS      | $295449.45    | 0.07%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | NS      | $3007399.80   | 0.68%             | 2052-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                             | AOMT 2020-6 A1                                                      | CUSIP: 03465AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47993 | NS      | $41087.51     | 0.01%             | 2065-05-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 4.439 10/06/48                                                | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    260000 | NS      | $222047.01    | 0.05%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 3.557 08/15/27                                               | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    115000 | NS      | $105059.62    | 0.02%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Aon Corp/ Aon Global Holdings PLC                                                    | AON 3.9 02/28/52                                                    | CUSIP: 03740LAE2<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |     70000 | NS      | $54020.07     | 0.01%             | 2052-02-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                           | AAPL 3.85 08/04/46                                                  | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     90000 | NS      | $76415.70     | 0.02%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust 2019-3                                                         | ARRW 2019-3 A1                                                      | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66329 | NS      | $60588.12     | 0.01%             | 2048-10-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021-INV1                                                 | BINOM 2021-INV1 A1                                                  | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185315 | NS      | $162432.84    | 0.04%             | 2056-06-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2019-B12 XA                                                   | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965853 | NS      | $40106.47     | 0.01%             | 2052-08-16      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                                      | BRAVO 2021-C A1                                                     | CUSIP: 105692AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    449385 | NS      | $403892.17    | 0.09%             | 2061-03-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                             | BMARK 2019-B11 A2                                                   | CUSIP: 08162BBB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234206 | NS      | $226314.76    | 0.05%             | 2052-05-17      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Csail 2016-C6 Commercial Mortg                                                       | CSAIL 2016-C6 ASB                                                   | CUSIP: 12636MAF5<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-O            | CORP              | US        |    213048 | NS      | $204589.80    | 0.05%             | 2049-01-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                        | CA CAS 7.62 03/01/2040                                              | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | NS      | $18943.21     | 0.00%             | 2040-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                             | COLT 2021-2 A1                                                      | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233955 | NS      | $184574.57    | 0.04%             | 2066-08-25      | Floating      | 0.92%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST                                                                       | CT CTSGEN 5.46 11/01/2030                                           | CUSIP: 207758KM4<br>LEI: 5493007GRO6CU0IKP741 | Long             | DBT              | MUN               | US        |    295000 | NS      | $299766.17    | 0.07%             | 2030-11-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS 4.282 01/09/28 144A                                              | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1225000 | NS      | $1015342.63   | 0.23%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Inc                                                                    | DPABS 2018-1A A2I                                                   | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187200 | NS      | $177199.96    | 0.04%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2022-6                                           | EART 2022-6A B                                                      | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81000 | NS      | $81096.06     | 0.02%             | 2027-08-16      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZJ0477                                                           | CUSIP: 3131WQQ67<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     65849 | NS      | $63237.32     | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2016-38 NA                                                      | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     23569 | NS      | $21380.70     | 0.00%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BU8256                                                           | CUSIP: 3140MAE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31795 | NS      | $25904.56     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BV8124                                                           | CUSIP: 3140MNA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93925 | NS      | $76510.07     | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW Finance Corp                                                           | CDWC 3.569 12/01/31                                                 | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | NS      | $49442.17     | 0.01%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Cd Mtg Tr 2017-Cd3                                                                   | CD 2017-CD3 AAB                                                     | CUSIP: 12515GAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241827 | NS      | $230925.51    | 0.05%             | 2050-02-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA0625                                                           | CUSIP: 31417YVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349953 | NS      | $338907.44    | 0.08%             | 2031-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust                                      | SCRT 2019-3 MV                                                      | CUSIP: 35563PLK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     65488 | NS      | $59853.04     | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.702 05/06/30                                                 | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    175000 | NS      | $156953.95    | 0.04%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                                         | MDLZ 2.625 03/17/27                                                 | CUSIP: 609207BA2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     30000 | NS      | $27196.88     | 0.01%             | 2027-03-17      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| NAPA VALLEY CALIF UNI SCH DIST                                                       | CA NPVSCD 1.54 08/01/2028                                           | CUSIP: 630362ET4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    335000 | NS      | $279722.89    | 0.06%             | 2028-08-01      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-1                                           | NRZT 2020-1A A1B                                                    | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81978 | NS      | $75507.76     | 0.02%             | 2059-10-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.687 04/22/32                                                 | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    920000 | NS      | $736353.36    | 0.17%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Cargill Inc.                                                                         | CARGIL 4 06/22/32 144A                                              | CUSIP: 141781BW3<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    160000 | NS      | $147370.91    | 0.03%             | 2032-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Limited XV                                                        | WOODS 2017-15A A1R                                                  | CUSIP: 66860GAG9<br>LEI: 549300YIKFTAGHX8G333 | Long             | ABS-CBDO         | CORP              | US        |    255000 | NS      | $245908.74    | 0.06%             | 2034-06-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co., L.P.                                                       | PENSKE 4.4 07/01/27 144A                                            | CUSIP: 709599BN3<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |    195000 | NS      | $185044.07    | 0.04%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHICAGO ILL O HARE INTL ARPT                                                         | IL CHITRN 2.35 01/01/2030                                           | CUSIP: 167593T44<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    560000 | NS      | $468025.94    | 0.11%             | 2030-01-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Colgate-Palmolive Company                                                            | CL 3.25 08/15/32                                                    | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |    275000 | NS      | $248171.34    | 0.06%             | 2032-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                      | SBATOW 2.836 01/15/25 144A                                          | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | NS      | $146090.14    | 0.03%             | 2050-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Truist Bank (North Carolina)                                                         | TFC 2.25 03/11/30 BKNT                                              | CUSIP: 89788KAA4<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    500000 | NS      | $405429.85    | 0.09%             | 2030-03-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.5 02/28/26                                                      | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    670000 | NS      | $597006.64    | 0.14%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 5.85 09/01/43                                                  | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     26000 | NS      | $21590.04     | 0.00%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Diageo Capital PLC                                                                   | DGELN 2 04/29/30                                                    | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | NS      | $164276.72    | 0.04%             | 2030-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Inc                                                                    | DPABS 2021-1A A2I                                                   | CUSIP: 25755TAN0<br>LEI: 25490005ZWM1IF9UXU57 | Long             | ABS-O            | CORP              | US        |    522050 | NS      | $434179.59    | 0.10%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V2.393 06/02/28 MTN                                             | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    360000 | NS      | $317731.96    | 0.07%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                                | WSTP V4.11 07/24/34                                                 | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    475000 | NS      | $407250.28    | 0.09%             | 2034-07-24      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-18 GA                                                      | CUSIP: 3136A4TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     33889 | NS      | $30218.09     | 0.01%             | 2041-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS8142                                                           | CUSIP: 3138WJBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361921 | NS      | $346588.25    | 0.08%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                              | SORT 2020-1 A2                                                      | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88839 | NS      | $73276.95     | 0.02%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Cigna Corporation                                                                    | CI 3.4 03/15/50                                                     | CUSIP: 125523CK4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    425000 | NS      | $301210.60    | 0.07%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN5279                                                           | CUSIP: 3140JM2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165429 | NS      | $158177.48    | 0.04%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE Capital International Funding Company Unlimited Company                           | GE 4.418 11/15/35                                                   | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |    200000 | NS      | $184286.10    | 0.04%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 15 LTD                                                                      | ZAIS 2020-15A A1R                                                   | CUSIP: 98888DAN2<br>LEI: 549300BTYXZYFTGVBO58 | Long             | ABS-CBDO         | CORP              | KY        |   1450000 | NS      | $1422267.30   | 0.32%             | 2032-07-28      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6933                                                           | CUSIP: 36179VV23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    724659 | NS      | $672302.38    | 0.15%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Halliburton Company                                                                  | HAL 4.85 11/15/35                                                   | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     90000 | NS      | $83260.24     | 0.02%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V6.537 08/12/33 144A                                             | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    545000 | NS      | $478179.36    | 0.11%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS1047                                                           | CUSIP: 3132A1EU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      7853 | NS      | $7747.63      | 0.00%             | 2035-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA7575                                                           | CUSIP: 3133KPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    297564 | NS      | $297833.44    | 0.07%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2017-26 CG                                                      | CUSIP: 3136AWCM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     31261 | NS      | $30360.48     | 0.01%             | 2044-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 5 04/15/33                                                      | CUSIP: 548661EL7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    250000 | NS      | $244052.74    | 0.06%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley                                                                       | MS V1.928 04/28/32 MTN                                              | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | NS      | $377263.26    | 0.09%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                                   | NRUC 4.8 03/15/28                                                   | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    210000 | NS      | $208202.30    | 0.05%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                                                           | OKE 3.4 09/01/29                                                    | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     30000 | NS      | $25927.76     | 0.01%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                                                           | OKE 6.35 01/15/31                                                   | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     40000 | NS      | $40637.80     | 0.01%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Peru (Republic of)                                                                   | PERU 3.3 03/11/41                                                   | CUSIP: 715638DS8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    380000 | NS      | $276274.96    | 0.06%             | 2041-03-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2017-35 AH                                                      | CUSIP: 3136AWNN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     38322 | NS      | $37260.42     | 0.01%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2018-23 LA                                                      | CUSIP: 3136B1WE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     43632 | NS      | $40022.34     | 0.01%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RIVERSIDE CNTY CALIF                                                                 | CA RIV 3.07 02/15/2028                                              | CUSIP: 76913CBC2<br>LEI: 254900CB5HEOBAVTY629 | Long             | DBT              | MUN               | US        |    420000 | NS      | $381203.34    | 0.09%             | 2028-02-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| The Sherwin-Williams Company                                                         | SHW 2.3 05/15/30                                                    | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    260000 | NS      | $213745.45    | 0.05%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Southern Company Gas Capital Corporation                                             | SO 2.45 10/01/23                                                    | CUSIP: 8426EPAA6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     25000 | NS      | $24455.08     | 0.01%             | 2023-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software Inc.                                                   | TTWO 3.7 04/14/27                                                   | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    225000 | NS      | $211730.02    | 0.05%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNA 2020-M2 X                                                       | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4970434 | NS      | $74789.63     | 0.02%             | 2030-01-25      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| 510 ASSET BACKED 2021-NPL2 TRUST                                                     | FTAB 2021-NPL2 A1                                                   | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410856 | NS      | $368319.05    | 0.08%             | 2061-06-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp. (Calif)                                                        | TRGP 5.2 07/01/27                                                   | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    140000 | NS      | $137218.46    | 0.03%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2015-3                                                     | TPMT 2018-2 A1                                                      | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94776 | NS      | $90703.97     | 0.02%             | 2058-03-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 6.05 02/15/63                                                   | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | NS      | $32554.17     | 0.01%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| VOLT CII LLC                                                                         | VOLT 2021-NP11 A1                                                   | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    488336 | NS      | $421351.32    | 0.10%             | 2051-08-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDON 4.35 01/08/27 REGS                                            | CUSIP: Y20721BQ1<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    340000 | NS      | $335993.42    | 0.08%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 2.7 08/20/27                                                     | CUSIP: 37045XDA1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    125000 | NS      | $109268.91    | 0.02%             | 2027-08-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc                                                                       | HD 4.5 09/15/32                                                     | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    250000 | NS      | $244100.21    | 0.06%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| AbbVie Inc.                                                                          | ABBV 4.25 11/21/49                                                  | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    545000 | NS      | $452287.40    | 0.10%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-8                                                      | AOMT 2021-8 A1                                                      | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268514 | NS      | $221763.91    | 0.05%             | 2066-11-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V3.864 07/23/24 MTN                                             | CUSIP: 06051GHL6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     35000 | NS      | $34682.90     | 0.01%             | 2024-07-23      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Howard University                                                                    | HOWUNI 3.476 10/01/41 2020                                          | CUSIP: 442851AY7<br>LEI: K51157D64JPMRRMNLC27 | Long             | DBT              | CORP              | US        |    160000 | NS      | $116003.78    | 0.03%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.58 04/22/32                                                  | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    270000 | NS      | $216280.75    | 0.05%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK22                                                                      | BANK 2019-BN22 XA                                                   | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1787939 | NS      | $57236.94     | 0.01%             | 2062-11-17      | Floating      | 0.60%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2019-B12 A5                                                   | CUSIP: 08162FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1498000 | NS      | $1332208.40   | 0.30%             | 2052-08-16      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| New Resi Mtg Tr 2017-5                                                               | NRZT 2017-5A A1                                                     | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37896 | NS      | $37056.18     | 0.01%             | 2057-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                             | PRPM 2021-4 A1                                                      | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545473 | NS      | $488435.47    | 0.11%             | 2026-04-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                             | BMARK 2018-B1 A5                                                    | CUSIP: 08162PAX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | NS      | $374028.28    | 0.09%             | 2051-01-18      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.908 07/23/25                                                 | CUSIP: 161175AY0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    150000 | NS      | $147015.15    | 0.03%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma PLC                                                                   | RPRX 1.75 09/02/27                                                  | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    380000 | NS      | $321629.49    | 0.07%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                               | SRE 3.8 02/01/38                                                    | CUSIP: 816851BH1<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     60000 | NS      | $49202.62     | 0.01%             | 2038-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 4.45 09/29/27                                                     | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1025000 | NS      | $977243.57    | 0.22%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust 2019-4                                                  | DRIVE 2019-4 D                                                      | CUSIP: 26209AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117187 | NS      | $115411.66    | 0.03%             | 2027-02-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 2.4 03/15/29                                                   | CUSIP: 87264ACS2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    160000 | NS      | $135028.37    | 0.03%             | 2029-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 09/30/27                                                    | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2385000 | NS      | $2393943.75   | 0.54%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Aercap Ireland Capital DAC                                                           | AER 3.3 01/30/32                                                    | CUSIP: 00774MAX3<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |    150000 | NS      | $117264.11    | 0.03%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST                                                             | AJAXM 2021-C A                                                      | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255855 | NS      | $236989.16    | 0.05%             | 2061-01-25      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS4232                                                           | CUSIP: 3132A4VZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8007 | NS      | $8300.91      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 4142 PT                                                         | CUSIP: 3137AX5Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     62162 | NS      | $58007.64     | 0.01%             | 2027-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| AutoNation, Inc.                                                                     | AN 4.5 10/01/25                                                     | CUSIP: 05329WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    193000 | NS      | $187699.08    | 0.04%             | 2025-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BBMCS MORTGAGE TRUST 2022-C16                                                        | BBCMS 2022-C16 A5                                                   | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | NS      | $115447.03    | 0.03%             | 2055-06-17      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                                                | SANTAN 4.25 04/11/27                                                | CUSIP: 05964HAB1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | NS      | $949345.65    | 0.22%             | 2027-04-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.15 04/15/32 144A                                             | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    325000 | NS      | $285303.92    | 0.06%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| COLT MORTGAGE LOAN TRUST                                                             | COLT 2020-2R A1                                                     | CUSIP: 12656GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106436 | NS      | $95093.47     | 0.02%             | 2065-10-26      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 2.125 09/15/31                                                  | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    275000 | NS      | $218039.57    | 0.05%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: —       |
| Citigroup Inc.                                                                       | C V3.057 01/25/33                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    525000 | NS      | $423682.74    | 0.10%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| COLT 2022-4 MORTGAGE LOAN TRUST                                                      | COLT 2022-4 A1                                                      | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93616 | NS      | $89440.25     | 0.02%             | 2067-03-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 5.55 01/23/49                                                 | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     50000 | NS      | $49429.89     | 0.01%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK31                                                                      | BANK 2021-BN31 A4                                                   | CUSIP: 06541ABG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275000 | NS      | $218976.56    | 0.05%             | 2054-02-18      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AX7549                                                           | CUSIP: 3138Y9L71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269547 | NS      | $258185.10    | 0.06%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BU1340                                                           | CUSIP: 3140M2P22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34827 | NS      | $28371.63     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                            | DUK 3.45 04/15/51                                                   | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    145000 | NS      | $105836.73    | 0.02%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| Energy Transfer LP                                                                   | ET 6.125 12/15/45                                                   | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    140000 | NS      | $129533.78    | 0.03%             | 2045-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Farm Credit Banks                                                            | FFCB 2.9 04/12/32                                                   | CUSIP: 3133ENUJ7<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   2080000 | NS      | $1863083.67   | 0.42%             | 2032-04-12      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 256845                                                           | CUSIP: 31371NHW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13554 | NS      | $14179.35     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AZ7821                                                           | CUSIP: 3140E0VP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170864 | NS      | $158882.43    | 0.04%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB4297                                                           | CUSIP: 3140QPX36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2911345 | NS      | $2823945.92   | 0.64%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM7 TRUST                                                                 | GCAT 2021-NQM7 A1                                                   | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212520 | NS      | $186074.51    | 0.04%             | 2066-08-25      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Gnma Pass-Thru M Single Family                                                       | G2 MA2602                                                           | CUSIP: 36179Q3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169224 | NS      | $162782.77    | 0.04%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7400000 | NS      | $7177352.80   | 1.63%             | 2052-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI3851                                                           | CUSIP: 3131WGH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     33349 | NS      | $32696.87     | 0.01%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6410                                                           | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317998 | NS      | $292375.55    | 0.07%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                                              | KEY 2.55 10/01/29 MTN                                               | CUSIP: 49326EEJ8<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     70000 | NS      | $58962.82     | 0.01%             | 2029-10-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOC GOVT ENVIRONMENTAL FACS & CMNTY DEV AUTH                               | LA LASGOV 4.28 02/01/2036                                           | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    345000 | NS      | $320778.59    | 0.07%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 5.141 03/15/52 144A                                             | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    630000 | NS      | $457988.84    | 0.10%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZL7115                                                           | CUSIP: 3131XN3Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     19039 | NS      | $18205.85     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3136                                                           | CUSIP: 3140X6PW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061818 | NS      | $941500.27    | 0.21%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                        | MCMLT 2019-1 A1                                                     | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125547 | NS      | $118060.32    | 0.03%             | 2069-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST                                              | SGCMS 2020-COVE A                                                   | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | NS      | $451041.72    | 0.10%             | 2037-04-17      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4562                                                           | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999900 | NS      | $814669.94    | 0.19%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8268                                                           | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    994966 | NS      | $965347.05    | 0.22%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                              | BPCEGP V1.652 10/06/26 144A                                         | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1675000 | NS      | $1488547.93   | 0.34%             | 2026-10-06      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.11 09/15/28                                                  | CUSIP: 11135FAL5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     12000 | NS      | $11159.94     | 0.00%             | 2028-09-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                           | GCAT 2021-NQM1 A1                                                   | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192336 | NS      | $161456.30    | 0.04%             | 2066-01-25      | Floating      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6339                                                           | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333999 | NS      | $309211.82    | 0.07%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                      | CSLAU 4.25 04/27/32 144A                                            | CUSIP: 12661PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    490000 | NS      | $461394.49    | 0.10%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                                  | CATMED 6.461 11/01/52                                               | CUSIP: 20268JAM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    440000 | NS      | $469565.69    | 0.11%             | 2052-11-01      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.875 11/15/46                                                    | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | NS      | $1201933.59   | 0.27%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                                             | VCAT 2021-NPL2 A1                                                   | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75606 | NS      | $68316.88     | 0.02%             | 2051-03-27      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2013-37 LG                                                      | CUSIP: 38378JNS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     35787 | NS      | $33693.59     | 0.01%             | 2042-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 4.3 06/18/29                                                   | CUSIP: 62954HAV0<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |     89000 | NS      | $82974.61     | 0.02%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Disney Walt Co New                                                                   | Disney Walt Co New 0% CP 17/02/2023                                 | CUSIP: 2546R3PH1<br>LEI: 549300GZKULIZ0WOW665 | Long             | STIV             | CORP              | US        |    310000 | NS      | $308090.70    | 0.07%             | 2023-02-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5170 DP                                                         | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    459979 | NS      | $388587.76    | 0.09%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 5.45 06/15/27                                                   | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    590000 | NS      | $581804.19    | 0.13%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 08/15/49                                                     | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    510000 | NS      | $358514.06    | 0.08%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                                                 | WSTOP 2020-1A A2                                                    | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99000 | NS      | $83662.92     | 0.02%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| VOLT XCIII LLC                                                                       | VOLT 2021-NPL2 A1                                                   | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    348473 | NS      | $313490.98    | 0.07%             | 2051-02-27      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Ovintiv Inc                                                                          | OVV 7.375 11/01/31                                                  | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | NS      | $58541.26     | 0.01%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM2985                                                           | CUSIP: 3140X6J77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897733 | NS      | $859913.10    | 0.20%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 892632                                                           | CUSIP: 31410NVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21722 | NS      | $22254.71     | 0.01%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                           | AMGN 4.2 03/01/33                                                   | CUSIP: 031162DJ6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    225000 | NS      | $208153.82    | 0.05%             | 2033-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                             | AOMT 2020-R1 A1                                                     | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130961 | NS      | $121822.84    | 0.03%             | 2053-04-25      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 3.05 08/12/51                                                  | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    290000 | NS      | $187773.69    | 0.04%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM 2.95 10/01/26                                                   | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    170000 | NS      | $158546.28    | 0.04%             | 2026-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                                               | HLNLN 3.375 03/24/27                                                | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    525000 | NS      | $488751.80    | 0.11%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Company                                                   | HPE 6.35 10/15/45                                                   | CUSIP: 42824CAY5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     50000 | NS      | $49868.81     | 0.01%             | 2045-10-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Finance Inc.                                                    | ABIBB 4.9 02/01/46                                                  | CUSIP: 035242AN6<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |     85000 | NS      | $77271.39     | 0.02%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 2.875 09/15/29                                                  | CUSIP: 036752AL7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     55000 | NS      | $48321.83     | 0.01%             | 2029-09-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 4.279 03/15/32 144A                                             | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    340000 | NS      | $280080.02    | 0.06%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Companies, Inc.                                                     | MMC 4.75 03/15/39                                                   | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     55000 | NS      | $50538.68     | 0.01%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Korea Hydro & Nuclear Power Co Ltd.                                                  | KOHNPW 4.25 07/27/27 144A                                           | CUSIP: 50064YAQ6<br>LEI: 9884008CRY5MLCN8OQ43 | Long             | DBT              | CORP              | KR        |    320000 | NS      | $307696.00    | 0.07%             | 2027-07-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSN AUTH N Y                                                         | NY MTATRN 4.75 11/15/2045                                           | CUSIP: 59261AG35<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    115000 | NS      | $107534.90    | 0.02%             | 2045-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NMLT 2021-INV1 TRUST                                                                 | NLT 2021-INV1 A1                                                    | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    871791 | NS      | $695193.99    | 0.16%             | 2056-05-25      | Floating      | 1.19%                 | No            |                  2 | On Loan: No      |
| Nextgear Floorplan Master Owner Trust                                                | NFMOT 2021-1A A                                                     | CUSIP: 65341KBQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | NS      | $1392870.15   | 0.32%             | 2026-07-15      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK29                                                                      | BANK 2020-BN29 XA                                                   | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2852631 | NS      | $211445.25    | 0.05%             | 2053-11-18      | Floating      | 1.34%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXIV LTD                                                            | BLUEM 2019-24A AR                                                   | CUSIP: 09609NAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    410000 | NS      | $397718.04    | 0.09%             | 2034-04-20      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                                | NOMURA 2.608 07/14/31                                               | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    500000 | NS      | $386702.13    | 0.09%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 2.875 03/25/31                                                 | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    325000 | NS      | $269466.29    | 0.06%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V2.219 06/09/26 144A                                            | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1600000 | NS      | $1469021.09   | 0.33%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Cigna Corporation                                                                    | CI 1.25 03/15/26                                                    | CUSIP: 125523CP3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    360000 | NS      | $320737.59    | 0.07%             | 2026-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 6.9 11/09/52                                                   | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    525000 | NS      | $561657.89    | 0.13%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST                                                           | PROG 2021-SFR8 A                                                    | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399047 | NS      | $339969.79    | 0.08%             | 2038-10-19      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                               | SDART 2020-4 D                                                      | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70000 | NS      | $66792.42     | 0.02%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                               | SRE 3.4 02/01/28                                                    | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    210000 | NS      | $194900.95    | 0.04%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIX LTD                                                             | SNDPT 2021-1A A                                                     | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    645000 | NS      | $621251.75    | 0.14%             | 2034-04-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | TII 0.125 02/15/52                                                  | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    305000 | NS      | $211164.05    | 0.05%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 5.35 11/15/27                                                 | CUSIP: 20030NEA5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    180000 | NS      | $183830.14    | 0.04%             | 2027-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST                                                                  | DBGS 2018-C1 XA                                                     | CUSIP: 23307DBB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12007324 | NS      | $99447.06     | 0.02%             | 2051-10-17      | Floating      | 0.19%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.625 02/15/29                                                    | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4755000 | NS      | $4394660.16   | 1.00%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.375 11/15/31                                                    | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3695000 | NS      | $3007383.60   | 0.68%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                | SOCGEN V6.221 06/15/33 144A                                         | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    575000 | NS      | $537788.61    | 0.12%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                               | STANLN V7.767 11/16/28 144A                                         | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | NS      | $211880.30    | 0.05%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                                               | FR ZS3030                                                           | CUSIP: 3132A3LK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    166681 | NS      | $169812.89    | 0.04%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QE3454                                                           | CUSIP: 3133BCZT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     65286 | NS      | $53160.53     | 0.01%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA7574                                                           | CUSIP: 3133KPMX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    396999 | NS      | $398828.78    | 0.09%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BT4443                                                           | CUSIP: 3140LS5D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985192 | NS      | $802611.99    | 0.18%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 899685                                                           | CUSIP: 31410WRE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48129 | NS      | $50151.75     | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lam Research Corporation                                                             | LRCX 1.9 06/15/30                                                   | CUSIP: 512807AV0<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |    425000 | NS      | $346291.19    | 0.08%             | 2030-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.9 04/15/58                                                   | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    140000 | NS      | $109650.81    | 0.02%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oneok Inc.                                                                           | OKE 4.55 07/15/28                                                   | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     65000 | NS      | $61347.59     | 0.01%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 4.75 03/08/44 MTN                                               | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    800000 | NS      | $645260.11    | 0.15%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 4.28 08/14/41                                                   | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    885000 | NS      | $682354.74    | 0.16%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.5 02/15/46                                                      | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4515000 | NS      | $3378137.10   | 0.77%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 02/15/51                                                    | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4425000 | NS      | $2812294.96   | 0.64%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 3.6 04/01/40                                                   | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    350000 | NS      | $256763.80    | 0.06%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                             | PRPM 2021-3 A1                                                      | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404640 | NS      | $360740.77    | 0.08%             | 2026-04-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.375 03/31/29                                                    | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11710000 | NS      | $10647866.46  | 2.42%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4 05/15/29                                                      | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    255000 | NS      | $243524.56    | 0.06%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR4 TRUST                                                 | PROG 2022-SFR4 A                                                    | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379714 | NS      | $352360.11    | 0.08%             | 2041-05-17      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 5.625 03/01/25                                               | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     57000 | NS      | $57080.51     | 0.01%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 3 11/26/51                                                   | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    145000 | NS      | $98182.04     | 0.02%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Pt Mtg Tr 2017-2                                                                | TPMT 2018-1 A1                                                      | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21108 | NS      | $20352.27     | 0.00%             | 2058-01-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Pt Mtg Tr 2018-5                                                                | TPMT 2018-5 A1A                                                     | CUSIP: 89176VAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183460 | NS      | $176464.83    | 0.04%             | 2058-07-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                            | TPMT 2019-1 A1                                                      | CUSIP: 89177BAA3<br>LEI: 549300ZHISOOIT5VZP03 | Long             | ABS-O            | CORP              | US        |    336432 | NS      | $316552.43    | 0.07%             | 2058-03-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.75 11/15/43                                                     | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4670000 | NS      | $4377030.45   | 0.99%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.125 08/15/40                                                    | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1335000 | NS      | $829055.85    | 0.19%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| VOLT CIII LLC                                                                        | VOLT 2021-CF1 A1                                                    | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311028 | NS      | $278975.73    | 0.06%             | 2051-08-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                                    | ADGLXY 2.94 09/30/40 REGS                                           | CUSIP: G3R238AD5<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    376947 | NS      | $302649.64    | 0.07%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.884 10/22/30 MTN                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    315000 | NS      | $263521.14    | 0.06%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| The Brooklyn Union Gas Company                                                       | NGGLN 4.866 08/05/32 144A                                           | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    285000 | NS      | $266278.50    | 0.06%             | 2032-08-05      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                                  | COMM 2020-CX A                                                      | CUSIP: 12656KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | NS      | $116339.24    | 0.03%             | 2046-11-10      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                      | CSLAU 3.85 04/27/27 144A                                            | CUSIP: 12661PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     50000 | NS      | $47831.40     | 0.01%             | 2027-04-27      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding 2015-1                                                         | ATH 2.646 10/04/31 144A                                             | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    305000 | NS      | $233006.12    | 0.05%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 3.462 09/06/29                                               | CUSIP: 05526DBH7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    160000 | NS      | $137499.96    | 0.03%             | 2029-09-06      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R08                                         | CAS 2022-R08 1M1                                                    | CUSIP: 20755DAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     64980 | NS      | $65183.85     | 0.01%             | 2042-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4250000 | NS      | $3904114.68   | 0.89%             | 2052-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.4 04/01/33                                                   | CUSIP: 161175CJ1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    105000 | NS      | $89844.22     | 0.02%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York, Inc.                                        | ED 3.2 12/01/51                                                     | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    160000 | NS      | $110684.77    | 0.03%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                                    | AFFRM 2020-Z2 A                                                     | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54367 | NS      | $52891.19     | 0.01%             | 2025-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Dell International L.L.C. and EMC Corporation                                        | DELL 8.1 07/15/36                                                   | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    257000 | NS      | $287998.85    | 0.07%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8063                                                           | CUSIP: 3132DV5Y7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    420499 | NS      | $384615.19    | 0.09%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 2012-1 Ltd.                                                    | ANCHC 2016-8A AR2A                                                  | CUSIP: 03329KAY9<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |    425000 | NS      | $414415.80    | 0.09%             | 2034-10-27      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                                         | AVOL 2.875 02/15/25 144A                                            | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1675000 | NS      | $1547307.20   | 0.35%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.25 04/15/29                                                    | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     30000 | NS      | $29008.68     | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                                                  | EART 2020-1A D                                                      | CUSIP: 30167HAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128943 | NS      | $126415.66    | 0.03%             | 2025-12-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 3.45 11/01/28                                                    | CUSIP: 097023CA1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1575000 | NS      | $1408955.89   | 0.32%             | 2028-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                           | CSMC 2021-NQM6 A1                                                   | CUSIP: 12662KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546952 | NS      | $425014.08    | 0.10%             | 2066-07-25      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7540                                                           | CUSIP: 3132DVLV5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    961945 | NS      | $825180.81    | 0.19%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K104 X1                                                        | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    989880 | NS      | $59944.84     | 0.01%             | 2030-01-25      | Floating      | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD5035                                                           | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2430552 | NS      | $1979150.71   | 0.45%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 867613                                                           | CUSIP: 31409C3W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20190 | NS      | $20423.56     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AB3744                                                           | CUSIP: 31417AES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149373 | NS      | $143450.55    | 0.03%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5764                                                           | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154777 | NS      | $150186.00    | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Company                                                     | CP 2.05 03/05/30                                                    | CUSIP: 13648TAA5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    400000 | NS      | $327799.31    | 0.07%             | 2030-03-05      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.3 02/01/27                                                  | CUSIP: 20030NBY6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1475000 | NS      | $1389971.01   | 0.32%             | 2027-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BW1796                                                           | CUSIP: 3140MS7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368255 | NS      | $299922.55    | 0.07%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                                   | EFMT 2021-2 A1                                                      | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195763 | NS      | $150571.00    | 0.03%             | 2066-06-25      | Floating      | 0.93%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                  | CAS 2021-R01 1M2                                                    | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    134000 | NS      | $130590.62    | 0.03%             | 2041-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                                           | STZ 4.75 05/09/32                                                   | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    231000 | NS      | $222271.71    | 0.05%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Intercontinental Exchange Inc                                                        | ICE 4.35 06/15/29                                                   | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     70000 | NS      | $67857.94     | 0.02%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                  | NRZT 2019-3A A1A                                                    | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131608 | NS      | $121700.56    | 0.03%             | 2058-11-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                           | RCICN 4.55 03/15/52 144A                                            | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    130000 | NS      | $100787.19    | 0.02%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Towd Pt Mtg Tr 2017-2                                                                | TPMT 2017-2 A1                                                      | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12522 | NS      | $12360.55     | 0.00%             | 2057-04-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5 05/15/50                                                       | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    485000 | NS      | $387481.45    | 0.09%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G05447                                                           | CUSIP: 3128M7L46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61546 | NS      | $61025.60     | 0.01%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | XIT 4 11/15/42                                                      | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2135000 | NS      | $2090298.44   | 0.48%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Verus Securitization Trust                                                           | VERUS 2019-INV3 A1                                                  | CUSIP: 92537MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73413 | NS      | $68914.06     | 0.02%             | 2059-11-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3378                                                           | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88351 | NS      | $88557.62     | 0.02%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                         | GSMS 2013-GC13 A5                                                   | CUSIP: 36198EAE5<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-O            | CORP              | US        |    380000 | NS      | $376982.61    | 0.09%             | 2046-07-12      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2012-103 HB                                                     | CUSIP: 3136A8ZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     56419 | NS      | $52890.27     | 0.01%             | 2027-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-1 AC                                                       | CUSIP: 3136B8NW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    287396 | NS      | $269385.90    | 0.06%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE Healthcare Holding LLC                                                            | GEHC 5.857 03/15/30 144A                                            | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    180000 | NS      | $184205.11    | 0.04%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.96 01/29/27                                                  | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    215000 | NS      | $204948.05    | 0.05%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 745044                                                           | CUSIP: 31403CWD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5855 | NS      | $5774.71      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1805                                                           | CUSIP: 3140QMAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403091 | NS      | $345184.99    | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4 02/15/25                                                     | CUSIP: 55336VAA8<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    300000 | NS      | $290743.77    | 0.07%             | 2025-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 4.45 03/01/47 MTN                                               | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    115000 | NS      | $99688.07     | 0.02%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3441                                                           | CUSIP: 3140XJZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559647 | NS      | $574085.23    | 0.13%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5711                                                           | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135856 | NS      | $131875.33    | 0.03%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust                                                        | MCMLT 2017-3 A1                                                     | CUSIP: 59980CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54804 | NS      | $52977.89     | 0.01%             | 2061-01-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                  | NRZT 2021-NQ1R A1                                                   | CUSIP: 64828BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141232 | NS      | $115794.06    | 0.03%             | 2049-01-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST                                                          | LMAT 2021-GS2 A1                                                    | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297313 | NS      | $268739.02    | 0.06%             | 2061-04-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2018-2                                                 | MCMLT 2018-2 A1                                                     | CUSIP: 59980MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48122 | NS      | $47159.65     | 0.01%             | 2058-05-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 5.15 05/01/40                                                   | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    215000 | NS      | $208966.26    | 0.05%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                                                 | OTIS 2.565 02/15/30                                                 | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    150000 | NS      | $126029.90    | 0.03%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                             | PRPM 2021-6 A1                                                      | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265045 | NS      | $239294.10    | 0.05%             | 2026-07-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                               | SDART 2019-3 D                                                      | CUSIP: 80286HAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102680 | NS      | $102203.86    | 0.02%             | 2025-10-15      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-7                                        | SDART 2022-7 B                                                      | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | NS      | $328129.36    | 0.07%             | 2028-01-18      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                               | SRE 3.7 04/01/29                                                    | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     45000 | NS      | $41016.67     | 0.01%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.125 02/28/27                                                    | CUSIP: 912828ZB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    265000 | NS      | $235591.21    | 0.05%             | 2027-02-28      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                                                      | XEL 4.6 06/01/32                                                    | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    125000 | NS      | $119379.30    | 0.03%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| RR 16 LTD                                                                            | RRAM 2021-16A A1                                                    | CUSIP: 74971CAA1<br>LEI: 549300FLUOZC8QYYKL96 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | NS      | $1124076.70   | 0.26%             | 2036-07-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| RIVERSIDE CNTY CALIF                                                                 | CA RIV 2.96 02/15/2027                                              | CUSIP: 76913CBB4<br>LEI: 254900CB5HEOBAVTY629 | Long             | DBT              | MUN               | US        |    420000 | NS      | $387025.93    | 0.09%             | 2027-02-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma PLC                                                                   | RPRX 2.2 09/02/30                                                   | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    220000 | NS      | $171943.87    | 0.04%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Teck Resources Limited                                                               | TCKBCN 3.9 07/15/30                                                 | CUSIP: 878742BG9<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |    525000 | NS      | $469498.42    | 0.11%             | 2030-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Spectrum Management Holding Company LLC                                              | TWC 6.55 05/01/37                                                   | CUSIP: 88732JAJ7<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    110000 | NS      | $104726.70    | 0.02%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V4.751 05/12/28 144A                                            | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | NS      | $191395.16    | 0.04%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                               | WM 3.15 11/15/27                                                    | CUSIP: 94106LBE8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    175000 | NS      | $163241.55    | 0.04%             | 2027-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V3.908 04/25/26 MTN                                             | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    190000 | NS      | $184662.37    | 0.04%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                                                | AL 2.875 01/15/26 MTN                                               | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1600000 | NS      | $1480408.88   | 0.34%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                             | AOMT 2021-4 A1                                                      | CUSIP: 03464EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235543 | NS      | $185229.85    | 0.04%             | 2065-07-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST I LLC                                                       | AOMT 2018-3 A1                                                      | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1192 | NS      | $1185.71      | 0.00%             | 2048-09-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                             | AOMT 2021-1 A1                                                      | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173037 | NS      | $141266.26    | 0.03%             | 2066-01-25      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 4.742 03/16/32                                               | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    180000 | NS      | $159718.39    | 0.04%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC 4.183 11/25/27 L                                                | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1625000 | NS      | $1541313.51   | 0.35%             | 2027-11-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk4                                                                       | BANK 2019-BN24 XA                                                   | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    985922 | NS      | $34530.55     | 0.01%             | 2062-11-17      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                                         | BMY 2.95 03/15/32                                                   | CUSIP: 110122DU9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    150000 | NS      | $130495.61    | 0.03%             | 2032-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0295                                                           | CUSIP: 3132DMKG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    927816 | NS      | $834183.88    | 0.19%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST LLC                                                         | AOMT 2020-4 A1                                                      | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56565 | NS      | $50488.08     | 0.01%             | 2065-05-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2013-16 A                                                       | CUSIP: 3136ACRN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     50411 | NS      | $48233.61     | 0.01%             | 2040-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2017-34 JK                                                      | CUSIP: 3136AWTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     19026 | NS      | $18010.27     | 0.00%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20                                                                      | BANK 2019-BN20 XA                                                   | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1168635 | NS      | $48503.48     | 0.01%             | 2062-09-15      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.125 07/01/49                                                 | CUSIP: 161175BS2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     45000 | NS      | $34027.29     | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8400000 | NS      | $7277407.70   | 1.65%             | 2052-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHLB 4.75 12/10/32                                                  | CUSIP: 3130ATVX2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    600000 | NS      | $614581.00    | 0.14%             | 2032-12-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Alibaba Group Holding Ltd                                                            | BABA 3.4 12/06/27                                                   | CUSIP: 01609WAT9<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    480000 | NS      | $441535.29    | 0.10%             | 2027-12-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 2.721 01/12/32                                                 | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    100000 | NS      | $83345.97     | 0.02%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                                        | CSMC 2020-NET A                                                     | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97732 | NS      | $87297.45     | 0.02%             | 2037-08-17      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Cargill Inc.                                                                         | CARGIL 2.125 11/10/31 144A                                          | CUSIP: 141781BS2<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    200000 | NS      | $157885.50    | 0.04%             | 2031-11-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2017-49 JA                                                      | CUSIP: 3136AXJT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     36240 | NS      | $35429.90     | 0.01%             | 2053-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS8583                                                           | CUSIP: 3138WJRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379358 | NS      | $351928.25    | 0.08%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZI4161                                                           | CUSIP: 3131WGTS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3888 | NS      | $3989.91      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2016-11 GA                                                      | CUSIP: 3136ARQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     47064 | NS      | $43018.44     | 0.01%             | 2046-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST                                                        | CMLTI 2018-RP3 A1                                                   | CUSIP: 17327DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115973 | NS      | $109682.81    | 0.02%             | 2061-03-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.55 02/15/28                                                    | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    140000 | NS      | $138870.20    | 0.03%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD4104                                                           | CUSIP: 3133B1RZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    992360 | NS      | $808672.59    | 0.18%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QE0827                                                           | CUSIP: 3133B94L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1050100 | NS      | $855217.26    | 0.19%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNA 2019-M21 X3                                                     | CUSIP: 3136B6XE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2099831 | NS      | $181653.62    | 0.04%             | 2034-06-25      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 4146 AB                                                         | CUSIP: 3137AXEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     53336 | NS      | $49718.00     | 0.01%             | 2027-12-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2017-84 KA                                                      | CUSIP: 3136AYMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     40161 | NS      | $38816.11     | 0.01%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA1564                                                           | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407241 | NS      | $399177.79    | 0.09%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB4307                                                           | CUSIP: 3140QPYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1949054 | NS      | $1945407.81   | 0.44%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V5.21 08/11/28                                                 | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | NS      | $192950.58    | 0.04%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2764                                                           | CUSIP: 3140QNCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999900 | NS      | $814338.88    | 0.19%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM2971                                                           | CUSIP: 3140X6JR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    913918 | NS      | $877813.28    | 0.20%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.764 11/19/31                                                 | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    460000 | NS      | $348711.55    | 0.08%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                                           | LHX 4.4 06/15/28 *                                                  | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     32000 | NS      | $30630.91     | 0.01%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MasterCard Incorporated                                                              | MA 3.3 03/26/27                                                     | CUSIP: 57636QAR5<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    625000 | NS      | $595233.94    | 0.14%             | 2027-03-26      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS 3.95 04/23/27                                                    | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    754000 | NS      | $712072.28    | 0.16%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5265                                                           | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151688 | NS      | $149157.87    | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.383 07/21/32                                                  | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    345000 | NS      | $267688.50    | 0.06%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 3.625 09/01/49 MTN                                              | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    120000 | NS      | $90268.73     | 0.02%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V4.21 04/20/28                                                   | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    235000 | NS      | $223507.06    | 0.05%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Jpmdb Commercial Mortgage Secu                                                       | JPMDB 2016-C2 A4                                                    | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545000 | NS      | $504491.57    | 0.11%             | 2049-06-17      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Lennar Corporation                                                                   | LEN 4.75 11/29/27                                                   | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    170000 | NS      | $163882.01    | 0.04%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust-2017                                             | NRZT 2017-2A A3                                                     | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69854 | NS      | $65446.64     | 0.01%             | 2057-03-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y                                                                         | NY NYC 1.92 08/01/2031                                              | CUSIP: 64966QRQ5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    575000 | NS      | $444711.90    | 0.10%             | 2031-08-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Northwestern Mem Healthcare                                                          | NWMEDI 1.774 07/15/31 2021                                          | CUSIP: 668103AB0<br>LEI: 549300SYNDSEG3SY2U05 | Long             | DBT              | CORP              | US        |    315000 | NS      | $238161.80    | 0.05%             | 2031-07-15      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                            | OBX 2021-NQM1 A1                                                    | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276944 | NS      | $215439.16    | 0.05%             | 2066-02-25      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 3.16 01/23/30                                                | CUSIP: 698299BK9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | NS      | $171996.77    | 0.04%             | 2030-01-23      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                            | PRXNA 3.257 01/19/27 144A                                           | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    200000 | NS      | $178791.37    | 0.04%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 1.7 09/15/28                                                    | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    250000 | NS      | $209977.04    | 0.05%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 5.625 04/15/53                                                  | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    105000 | NS      | $100516.00    | 0.02%             | 2053-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 6.15 11/09/29                                                  | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    200000 | NS      | $207593.18    | 0.05%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 3.5 02/12/34                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    846000 | NS      | $677027.28    | 0.15%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Spectrum Management Holding Company LLC                                              | TWC 4.5 09/15/42                                                    | CUSIP: 88732JBD9<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |     65000 | NS      | $47586.80     | 0.01%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                            | TPMT 2021-R1 A1                                                     | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220949 | NS      | $974203.49    | 0.22%             | 2060-11-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TURST                                           | MFCC 2021-1A A                                                      | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185000 | NS      | $176500.19    | 0.04%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| NiSource Inc.                                                                        | NI 1.7 02/15/31                                                     | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     55000 | NS      | $41927.83     | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                                             | VCAT 2021-NPL5 A1                                                   | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451681 | NS      | $397952.90    | 0.09%             | 2051-08-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.355 03/15/32                                                   | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    475000 | NS      | $376533.49    | 0.09%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Rr 1 Ltd                                                                             | RRAM 2017-1A A1AB                                                   | CUSIP: 78108YAL6<br>LEI: 5493009J845TPXPKFN71 | Long             | ABS-CBDO         | CORP              | KY        |   1345000 | NS      | $1315044.16   | 0.30%             | 2035-07-16      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Starbucks Corporation                                                                | SBUX 4 11/15/28                                                     | CUSIP: 855244AR0<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    225000 | NS      | $214187.53    | 0.05%             | 2028-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4.95 05/15/62                                                   | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     40000 | NS      | $37435.31     | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                           | VERUS 2021-4 A1                                                     | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188930 | NS      | $145357.91    | 0.03%             | 2066-07-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.375 08/15/42                                                    | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1175000 | NS      | $1050156.25   | 0.24%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC 3.875 08/01/25 MTN                                              | CUSIP: 06051GFS3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    715000 | NS      | $695975.07    | 0.16%             | 2025-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW Finance Corp                                                           | CDWC 3.276 12/01/28                                                 | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | NS      | $68492.80     | 0.02%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 4.125 04/01/40                                                  | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    285000 | NS      | $237131.64    | 0.05%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                                             | COXENT 3.15 08/15/24 144A                                           | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     19000 | NS      | $18284.94     | 0.00%             | 2024-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                                             | COXENT 2.6 06/15/31 144A                                            | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    185000 | NS      | $147325.60    | 0.03%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                           | CSMC 2021-NQM5 A1                                                   | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226460 | NS      | $174678.09    | 0.04%             | 2066-05-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| DRYDEN 86 CLO LTD                                                                    | DRSLF 2020-86A A1R                                                  | CUSIP: 26245XAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | NS      | $682167.50    | 0.16%             | 2034-07-17      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6988                                                           | CUSIP: 3140QEXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955657 | NS      | $824018.95    | 0.19%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5529                                                           | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162366 | NS      | $159405.21    | 0.04%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST 2022-SHIP                                   | GSMS 2022-SHIP A                                                    | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000 | NS      | $44370.11     | 0.01%             | 2036-08-15      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                                                          | HUM 5.875 03/01/33                                                  | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     40000 | NS      | $41292.14     | 0.01%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                                                         | IMPRL 2021-NQM2 A1                                                  | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214878 | NS      | $171290.90    | 0.04%             | 2056-09-25      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| Jpmdb Coml Mtg Sec Tr 2016-C4                                                        | JPMDB 2016-C4 ASB                                                   | CUSIP: 46646RAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245534 | NS      | $233660.46    | 0.05%             | 2049-12-17      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.509 01/23/29                                                 | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    560000 | NS      | $508217.39    | 0.12%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXVIII LTD                                                     | MDPK 2021-38A A                                                     | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1315000 | NS      | $1281905.40   | 0.29%             | 2034-07-17      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                        | MCMLT 2019-GS1 A1                                                   | CUSIP: 59981BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267625 | NS      | $248668.24    | 0.06%             | 2059-07-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| NiSource Inc.                                                                        | NI 3.49 05/15/27                                                    | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    150000 | NS      | $141285.46    | 0.03%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Schlumberger Holdings Corporation                                                    | SLB 4.3 05/01/29 144A                                               | CUSIP: 806851AH4<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     64000 | NS      | $60096.07     | 0.01%             | 2029-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 08/15/46                                                     | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1620000 | NS      | $1146466.40   | 0.26%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                                         | UPST 2021-4 A                                                       | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156317 | NS      | $151318.49    | 0.03%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.55 03/15/35                                                  | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    750000 | NS      | $701309.33    | 0.16%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                        | CMLTI 2018-RP2 A1                                                   | CUSIP: 17326UAA2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    101830 | NS      | $97594.63     | 0.02%             | 2058-02-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| DBJPM MORTGAGE TRUST                                                                 | DBJPM 2020-C9 XA                                                    | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    486903 | NS      | $33787.61     | 0.01%             | 2053-08-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8211                                                           | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    999900 | NS      | $814578.65    | 0.19%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                                  | FITB 2.375 01/28/25                                                 | CUSIP: 316773CY4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    120000 | NS      | $113782.22    | 0.03%             | 2025-01-28      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bank of Cincinnati                                                       | FITB V5.852 10/27/25                                                | CUSIP: 31677QBT5<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |    250000 | NS      | $252524.79    | 0.06%             | 2025-10-27      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 2.1 07/30/23 A                                                   | CUSIP: 373334KM2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    225000 | NS      | $221087.22    | 0.05%             | 2023-07-30      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 3.5 09/01/30                                                    | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    220000 | NS      | $189744.78    | 0.04%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 3.1 05/03/27                                                    | CUSIP: 548661DP9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     75000 | NS      | $69824.58     | 0.02%             | 2027-05-03      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                               | SRE 4 02/01/48                                                      | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     15000 | NS      | $11689.14     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 2.25 06/01/30                                                   | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    395000 | NS      | $325304.47    | 0.07%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.35 05/15/45                                                    | CUSIP: 86765BAQ2<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |     60000 | NS      | $50882.23     | 0.01%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 2.8 02/14/32                                                    | CUSIP: 907818FX1<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    325000 | NS      | $280568.50    | 0.06%             | 2032-02-14      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| United States Treasury Bonds                                                         | T 3.625 02/15/44                                                    | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5590000 | NS      | $5127296.47   | 1.17%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.625 11/15/50                                                    | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7110000 | NS      | $4230450.00   | 0.96%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 02/15/52                                                     | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1365000 | NS      | $949208.20    | 0.22%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 08/15/52                                                        | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | NS      | $1894984.38   | 0.43%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Wells Fargo & Company                                                                | WFC V4.808 07/25/28 MTN                                             | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    250000 | NS      | $244174.07    | 0.06%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                         | BACR V2.852 05/07/26                                                | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1725000 | NS      | $1602913.21   | 0.36%             | 2026-05-07      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2019-B9 A5                                                    | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | NS      | $1318654.26   | 0.30%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.419 04/15/33 144A                                            | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    686000 | NS      | $549971.51    | 0.13%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1800000 | NS      | $1508103.47   | 0.34%             | 2052-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD1384                                                           | CUSIP: 3132DNRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    123786 | NS      | $106349.25    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 3.25 11/15/49                                                  | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    135000 | NS      | $91875.84     | 0.02%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.963 01/25/33                                                 | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    475000 | NS      | $386603.55    | 0.09%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                                  | NRZT 2018-1A A1A                                                    | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359047 | NS      | $336713.78    | 0.08%             | 2057-12-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corporation Membership                                              | OGLETH 5.05 10/01/48                                                | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    195000 | NS      | $166726.05    | 0.04%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                                                 | OTIS 3.112 02/15/40                                                 | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    245000 | NS      | $178677.17    | 0.04%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 4.5 04/16/50                                                 | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    665000 | NS      | $501300.05    | 0.11%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 2.875 02/15/31                                                 | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    300000 | NS      | $247898.47    | 0.06%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                         | B 0 02/07/23                                                        | CUSIP: 912796ZT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1165000 | NS      | $1160139.16   | 0.26%             | 2023-02-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.375 05/15/29                                                    | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | NS      | $545437.50    | 0.12%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V3.35 03/02/33 MTN                                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    280000 | NS      | $235871.38    | 0.05%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Sharjah (Government of)                                                              | SHJGOV 3.625 03/10/33 REGS                                          | CUSIP: M5216SAD5<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | CORP              | AE        |    420000 | NS      | $347929.68    | 0.08%             | 2033-03-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-17

**Name of Applicant:** GREAT-WEST FUNDS INC

**Signature:** /s/Kelly New

**Name of Signer:** Kelly New

**Title:** Treasurer, Great-West Funds, Inc.