# EDGAR Filing Document

**Accession Number:** 0001738077
**File Stem:** 0001752724-23-040633
**Filing Date:** 2023-2
**Character Count:** 800178
**Document Hash:** a9925760fcf5d1a0d0bca67de7260d6f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-040633.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-040633

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Master Investment Portfolio II
- **CENTRAL INDEX KEY:** 0001738077
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23343
- **FILM NUMBER:** 23668317

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### Advantage CoreAlpha Bond Master Portfolio (Series ID: S000062381)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000202350 | Advantage CoreAlpha Bond Master Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Master Investment Portfolio II

- **b. Investment Company Act file number:** 811-23343

- **c. CIK number of Registrant:** 0001738077

- **d. LEI of Registrant:** 549300RCV7V0VQXTCW11

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** Advantage CoreAlpha Bond Master Portfolio

- **b. EDGAR series identifier (if any):** S000062381

- **c. LEI of Series:** 0I7UWC3FB187VDB5KB30

**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:** $1421344748.39

**Total Liabilities:** $382638745.94

**Net Assets:** $1038706002.45

**Cash Not Reported:** $26013817.50

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 13112.67000000 | **1-Year:** 24325.94000000 | **5-Year:** 90814.06000000 | **10-Year:** 151267.07000000 | **30-Year:** 107173.04000000

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

- **3-Month:** 1720.60000000 | **1-Year:** -30792.66000000 | **5-Year:** 4523.27000000 | **10-Year:** 48437.99000000 | **30-Year:** -57872.16000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202350 | -1.54%               | 3.76%                | -0.39%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-11957162.79            | $2428784.02                                |
| Month 2  | $-2738046.80             | $30308937.68                               |
| Month 3  | $-694456.90              | $-4306513.25                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $950835.01    | 0.09%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     50832 | PA      | $52682.18     | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1084224 | PA      | $967130.46    | 0.09%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERISOURCEBERGEN CORP                                                           | AmerisourceBergen Corp                                                           | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    117000 | PA      | $97114.78     | 0.01%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                      | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    270000 | PA      | $233451.35    | 0.02%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XXHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    127816 | PA      | $118558.49    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132KESL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    425416 | PA      | $409553.91    | 0.04%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                               | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    240000 | PA      | $175650.50    | 0.02%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2022-R02                                     | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4577947 | PA      | $4477238.83   | 0.43%             | 2042-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                                           | Conseco Finance Corp                                                             | CUSIP: 393505QZ8<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | ABS-O            | CORP              | US        |     11389 | PA      | $11361.74     | 0.00%             | 2027-08-15      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                         | Benchmark 2019-B10 Mortgage Trust                                                | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2390000 | PA      | $2207176.23   | 0.21%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| CF Industries Inc                                                                | CF Industries Inc                                                                | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $962466.54    | 0.09%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                                                       | Evergy Inc                                                                       | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43176.94     | 0.00%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    944248 | PA      | $817628.33    | 0.08%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FIRST REPUBLIC BANK                                                              | First Republic Bank/CA                                                           | CUSIP: 33616CHQ6<br>LEI: YWC0TIKBQM2JV8L4IV08 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2489837.73   | 0.24%             | 2024-02-12      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0PU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672851 | PA      | $670323.13    | 0.06%             | 2029-12-25      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                                     | Entergy Corp                                                                     | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    285000 | PA      | $253796.11    | 0.02%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    816000 | PA      | $716988.57    | 0.07%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460178 | PA      | $427619.44    | 0.04%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335AYT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     51535 | PA      | $46208.69     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                               | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    205000 | PA      | $180387.06    | 0.02%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJJJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6343 | PA      | $6572.98      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427337 | PA      | $381155.84    | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                                         | Ford Credit Auto Owner Trust 2018-REV1                                           | CUSIP: 34532RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2870000 | PA      | $2741446.67   | 0.26%             | 2031-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BN44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    513327 | PA      | $476144.63    | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128Q0DK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11386 | PA      | $11004.85     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.197000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |   1010000 | OU      | $-3291.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    215000 | PA      | $152240.24    | 0.01%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90987 | PA      | $88765.39     | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410LAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37415 | PA      | $37343.50     | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 4.503000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    900000 | OU      | $20027.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31288JBX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     84993 | PA      | $85465.30     | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88748 | PA      | $82176.94     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL REALTY INVS TRST                                                         | Federal Realty Investment Trust                                                  | CUSIP: 313747BA4<br>LEI: 549300LI6XZ51GOCJ427 | Long             | DBT              |  | US        |    210000 | PA      | $179679.66    | 0.02%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2425000 | PA      | $2227641.91   | 0.21%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68724 | PA      | $61046.66     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445582 | PA      | $404698.30    | 0.04%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296XUG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1648 | PA      | $1655.80      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1687351 | PA      | $1485512.55   | 0.14%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                                                   | Public Storage                                                                   | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              |  | US        |   1775000 | PA      | $1514107.38   | 0.15%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: —       |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2021-1                                              | CUSIP: 262108AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6240000 | PA      | $6099958.80   | 0.59%             | 2027-06-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2431 | PA      | $2513.89      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                            | Arrow Electronics Inc                                                            | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     99000 | PA      | $78054.71     | 0.01%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                        | CUSIP: 91412NBD1<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |    148000 | PA      | $110640.06    | 0.01%             | 2045-04-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7T48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54236 | PA      | $56229.61     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                                                      | ONE Gas Inc                                                                      | CUSIP: 68235PAM0<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |    290000 | PA      | $274599.94    | 0.03%             | 2032-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| LCH Limited                                                                      | FSWP: HKD 3.745000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | HK        |   1353200 | OU      | $1823.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59717 | PA      | $58730.55     | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41791 | PA      | $40040.23     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                   | CUSIP: 68233JCL6<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67558.77     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2899 | PA      | $2836.39      | 0.00%             | 2033-05-01      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2014-A                                             | CUSIP: 17322GAA7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     32413 | PA      | $30081.60     | 0.00%             | 2035-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    610000 | PA      | $570768.61    | 0.05%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WEWJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31737 | PA      | $28496.87     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    190000 | PA      | $134763.85    | 0.01%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132L9V69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    267291 | PA      | $247485.57    | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARINGS BDC INC                                                                  | Barings BDC Inc                                                                  | CUSIP: 06759LAC7<br>LEI: 549300GSF4KFZP6ONG49 | Long             | DBT              | CORP              | US        |    285000 | PA      | $241559.81    | 0.02%             | 2026-11-23      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M7CK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11578 | PA      | $11211.81     | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2015-GC30                                           | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $275179.59    | 0.03%             | 2050-05-10      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | Constellation Brands Inc                                                         | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    640000 | PA      | $615817.72    | 0.06%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2491 | PA      | $2522.41      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1890185 | PA      | $1636697.77   | 0.16%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254152 | PA      | $226691.94    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268474 | PA      | $256321.78    | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272040 | PA      | $222122.28    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                          | American Electric Power Co Inc                                                   | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1075066.35   | 0.10%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                   | CUSIP: 532457BH0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    378000 | PA      | $361309.74    | 0.03%             | 2025-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FPCG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186175 | PA      | $172635.06    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85815 | PA      | $82647.99     | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LVU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52327 | PA      | $50671.48     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCR49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    549387 | PA      | $514950.79    | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJMT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     74160 | PA      | $75221.31     | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                                                       | Nucor Corp                                                                       | CUSIP: 670346AV7<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    195000 | PA      | $165287.59    | 0.02%             | 2032-04-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407X4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49644 | PA      | $50325.11     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140EVPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33513 | PA      | $32058.08     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | Air Lease Corp                                                                   | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    275000 | PA      | $260100.73    | 0.03%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    575302 | PA      | $499368.73    | 0.05%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    410000 | PA      | $340252.91    | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Comcast Corp                                                                     | Comcast Corp                                                                     | CUSIP: 20030NBL4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1541358.27   | 0.15%             | 2025-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bank                                                                             | BANK 2019-BNK23                                                                  | CUSIP: 06541RBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1540000 | PA      | $1336301.27   | 0.13%             | 2052-12-15      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36295QGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       769 | PA      | $789.96       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1096323 | PA      | $934854.54    | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                                                       | Zoetis Inc                                                                       | CUSIP: 98978VAN3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4749.42      | 0.00%             | 2028-08-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $394821.85    | 0.04%             | 2033-08-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75653 | PA      | $68842.48     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $341666.57    | 0.03%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1323000 | PA      | $912781.76    | 0.09%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132M7JN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    192810 | PA      | $184888.81    | 0.02%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.252000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5075000 | OU      | $-4.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95144 | PA      | $93244.59     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                     | ING Groep NV                                                                     | CUSIP: 456837AK9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   2290000 | PA      | $2271435.66   | 0.22%             | 2023-10-02      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214277 | PA      | $205777.11    | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                    | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1297593.86   | 0.12%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PAH9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    600000 | PA      | $583161.83    | 0.06%             | 2025-03-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust 2013-C18                                         | CUSIP: 96221QAE3<br>LEI: 549300O5GNH0TNJ6B119 | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $607840.68    | 0.06%             | 2046-12-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210511 | PA      | $206543.94    | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                              | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |     30000 | PA      | $17498.40     | 0.00%             | 2070-06-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157549 | PA      | $159111.25    | 0.02%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 3.876100 15-MAR-2026                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |   3100000 | OU      | $29117.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36178DVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13618 | PA      | $12763.05     | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128KRWU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     30167 | PA      | $31286.39     | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | Jabil Inc                                                                        | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $934884.01    | 0.09%             | 2026-04-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2013-CCRE11 Mortgage Trust                                                  | CUSIP: 12626LBP6<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $370675.75    | 0.04%             | 2050-08-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59411.58     | 0.01%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32410.03     | 0.00%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    135000 | PA      | $117102.01    | 0.01%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Inc                                                           | Berkshire Hathaway Inc                                                           | CUSIP: 084670BS6<br>LEI: 5493000C01ZX7D35SD85 | Long             | DBT              | CORP              | US        |    355000 | PA      | $340183.53    | 0.03%             | 2026-03-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34864 | PA      | $32718.52     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714459 | PA      | $641375.89    | 0.06%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                                                       | Masco Corp                                                                       | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    160000 | PA      | $124012.57    | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                   | CUSIP: 68233JCG7<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36563.65     | 0.00%             | 2052-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| LCH Limited                                                                      | FSWP: PLN 6.030000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |   1840000 | OU      | $1189.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75495 | PA      | $67648.37     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                                                          | Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC                       | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              |  | US        |    813000 | PA      | $538612.50    | 0.05%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| LCH Limited                                                                      | FSWP: AUD 4.437500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    280959 | OU      | $1132.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934625 | PA      | $767074.72    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JPN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51677 | PA      | $48383.24     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1872414 | PA      | $1529151.27   | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                         | Visa Inc                                                                         | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    385000 | PA      | $315316.07    | 0.03%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324091 | PA      | $291371.11    | 0.03%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45407 | PA      | $46369.10     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371LR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29609 | PA      | $30621.59     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                            | Mexico Government International Bond                                             | CUSIP: 91087BAC4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1145000 | PA      | $1118092.50   | 0.11%             | 2027-03-28      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3622927 | PA      | $3362972.84   | 0.32%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWP29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     39599 | PA      | $37964.27     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                                                 | WFRBS Commercial Mortgage Trust 2014-C23                                         | CUSIP: 92939HBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1091495.62   | 0.11%             | 2057-10-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XUJV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11901 | PA      | $11395.33     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417GKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29085 | PA      | $27344.66     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    560000 | PA      | $395681.64    | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    735000 | PA      | $758866.70    | 0.07%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.562660 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    770000 | OU      | $-13455.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168162 | PA      | $156941.19    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.206000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  25580000 | OU      | $-1632.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                                                 | Alabama Power Co                                                                 | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    300000 | PA      | $258479.66    | 0.02%             | 2032-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31390QJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25108 | PA      | $25828.93     | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502408 | PA      | $469525.24    | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                                                  | McDonald's Corp                                                                  | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    380000 | PA      | $369452.41    | 0.04%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-HQA4                                          | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27640 | PA      | $27654.61     | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                                | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    717000 | PA      | $664741.81    | 0.06%             | 2033-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73012 | PA      | $70672.21     | 0.01%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113681 | PA      | $112847.19    | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                                | Entergy Texas Inc                                                                | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    520000 | PA      | $373088.39    | 0.04%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Unilever Capital Corp                                                            | Unilever Capital Corp                                                            | CUSIP: 904764AU1<br>LEI: MYF1DAS6G5WY7PRWCU78 | Long             | DBT              | CORP              | US        |    800000 | PA      | $729048.01    | 0.07%             | 2026-07-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22122 | PA      | $22356.53     | 0.00%             | 2041-08-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412RNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10729 | PA      | $10043.10     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406YFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3190 | PA      | $3205.31      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QMBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269892 | PA      | $220097.67    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WH6K6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6127 | PA      | $5688.66      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    300000 | PA      | $213731.78    | 0.02%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36230UCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31813 | PA      | $30639.36     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                       | JPMBB Commercial Mortgage Securities Trust 2015-C31                              | CUSIP: 46644YAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085162 | PA      | $1031811.73   | 0.10%             | 2048-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XCL8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    215000 | PA      | $213848.86    | 0.02%             | 2023-06-19      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17461 | PA      | $16997.51     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47986 | PA      | $44810.17     | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENSTAR GROUP LTD                                                                 | Enstar Group Ltd                                                                 | CUSIP: 29359UAC3<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |    805000 | PA      | $587839.02    | 0.06%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WLBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75932 | PA      | $71094.36     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95305 | PA      | $93623.45     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.979850 15-MAR-2026                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |  10680000 | OU      | $52207.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296UFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5626 | PA      | $5654.00      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                  | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    350000 | PA      | $335583.22    | 0.03%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBH8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $1962178.36   | 0.19%             | 2026-03-13      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36225A3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5550 | PA      | $5705.14      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LYAC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9243 | PA      | $8951.17      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                    | Carnival Corp                                                                    | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    371000 | PA      | $294052.64    | 0.03%             | 2026-03-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                                                             | Verisk Analytics Inc                                                             | CUSIP: 92345YAD8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1360761.42   | 0.13%             | 2025-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179CJA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337273 | PA      | $312036.18    | 0.03%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2150000 | PA      | $2137100.86   | 0.21%             | 2030-07-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2013-A                                             | CUSIP: 17320XAA2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      5062 | PA      | $4820.62      | 0.00%             | 2042-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.39.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  48815958 | OU      | $-379222.56   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NOV INC                                                                          | NOV Inc                                                                          | CUSIP: 637071AK7<br>LEI: 549300EHF3IW1AR6U008 | Long             | DBT              | CORP              | US        |     60000 | PA      | $41831.34     | 0.00%             | 2042-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117004 | PA      | $115436.28    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                              | Dominion Energy Inc                                                              | CUSIP: 25746UCE7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    500000 | PA      | $486932.04    | 0.05%             | 2025-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128E6JK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14698 | PA      | $14248.33     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                                | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    375000 | PA      | $341929.27    | 0.03%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCG28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218803 | PA      | $1070976.03   | 0.10%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931064 | PA      | $830384.78    | 0.08%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31376JSZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1758 | PA      | $1756.10      | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JQAP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19705 | PA      | $19435.74     | 0.00%             | 2040-02-01      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                              | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    140000 | PA      | $138765.97    | 0.01%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.580000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |    720000 | OU      | $1597.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84121 | PA      | $85243.38     | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                  | DTE Electric Co                                                                  | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    217000 | PA      | $167671.06    | 0.02%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32666 | PA      | $32095.88     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RAILWAY                                                            | Canadian National Railway Co                                                     | CUSIP: 136375DB5<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $213142.11    | 0.02%             | 2052-08-05      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                                  | Deere & Co                                                                       | CUSIP: 244199BH7<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    215000 | PA      | $206511.46    | 0.02%             | 2025-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408H5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5448 | PA      | $5582.19      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NatWest Group PLC                                                                | CUSIP: 780097BN0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    290000 | PA      | $285846.65    | 0.03%             | 2024-05-22      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                            | Mexico Government International Bond                                             | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    100000 | PA      | $97050.00     | 0.01%             | 2040-01-11      | Fixed         | 6.05%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24321 | PA      | $22772.67     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05971KAK5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2200000 | PA      | $2139213.25   | 0.21%             | 2024-06-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                  | CUSIP: 98389BAX8<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     50000 | PA      | $36466.23     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    531243 | PA      | $510048.89    | 0.05%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1068927 | PA      | $959689.35    | 0.09%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620C0Y44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138733 | PA      | $141197.41    | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.733910 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    750000 | OU      | $-6442.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: PLN 7.630000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |   2380000 | OU      | $-33322.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31389DHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9591 | PA      | $9826.54      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                            | Vale Overseas Ltd                                                                | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    100000 | PA      | $87362.50     | 0.01%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132CWM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1831708 | PA      | $1712863.53   | 0.16%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.063000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    920000 | OU      | $7806.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    475000 | PA      | $349251.49    | 0.03%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125301 | PA      | $120019.86    | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173831 | PA      | $161929.31    | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-5                                              | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1033448 | PA      | $989272.46    | 0.10%             | 2031-11-20      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1913769 | PA      | $1624607.43   | 0.16%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.418000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    435000 | OU      | $1496.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJMS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     33658 | PA      | $33394.78     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202EW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16463 | PA      | $17385.63     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7RP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263287 | PA      | $251206.75    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407KQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16588 | PA      | $17024.98     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364438 | PA      | $324337.47    | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116629 | PA      | $104884.57    | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       179 | NC      | $-225187.72   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230928 | PA      | $206625.47    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                              | Kimberly-Clark Corp                                                              | CUSIP: 494368CA9<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $109663.20    | 0.01%             | 2050-02-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335ANR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     22223 | PA      | $21856.07     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413UKP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12785 | PA      | $13310.15     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194668 | PA      | $173632.26    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                                | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    105000 | PA      | $109601.92    | 0.01%             | 2052-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151323 | PA      | $151507.62    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61071 | PA      | $58944.83     | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                         | International Flavors & Fragrances Inc                                           | CUSIP: 459506AC5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1580068.16   | 0.15%             | 2023-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                   | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    325000 | PA      | $213865.92    | 0.02%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246663 | PA      | $242755.93    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4742048 | PA      | $3871093.20   | 0.37%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                            | Time Warner Cable LLC                                                            | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $366052.28    | 0.04%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                               | CUSIP: 25243YBE8<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    380000 | PA      | $302631.78    | 0.03%             | 2032-04-29      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: PLN 5.935000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |   1480000 | OU      | $2244.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292G2S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2861 | PA      | $2935.95      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BLL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30827 | PA      | $28866.57     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.260000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |   1600000 | OU      | $21476.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                               | CUSIP: 907818FK9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     90000 | PA      | $64850.43     | 0.01%             | 2050-02-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0RL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4056865 | PA      | $4070884.06   | 0.39%             | 2030-04-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337490 | PA      | $301068.34    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1033187 | PA      | $845023.70    | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833EA4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     95000 | PA      | $57484.73     | 0.01%             | 2060-08-20      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109092 | PA      | $106470.38    | 0.01%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138E9N55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899176 | PA      | $845442.79    | 0.08%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP/BIP-V CHIN                                                         | CQP Holdco LP / BIP-V Chinook Holdco LLC                                         | CUSIP: 12657NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1109357.80   | 0.11%             | 2031-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MPGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14073 | PA      | $13568.84     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WFEV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2189 | PA      | $2141.38      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $788137.51    | 0.08%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138W1VC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33726 | PA      | $31540.50     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                           | OKLAHOMA ST DEV FIN AUTH                                                         | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |    110000 | PA      | $101969.14    | 0.01%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312938Z48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     37048 | PA      | $36653.11     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2017-COR2 Mortgage Trust                                                    | CUSIP: 12595EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290000 | PA      | $1184772.89   | 0.11%             | 2050-09-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    270000 | PA      | $209206.96    | 0.02%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD MID PARTNER LP                                                         | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp               | CUSIP: 226373AR9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    549000 | PA      | $503713.35    | 0.05%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                   | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    365000 | PA      | $252186.06    | 0.02%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                             | CUSIP: 459200KC4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    565000 | PA      | $465810.81    | 0.04%             | 2049-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 3.186880 15-MAR-2033                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |  16910000 | OU      | $236334.58    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                               | CUSIP: 25243YBH1<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   1335000 | PA      | $1396755.98   | 0.13%             | 2033-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EJ6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83653 | PA      | $78303.98     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416J7C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24805 | PA      | $24567.64     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                                                         | Wisconsin Electric Power Co                                                      | CUSIP: 976656CH9<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |    800000 | PA      | $763854.44    | 0.07%             | 2025-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                          | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    580000 | PA      | $404674.86    | 0.04%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63486 | PA      | $62313.12     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36014 | PA      | $32335.76     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406BBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53367 | PA      | $55130.78     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                   | CUSIP: 58933YAY1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   5085000 | PA      | $4502268.61   | 0.43%             | 2026-02-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50439 | PA      | $46964.95     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                                           | Atlantic City Electric Co                                                        | CUSIP: 048303CJ8<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |    570000 | PA      | $463971.68    | 0.04%             | 2031-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| XEROX HOLDINGS CORP                                                              | Xerox Holdings Corp                                                              | CUSIP: 98421MAB2<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |    380000 | PA      | $304095.75    | 0.03%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GFFX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2839 | PA      | $2817.11      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620ALVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23194 | PA      | $22389.78     | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2127869 | PA      | $2058498.56   | 0.20%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                               | CUSIP: 032654AS4<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    225000 | PA      | $216403.73    | 0.02%             | 2025-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402QVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10098 | PA      | $10443.08     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076CR1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    245000 | PA      | $242102.52    | 0.02%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157136 | PA      | $154025.94    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CZK 4.710000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CZ        |   5690000 | OU      | $-4357.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    445000 | PA      | $428147.23    | 0.04%             | 2023-11-08      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042616<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2820081 | PA      | $2713640.68   | 0.26%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14783 | PA      | $15421.32     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 4.009500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    220000 | OU      | $-867.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    220000 | PA      | $192216.07    | 0.02%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140E0E76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7026 | PA      | $6889.00      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2020-3                                     | CUSIP: 96042QAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1884333 | PA      | $1874537.74   | 0.18%             | 2025-11-17      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                                      | Equinor ASA                                                                      | CUSIP: 85771PAX0<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    400000 | PA      | $389848.82    | 0.04%             | 2024-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31336SBZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1499 | PA      | $1476.78      | 0.00%             | 2032-09-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188093 | PA      | $171706.23    | 0.02%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCKESSON CORP                                                                    | McKesson Corp                                                                    | CUSIP: 581557BQ7<br>LEI: 549300WZWOM80UCFSF54 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1300847.28   | 0.13%             | 2025-12-03      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FRMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142878 | PA      | $126840.37    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                          | CUSIP: 0641596E1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1235000 | PA      | $1151347.35   | 0.11%             | 2024-07-31      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5779 | PA      | $5677.18      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCKEFELLER FOUNDATION                                                           | Rockefeller Foundation/The                                                       | CUSIP: 77310VAA2<br>LEI: 549300JU3NX0IK5I9038 | Long             | DBT              | CORP              | US        |     72000 | PA      | $45617.16     | 0.00%             | 2050-10-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GHL6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1283000 | PA      | $1271376.02   | 0.12%             | 2024-07-23      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416VS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23593 | PA      | $24630.81     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                                                             | DH Europe Finance II Sarl                                                        | CUSIP: 23291KAK1<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    375000 | PA      | $283179.68    | 0.03%             | 2049-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126880 | PA      | $124641.50    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86373 | PA      | $82733.26     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583521 | PA      | $502672.44    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563551 | PA      | $523444.09    | 0.05%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408GVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26304 | PA      | $26700.30     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                                | CUSIP: 251799AA0<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    393000 | PA      | $446022.24    | 0.04%             | 2032-04-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: —       |
| HSBC USA INC                                                                     | HSBC USA Inc                                                                     | CUSIP: 40428HTA0<br>LEI: 549300LBOHZ4QSIWU288 | Long             | DBT              | CORP              | US        |    441000 | PA      | $432382.90    | 0.04%             | 2024-05-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOL                                                         | Baylor Scott & White Holdings                                                    | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |     92000 | PA      | $59959.70     | 0.01%             | 2050-11-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| UMASS MEM HEALTH CARE                                                            | UMass Memorial Health Care Obligated Group                                       | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42000 | PA      | $38660.99     | 0.00%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56791 | PA      | $58715.30     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312939CK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10968 | PA      | $10821.14     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31389SVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5135 | PA      | $5214.40      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Texas Transportation Commission State Highway Fund                               | TEXAS ST TRANSPRTN COMMISSIONST HIGHWAY FUND REVENUE                             | CUSIP: 88283LKV7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    690000 | PA      | $632826.60    | 0.06%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                                                   | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 46591HCD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3999433 | PA      | $3769565.24   | 0.36%             | 2029-02-26      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL LLC                                                              | Block Financial LLC                                                              | CUSIP: 093662AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    536000 | PA      | $455603.55    | 0.04%             | 2028-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M8EN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16985 | PA      | $16381.23     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37992 | PA      | $35459.34     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1473250 | PA      | $1347843.90   | 0.13%             | 2038-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J5MS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554536 | PA      | $530124.85    | 0.05%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                                                        | Amgen Inc                                                                        | CUSIP: 031162BY5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    800000 | PA      | $767687.47    | 0.07%             | 2025-05-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31409VDU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18314 | PA      | $18557.64     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                    | CUSIP: 13063DGC6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    500000 | PA      | $468966.00    | 0.05%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9KW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    166863 | PA      | $165603.62    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1049000 | PA      | $955814.72    | 0.09%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                                        | PG&E Corp                                                                        | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |   1131000 | PA      | $1029210.00   | 0.10%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                  | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     95000 | PA      | $63448.80     | 0.01%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230295 | PA      | $214952.84    | 0.02%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                                               | Conagra Brands Inc                                                               | CUSIP: 205887CE0<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    340000 | PA      | $314168.68    | 0.03%             | 2048-11-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                                                            | Interpublic Group of Cos Inc/The                                                 | CUSIP: 460690BS8<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |    378000 | PA      | $265227.60    | 0.03%             | 2041-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WTWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16436 | PA      | $16336.17     | 0.00%             | 2043-05-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3320 | PA      | $3370.26      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11435 | PA      | $10405.13     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128E6AD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     36390 | PA      | $35278.44     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EL6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74419 | PA      | $71707.07     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QG3B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    895742 | PA      | $731523.20    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153472 | PA      | $138259.99    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Revolving Auto Loan Trust                                              | Santander Revolving Auto Loan Trust 2019-A                                       | CUSIP: 80286JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4790000 | PA      | $4512727.98   | 0.43%             | 2032-01-26      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278588 | PA      | $257731.10    | 0.02%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                           | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563221 | PA      | $512569.82    | 0.05%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967MT5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8880000 | PA      | $8508450.68   | 0.82%             | 2024-10-30      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8354 | PA      | $8177.18      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                  | Weyerhaeuser Co                                                                  | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |    250000 | PA      | $227630.19    | 0.02%             | 2030-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                             | Westpac Banking Corp                                                             | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    120000 | PA      | $79231.80     | 0.01%             | 2040-11-16      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2020-3                                     | CUSIP: 96042QAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4143292.70   | 0.40%             | 2025-11-17      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1190000 | PA      | $1137940.95   | 0.11%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Tyson Foods Inc                                                                  | Tyson Foods Inc                                                                  | CUSIP: 902494BH5<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     80000 | PA      | $73805.32     | 0.01%             | 2048-09-28      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39222 | PA      | $40610.47     | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | ICE: (CDX.NA.IG.39.V1)                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        | 133300000 | OU      | $-1114193.20  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                                    | Sempra Energy                                                                    | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    140000 | PA      | $127607.42    | 0.01%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                                                            | Georgetown University/The                                                        | CUSIP: 37310PAD3<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |     27000 | PA      | $17068.79     | 0.00%             | 2050-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2020-4                                    | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3605962 | PA      | $3569654.04   | 0.34%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31293EAT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1239 | PA      | $1259.74      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED USD / SOLD HKD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |         1 | NC      | $515.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42797.46     | 0.00%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                         | Pioneer Natural Resources Co                                                     | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    150000 | PA      | $118560.29    | 0.01%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QMZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2793133 | PA      | $2369380.07   | 0.23%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172CR8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2670000 | PA      | $2345635.56   | 0.23%             | 2026-05-01      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128CUUA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     89861 | PA      | $87114.67     | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                                                        | Hess Corp                                                                        | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    165000 | PA      | $155969.40    | 0.02%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                                | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     90000 | PA      | $86943.25     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORIA                                                          | University of Southern California                                                | CUSIP: 914886AF3<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    190000 | PA      | $127357.66    | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403APE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32643 | PA      | $33273.75     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROV ST JOSEPH HLTH OBL                                                          | Providence St Joseph Health Obligated Group                                      | CUSIP: 743820AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    136000 | PA      | $80419.69     | 0.01%             | 2051-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371KHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5406 | PA      | $5657.36      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1063000 | PA      | $986778.91    | 0.10%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3262333.14   | 0.31%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    315000 | PA      | $245434.49    | 0.02%             | 2032-10-13      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179DJ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12540 | PA      | $11675.64     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443469 | PA      | $395542.40    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                                              | NCL Corp Ltd                                                                     | CUSIP: 62886HBA8<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    680000 | PA      | $534119.60    | 0.05%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT                                                          | Wisconsin Power and Light Co                                                     | CUSIP: 976826BL0<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    390000 | PA      | $359747.23    | 0.03%             | 2027-10-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98661 | PA      | $94910.72     | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                    | FirstCash Inc                                                                    | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1014674.13   | 0.10%             | 2030-01-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 3.037000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    260000 | OU      | $-2945.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882508BM5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    870000 | PA      | $597884.49    | 0.06%             | 2051-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| Altria Group Inc                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1127000 | PA      | $1039169.68   | 0.10%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                                | CUSIP: 875127BJ0<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     35000 | PA      | $24434.44     | 0.00%             | 2051-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-1                                              | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101721 | PA      | $101405.62    | 0.01%             | 2031-03-20      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                             | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     85000 | PA      | $53415.02     | 0.01%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     60000 | PA      | $53241.97     | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537992 | PA      | $457066.40    | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59577 | PA      | $56589.40     | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       316 | NC      | $-527552.80   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ASL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19596 | PA      | $19849.88     | 0.00%             | 2041-09-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    245000 | PA      | $230820.10    | 0.02%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216399 | PA      | $201461.16    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420762 | PA      | $371899.11    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                   | CUSIP: 78409VAR5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   2113000 | PA      | $1150157.88   | 0.11%             | 2060-08-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3120392 | PA      | $2668284.90   | 0.26%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAX9<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   1040000 | PA      | $712463.20    | 0.07%             | 2041-04-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418AJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98952 | PA      | $95820.28     | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239255 | PA      | $229175.11    | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2021-R01                                     | CUSIP: 20754RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1740012 | PA      | $1724747.25   | 0.17%             | 2041-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314661 | PA      | $285598.52    | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                    | CUSIP: 744448CP4<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1237034.45   | 0.12%             | 2028-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                       | JPMBB Commercial Mortgage Securities Trust 2013-C17                              | CUSIP: 46640UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    757403 | PA      | $742773.20    | 0.07%             | 2047-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                                        | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $193821.52    | 0.02%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48958 | PA      | $43951.83     | 0.00%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MLBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24173 | PA      | $23263.13     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QHEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269318 | PA      | $240244.70    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.367580 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    540000 | OU      | $-7941.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33732 | PA      | $31630.78     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KQN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1687093 | PA      | $1381055.25   | 0.13%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2021-1                                    | CUSIP: 80286NAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3876760 | PA      | $3809723.80   | 0.37%             | 2026-02-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YR68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7206 | PA      | $7333.23      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                             | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    190000 | PA      | $150309.95    | 0.01%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                                | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    655000 | PA      | $565538.78    | 0.05%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                                            | Reynolds American Inc                                                            | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    420000 | PA      | $357754.69    | 0.03%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                                          | American Home Mortgage Investment Trust 2004-3                                   | CUSIP: 02660TBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7389 | PA      | $7319.55      | 0.00%             | 2034-10-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20800 | PA      | $18935.42     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                           | Williams Cos Inc/The                                                             | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    545000 | PA      | $370901.07    | 0.04%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135026 | PA      | $120433.48    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21625000 | PA      | $20276896.20  | 1.95%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ4E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    208737 | PA      | $204989.61    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2021-R01                                     | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3040000 | PA      | $2962652.98   | 0.29%             | 2041-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.903825  SOFR 20-OCT-20                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $213566.08    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJY6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    365000 | PA      | $356316.88    | 0.03%             | 2024-06-14      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31287YYC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     44120 | PA      | $47236.22     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2015-MS1                                          | CUSIP: 61765DAU2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $525938.00    | 0.05%             | 2048-05-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                       | CUSIP: 46124HAD8<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |     71000 | PA      | $56935.38     | 0.01%             | 2030-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CBRE Services Inc                                                                | CBRE Services Inc                                                                | CUSIP: 12505BAD2<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    670000 | PA      | $661458.12    | 0.06%             | 2026-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179169 | PA      | $166213.42    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: PLN 6.210000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |   3140000 | OU      | $-3143.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alphabet Inc                                                                     | Alphabet Inc                                                                     | CUSIP: 02079KAC1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    800000 | PA      | $735507.14    | 0.07%             | 2026-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7Q63<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7247 | PA      | $7199.28      | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    185000 | PA      | $168609.89    | 0.02%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37648 | PA      | $37574.27     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.733500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    260000 | OU      | $435.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Amgen Inc                                                                        | Amgen Inc                                                                        | CUSIP: 031162BV1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    400000 | PA      | $392095.65    | 0.04%             | 2024-05-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $164469.81    | 0.02%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                       | Intel Corp                                                                       | CUSIP: 458140BP4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    865000 | PA      | $843262.30    | 0.08%             | 2025-03-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                                | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    782000 | PA      | $634768.10    | 0.06%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1354046 | PA      | $1112601.86   | 0.11%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95916 | PA      | $92233.89     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| E.I. DU PONT DE NEMOURS                                                          | EI du Pont de Nemours and Co                                                     | CUSIP: 263534CP2<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |    500000 | PA      | $416001.19    | 0.04%             | 2030-07-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3617NWHS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1074779 | PA      | $899435.30    | 0.09%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A2R87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212537 | PA      | $193031.30    | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36180DMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27317 | PA      | $25490.46     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132Y1GL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23218 | PA      | $22957.80     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.231370 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |   3590000 | OU      | $2248.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    895000 | PA      | $846974.30    | 0.08%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                                        | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    520000 | PA      | $481138.29    | 0.05%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| LCH Limited                                                                      | FSWP: OIS 4.032000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    680000 | OU      | $10224.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1778483 | PA      | $1452144.41   | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                      | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    161000 | PA      | $109648.64    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9105 | PA      | $8939.14      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                              | Citigroup Commercial Mortgage Trust 2016-GC36                                    | CUSIP: 17324TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $516851.12    | 0.05%             | 2049-02-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.112900 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |   7220000 | OU      | $4251.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1609625 | PA      | $1393348.65   | 0.13%             | 2038-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94378 | PA      | $84521.06     | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    650000 | PA      | $657736.21    | 0.06%             | 2024-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| ONEOK Partners LP                                                                | ONEOK Partners LP                                                                | CUSIP: 68268NAP8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1971020.46   | 0.19%             | 2025-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102924 | PA      | $95551.73     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    974827 | PA      | $845318.01    | 0.08%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                       | 3M Co                                                                            | CUSIP: 88579YBM2<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |   1710000 | PA      | $1633659.62   | 0.16%             | 2025-04-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                                      | CUSIP: 797440BU7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    400000 | PA      | $370533.44    | 0.04%             | 2026-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72269 | PA      | $72128.00     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AH2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    380000 | PA      | $372805.50    | 0.04%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17807 | PA      | $17041.30     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INOVA HEALTH SYSTEMS FOU                                                         | Inova Health System Foundation                                                   | CUSIP: 45791GAA0<br>LEI: 5493001L7PBVS286Y307 | Long             | DBT              | CORP              | US        |     18000 | PA      | $14903.15     | 0.00%             | 2052-05-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                                           | Blackstone Private Credit Fund                                                   | CUSIP: 09261HAT4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    220000 | PA      | $210889.76    | 0.02%             | 2025-03-24      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101284 | PA      | $93739.80     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NVR INC                                                                          | NVR Inc                                                                          | CUSIP: 62944TAF2<br>LEI: 529900RWXR4JI3JYTV70 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2220458.96   | 0.21%             | 2030-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     65000 | PA      | $55512.04     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296GJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13345 | PA      | $12882.64     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416W5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15726 | PA      | $15155.17     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    430000 | PA      | $269317.87    | 0.03%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172BL2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    640000 | PA      | $513819.46    | 0.05%             | 2044-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    807732 | PA      | $686180.09    | 0.07%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145358 | PA      | $131408.42    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACTIVISION BLIZZARD                                                              | Activision Blizzard Inc                                                          | CUSIP: 00507VAQ2<br>LEI: 549300TPQQDBP9GNOF40 | Long             | DBT              | CORP              | US        |    125000 | PA      | $76762.70     | 0.01%             | 2050-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MMLD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12880 | PA      | $12870.66     | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    965000 | PA      | $957785.87    | 0.09%             | 2026-08-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36178WS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32833 | PA      | $30637.39     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOAG MEMORIAL HOSPITAL                                                           | Hoag Memorial Hospital Presbyterian                                              | CUSIP: 43371HAA1<br>LEI: FZFVQHQN7LISVXIZDB30 | Long             | DBT              | CORP              | US        |     73000 | PA      | $56827.69     | 0.01%             | 2052-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202EQN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35256 | PA      | $37514.24     | 0.00%             | 2037-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                                         | Uruguay Government International Bond                                            | CUSIP: 760942BD3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     50000 | PA      | $48125.00     | 0.00%             | 2055-04-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970000 | PA      | $827662.10    | 0.08%             | 2052-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MJF20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13003 | PA      | $12515.27     | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -19800000 | PA      | $-16760983.34 | -1.61%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | Viatris Inc                                                                      | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    180000 | PA      | $163024.65    | 0.02%             | 2025-06-22      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QMAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3239222 | PA      | $2640433.68   | 0.25%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57143 | PA      | $58417.36     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    603029 | PA      | $562405.12    | 0.05%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3520000 | PA      | $3367440.88   | 0.32%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                                                          | Marathon Petroleum Corp                                                          | CUSIP: 56585AAJ1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    182000 | PA      | $151875.37    | 0.01%             | 2054-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $214468.69    | 0.02%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MJWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11063 | PA      | $10712.41     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134146 | PA      | $125112.67    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRED HUTCH CNCR CTR                                                              | Fred Hutchinson Cancer Center                                                    | CUSIP: 35561RAA5<br>LEI: 549300ESFMVM81MJ8C69 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120235.47    | 0.01%             | 2052-01-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: —       |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    336000 | PA      | $319954.51    | 0.03%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470920 | PA      | $472075.49    | 0.05%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2022-R01                                     | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5086870 | PA      | $5021988.45   | 0.48%             | 2041-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                                              | American Tower Corp                                                              | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    110000 | PA      | $102845.56    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                          | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    680000 | PA      | $572050.00    | 0.06%             | 2026-08-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220556 | PA      | $210792.79    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1122706.33   | 0.11%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                          | CUSIP: 03836WAB9<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |    630000 | PA      | $565102.96    | 0.05%             | 2029-05-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21031 | PA      | $20579.45     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41952 | PA      | $37511.29     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ELBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89757 | PA      | $90890.67     | 0.01%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                              | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   1263000 | PA      | $1054396.81   | 0.10%             | 2027-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374233 | PA      | $318108.77    | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282973 | PA      | $277279.63    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3131XVS48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145093 | PA      | $134400.19    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    570000 | PA      | $615466.05    | 0.06%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104042 | PA      | $101948.82    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MLUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29715 | PA      | $28646.98     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                                        | CUSIP: 775109BZ3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    650000 | PA      | $529793.53    | 0.05%             | 2042-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31401NJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39326 | PA      | $40074.55     | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417V4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13665 | PA      | $13336.84     | 0.00%             | 2025-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                              | CUSIP: 914455VJ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    238000 | PA      | $201333.24    | 0.02%             | 2047-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    940000 | PA      | $918094.51    | 0.09%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                      | CUSIP: 02665WDL2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    900000 | PA      | $822642.54    | 0.08%             | 2025-07-08      | Fixed         | 1.20%                 | No            |                  2 | On Loan: —       |
| ALPHABET INC                                                                     | Alphabet Inc                                                                     | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    335000 | PA      | $188718.16    | 0.02%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                           | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    455000 | PA      | $323277.50    | 0.03%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18847 | PA      | $18670.68     | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1136000 | PA      | $984182.76    | 0.09%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2018-R07                                     | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    890845 | PA      | $888632.01    | 0.09%             | 2031-04-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140516 | PA      | $138037.49    | 0.01%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE                                                         | Wisconsin Public Service Corp                                                    | CUSIP: 976843BM3<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |     85000 | PA      | $59256.93     | 0.01%             | 2049-09-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FEZU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2390000 | PA      | $2329405.37   | 0.22%             | 2028-04-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102385 | PA      | $101497.44    | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                                               | Union Pacific Corp                                                               | CUSIP: 907818ED6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    400000 | PA      | $384426.25    | 0.04%             | 2025-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195095 | PA      | $192537.20    | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1158177.29   | 0.11%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2020-L4                                           | CUSIP: 61770KAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3070000 | PA      | $2586578.77   | 0.25%             | 2053-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272486 | PA      | $222530.50    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238762 | PA      | $228819.72    | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414RNV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72 | PA      | $72.18        | 0.00%             | 2023-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    985000 | PA      | $962010.80    | 0.09%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416CKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130024 | PA      | $133287.93    | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NZD 4.320000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NZ        |    740000 | OU      | $11028.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27670 | PA      | $25692.37     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216962 | PA      | $203865.13    | 0.02%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31294MAC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     18069 | PA      | $17653.58     | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                        | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    180000 | PA      | $159637.32    | 0.02%             | 2053-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50037 | PA      | $47749.01     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    950616 | PA      | $733610.91    | 0.07%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DA4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    735000 | PA      | $690808.44    | 0.07%             | 2026-03-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT MAR23                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -75 | NC      | $220190.37    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA FEMSA SAB CV                                                           | Coca-Cola Femsa SAB de CV                                                        | CUSIP: 191241AH1<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |   1784000 | PA      | $1537362.00   | 0.15%             | 2030-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60337 | PA      | $55809.36     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150100 | PA      | $139609.28    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15790 | PA      | $15697.90     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                          | CUSIP: 35564KKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4090000 | PA      | $4036745.75   | 0.39%             | 2041-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940459 | PA      | $816753.86    | 0.08%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.574510 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |    760000 | OU      | $2923.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107523 | PA      | $101094.80    | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7XX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159912 | PA      | $148199.84    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317254 | PA      | $305382.91    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31323AB35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119279 | PA      | $107984.45    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                                       | CUSIP: 98978VAT0<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    100000 | PA      | $67550.29     | 0.01%             | 2050-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A9TL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45974 | PA      | $46898.47     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636657 | PA      | $532790.53    | 0.05%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7SJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    555835 | PA      | $523200.67    | 0.05%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1557703 | PA      | $1395561.54   | 0.13%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140EW6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33939 | PA      | $32501.32     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    105000 | PA      | $58507.71     | 0.01%             | 2050-08-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: —       |
| AT&T Inc                                                                         | AT&T Inc                                                                         | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    695000 | PA      | $621739.38    | 0.06%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1897442 | PA      | $1698401.84   | 0.16%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    370000 | PA      | $295250.31    | 0.03%             | 2048-03-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417GML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83694 | PA      | $78304.78     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                                         | Florida Power & Light Co                                                         | CUSIP: 341081FL6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $423171.74    | 0.04%             | 2044-10-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.373000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  70300000 | OU      | $1004130.31   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    125000 | PA      | $126870.76    | 0.01%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    565000 | PA      | $521156.16    | 0.05%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                           | Motorola Solutions Inc                                                           | CUSIP: 620076BL2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    259000 | PA      | $250854.86    | 0.02%             | 2028-02-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36176HTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5973 | PA      | $5618.74      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2021-3                                       | CUSIP: 30166AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2950000 | PA      | $2798273.24   | 0.27%             | 2026-10-15      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8114 | PA      | $7600.70      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1590000 | PA      | $1521579.76   | 0.15%             | 2026-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6203 | PA      | $6080.00      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                                                        | Apple Inc                                                                        | CUSIP: 037833CX6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    925000 | PA      | $871088.96    | 0.08%             | 2027-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406XLV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5977 | PA      | $6149.50      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24581 | PA      | $22124.80     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46974 | PA      | $44117.59     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QBU9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    800000 | PA      | $757927.22    | 0.07%             | 2028-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172AC3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2139589.10   | 0.21%             | 2038-05-16      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312939JD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5705 | PA      | $5645.17      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                          | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $498207.26    | 0.05%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97905 | PA      | $88211.37     | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    615000 | PA      | $509913.14    | 0.05%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: HKD 3.775000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | HK        |   2420000 | OU      | $2841.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | Humana Inc                                                                       | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    215000 | PA      | $219522.22    | 0.02%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                                        | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    660000 | PA      | $569549.32    | 0.05%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13952970 | PA      | $11694094.23  | 1.13%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                       | JPMBB Commercial Mortgage Securities Trust 2016-C1                               | CUSIP: 46645LAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $765319.51    | 0.07%             | 2049-03-17      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA1                                          | CUSIP: 35564KBK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    319551 | PA      | $317807.61    | 0.03%             | 2033-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BlackRock Funds III                                                              | BlackRock Cash Funds: Institutional, SL Agency Shares                            | CUSIP: 066922519<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        | 150516252 | NS      | $150561406.73 | 14.50%            |  |  |  | No            |                  1 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    590000 | PA      | $589970.81    | 0.06%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                     | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18186.80     | 0.00%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2021-2                                       | CUSIP: 30166RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6383178 | PA      | $6243946.64   | 0.60%             | 2026-01-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                                                          | Marathon Petroleum Corp                                                          | CUSIP: 56585ABE1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     93000 | PA      | $74268.74     | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371PBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5872 | PA      | $5904.97      | 0.00%             | 2024-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55566 | PA      | $56087.31     | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                                        | CUSIP: 45167RAH7<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |   3039000 | PA      | $2515683.71   | 0.24%             | 2031-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                    | CUSIP: 13063BJC7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    300000 | PA      | $384221.70    | 0.04%             | 2040-11-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                              | Sprint Capital Corp                                                              | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    299000 | PA      | $310344.06    | 0.03%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Bill                                                      | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 124000000 | PA      | $122971668.00 | 11.84%            | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                                                     | NiSource Inc                                                                     | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     60000 | PA      | $53425.20     | 0.01%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.262500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10170000 | OU      | $137.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: MXN 9.000000 08-MAR-2028                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |  21410000 | OU      | $-13189.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                          | CUSIP: 29670GAD4<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |    380000 | PA      | $318719.55    | 0.03%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.5545  FED 20-OCT-2030                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1250000 | OU      | $264114.63    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138YL2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60392 | PA      | $52068.98     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31326FRD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34547 | PA      | $35046.79     | 0.00%             | 2043-05-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412AQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1748 | PA      | $1810.46      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                                         | Baltimore Gas and Electric Co                                                    | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    170000 | PA      | $112339.88    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0MD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4844279 | PA      | $4980643.44   | 0.48%             | 2029-07-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34606 | PA      | $33859.41     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                                                   | Merck & Co Inc                                                                   | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    330000 | PA      | $281088.22    | 0.03%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    145000 | PA      | $128789.18    | 0.01%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                               | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    280000 | PA      | $222502.20    | 0.02%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201560 | PA      | $177988.02    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                  | CUSIP: 084664CQ2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    125000 | PA      | $109978.23    | 0.01%             | 2048-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417DUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23778 | PA      | $22906.36     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61574 | PA      | $64074.43     | 0.01%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2021-3                                       | CUSIP: 30166AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2309035 | PA      | $2272411.66   | 0.22%             | 2026-01-15      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                                         | Uruguay Government International Bond                                            | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   1000000 | PA      | $986000.00    | 0.09%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                                     | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |    630000 | PA      | $513082.37    | 0.05%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298797 | PA      | $263432.02    | 0.03%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                   | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193603.94    | 0.02%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31404QAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53841 | PA      | $55514.45     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95507 | PA      | $99752.93     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    375000 | PA      | $357047.55    | 0.03%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163905 | PA      | $142126.35    | 0.01%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LSZ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16839 | PA      | $16306.52     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.730520 15-MAR-2033                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |  50220000 | OU      | $-2212975.74  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                        | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    100000 | PA      | $115132.40    | 0.01%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc                                                                   | S&P Global Inc                                                                   | CUSIP: 78409VAM6<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    685000 | PA      | $640808.32    | 0.06%             | 2027-01-22      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    730000 | PA      | $494818.54    | 0.05%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.495000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    330600 | OU      | $1909.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PepsiCo Inc                                                                      | PepsiCo Inc                                                                      | CUSIP: 713448DV7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    946000 | PA      | $819991.47    | 0.08%             | 2047-05-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3125000 | PA      | $2552637.38   | 0.25%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.000000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    460000 | OU      | $-4245.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | Equinix Inc                                                                      | CUSIP: 29444UBC9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |    225000 | PA      | $214266.12    | 0.02%             | 2024-11-18      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                            | Continental Resources Inc/OK                                                     | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91626.00     | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 35564KCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456501 | PA      | $455127.77    | 0.04%             | 2033-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                                             | Eleven Madison Trust 2015-11MD Mortgage Trust                                    | CUSIP: 556227AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138535.97    | 0.01%             | 2035-09-10      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS                                                                  | Eagle Materials Inc                                                              | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |    415000 | PA      | $325543.48    | 0.03%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292SAV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     64596 | PA      | $60520.87     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1860000 | PA      | $1689702.72   | 0.16%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31326FRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       755 | PA      | $744.87       | 0.00%             | 2043-06-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29513 | PA      | $28383.32     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | Cigna Corp                                                                       | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    444000 | PA      | $441069.93    | 0.04%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36178DSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62321 | PA      | $57659.30     | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GUJW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11264 | PA      | $10866.73     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | Piedmont Natural Gas Co Inc                                                      | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    500000 | PA      | $458195.49    | 0.04%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Louisiana Loc Govt Envrnmntl Fac & Cmnty Dev Auth                                | Louisiana Local Government Environmental Facilities & Community Development Auth | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $78244.22     | 0.01%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES PARTNERS                                                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    910000 | PA      | $821684.50    | 0.08%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886306 | PA      | $748826.74    | 0.07%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | Keurig Dr Pepper Inc                                                             | CUSIP: 49271VAP5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   1661000 | PA      | $1545034.88   | 0.15%             | 2029-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    165000 | PA      | $138034.88    | 0.01%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1935531 | PA      | $1576825.60   | 0.15%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     40000 | PA      | $28811.14     | 0.00%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2575910 | PA      | $2103205.20   | 0.20%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128UGY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9981 | PA      | $10120.67     | 0.00%             | 2041-07-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MBV1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1325000 | PA      | $1253716.66   | 0.12%             | 2025-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MBWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130040 | PA      | $125315.13    | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                            | CUSIP: 595620AW5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    105000 | PA      | $67226.81     | 0.01%             | 2052-08-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    482000 | PA      | $396238.36    | 0.04%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.9775  FED 20-OCT-2050                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $-205436.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.74005  SOFR 20-OCT-203                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $146186.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EDCON HOLDCO 1                                                                   | EDCON HOLDCO 1                                                                   | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |   1643590 | NS      | $0.97         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71443 | PA      | $66609.28     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31409CE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6602 | PA      | $6881.75      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    720000 | PA      | $622101.05    | 0.06%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                                | CUSIP: 67021CAQ0<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    110000 | PA      | $75528.83     | 0.01%             | 2051-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                             | CUSIP: 459200KS9<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2311862.91   | 0.22%             | 2025-07-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758494 | PA      | $645425.93    | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36180NAD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41565 | PA      | $39100.30     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ETU61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5108901 | PA      | $4858915.67   | 0.47%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                                | General Mills Inc                                                                | CUSIP: 370334CL6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    840000 | PA      | $725698.09    | 0.07%             | 2030-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-346.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140E24G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11391 | PA      | $10910.94     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                           | ConocoPhillips Co                                                                | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    705000 | PA      | $554230.74    | 0.05%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169820 | PA      | $158836.22    | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5209 | PA      | $5010.82      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.1815  FED 20-OCT-2025                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2500000 | OU      | $278683.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BTP FUTURE MAR23                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -27 | NC      | $262832.99    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PacifiCorp                                                                       | PacifiCorp                                                                       | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    280000 | PA      | $229121.84    | 0.02%             | 2049-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39121 | PA      | $35599.13     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: HKD 3.787500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | HK        |   2420000 | OU      | $2667.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1060 | NC      | $-811052.11   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                 | CUSIP: 191216DL1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     90000 | PA      | $65441.23     | 0.01%             | 2051-03-05      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1055270 | PA      | $930394.69    | 0.09%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                                                      | Ameren Corp                                                                      | CUSIP: 023608AH5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62170.22     | 0.01%             | 2024-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 4.008850 15-MAR-2026                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   1590000 | OU      | $-17649.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | Sutter Health                                                                    | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     54000 | PA      | $36599.33     | 0.00%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $1986155.55   | 0.19%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                                          | Procter & Gamble Co/The                                                          | CUSIP: 742718FM6<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    645000 | PA      | $506075.20    | 0.05%             | 2030-10-29      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296J3K0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     68091 | PA      | $68396.19     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9590 | PA      | $9154.79      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                                | CUSIP: 049560AT2<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23365.19     | 0.00%             | 2031-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| Altria Group Inc                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2317259.88   | 0.22%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    747012 | PA      | $641515.31    | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221033 | PA      | $206914.45    | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.836000 15-MAR-2053                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8270000 | OU      | $532131.16    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GQ6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244155 | PA      | $225797.04    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128PLLG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       813 | PA      | $818.74       | 0.00%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                                         | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    940000 | PA      | $790168.62    | 0.08%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                    | DISH DBS Corp                                                                    | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $342715.75    | 0.03%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                           | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607GLZ5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   1505000 | PA      | $1420319.02   | 0.14%             | 2025-01-28      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                                                  | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 48128U2M0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2124956 | PA      | $2030823.06   | 0.20%             | 2028-12-26      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1647939 | PA      | $1643363.04   | 0.16%             | 2030-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48826 | PA      | $47868.18     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52945 | PA      | $50845.95     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                              | United Airlines Inc                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1040481.36   | 0.10%             | 2029-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.2350000 15-MAR-2028                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10170000 | OU      | $-245.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436648 | PA      | $414132.25    | 0.04%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                          | Exxon Mobil Corp                                                                 | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2090156.30   | 0.20%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450077 | PA      | $401444.59    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.175625  SOFR 20-OCT-20                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2500000 | OU      | $-278593.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QBR6<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $363262.48    | 0.03%             | 2026-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31371KP88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7124 | PA      | $7483.69      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    985000 | PA      | $952936.68    | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                             | Kraft Heinz Foods Co                                                             | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    535000 | PA      | $464402.98    | 0.04%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97336 | PA      | $91347.02     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299753 | PA      | $275801.22    | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415RPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6579 | PA      | $6678.01      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31411WXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5189 | PA      | $5189.05      | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36297GD64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139978 | PA      | $143269.93    | 0.01%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                 | Carlisle Cos Inc                                                                 | CUSIP: 142339AJ9<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |   1729000 | PA      | $1438686.36   | 0.14%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EPZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58887 | PA      | $56439.21     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    190000 | PA      | $178457.50    | 0.02%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| COMM Mortgage Trust                                                              | COMM 2016-DC2 Mortgage Trust                                                     | CUSIP: 12594CBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2259416 | PA      | $2140869.01   | 0.21%             | 2049-02-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     90000 | PA      | $60936.10     | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238177 | PA      | $228533.40    | 0.02%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                          | DCP Midstream Operating LP                                                       | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    222000 | PA      | $183622.86    | 0.02%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416WUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7188 | PA      | $7278.70      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417Y7H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36841 | PA      | $35675.62     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                     | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1429728.17   | 0.14%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    685000 | PA      | $602040.55    | 0.06%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XS6Q8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     38192 | PA      | $38135.30     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HERSHEY COMPANY                                                                  | Hershey Co/The                                                                   | CUSIP: 427866BG2<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |    105000 | PA      | $68132.12     | 0.01%             | 2050-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2021-3                                    | CUSIP: 80287EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4420000 | PA      | $4251351.36   | 0.41%             | 2027-09-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2014-LC18                                  | CUSIP: 94989AAW5<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $480903.99    | 0.05%             | 2047-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M5GF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14162 | PA      | $13714.18     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417DUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13729 | PA      | $13230.76     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    800000 | PA      | $749143.67    | 0.07%             | 2045-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QL4T7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10466 | PA      | $10036.37     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36230SMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13924 | PA      | $13520.40     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416YLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71314 | PA      | $72215.19     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194040 | PA      | $186000.15    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202DJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1997 | PA      | $2093.80      | 0.00%             | 2030-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $27961.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155039 | PA      | $148672.58    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                            | Micron Technology Inc                                                            | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    180000 | PA      | $182839.84    | 0.02%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.781  FED 20-OCT-2035                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $-143541.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     75000 | PA      | $71563.64     | 0.01%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17494 | PA      | $17345.72     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2015-C26                                   | CUSIP: 94989CAZ4<br>LEI: 549300DT2BKPLXAJ4C66 | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1301546.59   | 0.13%             | 2048-02-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                                | Eversource Energy                                                                | CUSIP: 30040WAE8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $920819.72    | 0.09%             | 2028-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36180UHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18092 | PA      | $16955.41     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                               | CUSIP: 032654AU9<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    385000 | PA      | $326218.16    | 0.03%             | 2028-10-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                                              | Electronic Arts Inc                                                              | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |    250000 | PA      | $161297.62    | 0.02%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                 | CUSIP: 12189LAV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $769381.30    | 0.07%             | 2025-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75597 | PA      | $72551.67     | 0.01%             | 2034-09-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       148 | NC      | $-484396.61   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| GARTNER INC                                                                      | Gartner Inc                                                                      | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1016239.70   | 0.10%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                    | CUSIP: 461070AS3<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    530000 | PA      | $433058.65    | 0.04%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132HMVZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     75734 | PA      | $70956.06     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                      | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    255000 | PA      | $243855.23    | 0.02%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | General Dynamics Corp                                                            | CUSIP: 369550BP2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1129222.94   | 0.11%             | 2031-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2019-R07                                     | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    333381 | PA      | $332549.31    | 0.03%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                            | Mexico Government International Bond                                             | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    340000 | PA      | $258676.25    | 0.02%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133A36A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1313714 | PA      | $1160499.81   | 0.11%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076BZ4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    360000 | PA      | $254897.18    | 0.02%             | 2049-12-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15526 | PA      | $16118.58     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620C0XW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125551 | PA      | $127772.44    | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8LM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262559 | PA      | $238923.77    | 0.02%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A2RT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403649 | PA      | $366820.67    | 0.04%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS & CHEMICALS                                                         | Air Products and Chemicals Inc                                                   | CUSIP: 009158AZ9<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |    187000 | PA      | $139134.31    | 0.01%             | 2040-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.572230 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |   2730000 | OU      | $-4727.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7ME3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1118 | PA      | $1108.24      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126453 | PA      | $117282.90    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199302 | PA      | $184849.90    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                                | General Mills Inc                                                                | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1082689.15   | 0.10%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MCAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1919236 | PA      | $1563703.06   | 0.15%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111FV0<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40633.94     | 0.00%             | 2049-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-3                                              | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1476724 | PA      | $1446203.69   | 0.14%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1688000 | PA      | $1637212.37   | 0.16%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                                                 | Alabama Power Co                                                                 | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    370000 | PA      | $266537.15    | 0.03%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8459 | PA      | $8277.29      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    910688 | PA      | $789200.59    | 0.08%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $891990.67    | 0.09%             | 2038-04-24      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7657195 | PA      | $6650671.84   | 0.64%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138YPAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43245 | PA      | $36864.62     | 0.00%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419AVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142680 | PA      | $147129.57    | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140M7R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3740286 | PA      | $3066984.54   | 0.30%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138E4YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       978 | PA      | $957.13       | 0.00%             | 2042-02-01      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205710 | PA      | $202100.29    | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11788 | PA      | $12138.20     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26434 | PA      | $25427.18     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69689 | PA      | $64791.51     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HJ2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67865 | PA      | $67607.22     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36230UGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74434 | PA      | $71688.70     | 0.01%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111FM0<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    800000 | PA      | $733529.40    | 0.07%             | 2027-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                               | CUSIP: 907818FN3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     95000 | PA      | $61022.17     | 0.01%             | 2062-09-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A5J75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3588 | PA      | $3443.30      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71395 | PA      | $68639.84     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9011 | PA      | $8850.82      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6935 | PA      | $6255.99      | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20160 | PA      | $19365.31     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2853677 | PA      | $2420503.10   | 0.23%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    140000 | PA      | $133878.30    | 0.01%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                            | CUSIP: 73358WX90<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    500000 | PA      | $417435.50    | 0.04%             | 2048-09-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128CUWF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     57741 | PA      | $54203.10     | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31288BLZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5016 | PA      | $5182.81      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                            | Keysight Technologies Inc                                                        | CUSIP: 49338LAE3<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1188599.79   | 0.11%             | 2027-04-06      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500148 | PA      | $433292.22    | 0.04%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239541 | PA      | $222564.06    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                          | Global Partners LP / GLP Finance Corp                                            | CUSIP: 37954FAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    555000 | PA      | $508418.85    | 0.05%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KZC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49115 | PA      | $51127.30     | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ABZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34813 | PA      | $34511.61     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                                  | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    315000 | PA      | $282726.64    | 0.03%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335383 | PA      | $314128.40    | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1112103 | PA      | $948388.05    | 0.09%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505310 | PA      | $482748.04    | 0.05%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                   | CUSIP: 78409VBA1<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    840000 | PA      | $767164.47    | 0.07%             | 2027-03-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DS5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    720000 | PA      | $761817.33    | 0.07%             | 2033-11-03      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133A9NL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423390 | PA      | $346226.72    | 0.03%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68778 | PA      | $62289.52     | 0.01%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                                | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    195000 | PA      | $173239.79    | 0.02%             | 2037-03-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KCD0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    470000 | PA      | $457577.12    | 0.04%             | 2024-03-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | Evergy Kansas Central Inc                                                        | CUSIP: 95709TAN0<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    800000 | PA      | $736861.95    | 0.07%             | 2026-07-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51982 | PA      | $46494.31     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                              | Citigroup Commercial Mortgage Trust 2017-P8                                      | CUSIP: 17326DAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2090000 | PA      | $1882749.75   | 0.18%             | 2050-09-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8661 | PA      | $8726.87      | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJEV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23209 | PA      | $24187.75     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1967113 | PA      | $1605830.52   | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                                         | Ford Credit Auto Owner Trust 2019-REV1                                           | CUSIP: 34532PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $441199.89    | 0.04%             | 2030-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9119 | PA      | $8139.43      | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJH48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99767 | PA      | $91539.26     | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                            | Novartis Capital Corp                                                            | CUSIP: 66989HAS7<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    271000 | PA      | $187435.67    | 0.02%             | 2050-08-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1432609 | PA      | $1314565.84   | 0.13%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                           | ConocoPhillips Co                                                                | CUSIP: 20826FBC9<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $966150.43    | 0.09%             | 2042-03-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214182 | PA      | $205635.49    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAP4<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    130000 | PA      | $114339.70    | 0.01%             | 2052-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                                                        | Amgen Inc                                                                        | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    800000 | PA      | $739173.34    | 0.07%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675497 | PA      | $607267.10    | 0.06%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339597 | PA      | $325266.16    | 0.03%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60920 | PA      | $58968.28     | 0.01%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    141464 | PA      | $135622.94    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36210BBZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7489 | PA      | $7699.38      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    430000 | PA      | $341626.06    | 0.03%             | 2046-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96833 | PA      | $90554.39     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    449000 | PA      | $372635.27    | 0.04%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                        | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    410000 | PA      | $324380.14    | 0.03%             | 2062-02-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                               | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    180000 | PA      | $121294.38    | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-HQA1                                          | CUSIP: 35565JAH4<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | USGSE             | US        |   1334230 | PA      | $1321827.74   | 0.13%             | 2050-01-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                                                 | Genuine Parts Co                                                                 | CUSIP: 372460AA3<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1178011.26   | 0.11%             | 2030-11-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    245000 | PA      | $163498.92    | 0.02%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE MAR23                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       -25 | NC      | $177862.27    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    111000 | PA      | $101996.24    | 0.01%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2013-GC13                                           | CUSIP: 36198EAE5<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $168650.12    | 0.02%             | 2046-07-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1169311.21   | 0.11%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140EVS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227610 | PA      | $211340.10    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                                | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    240000 | PA      | $192438.97    | 0.02%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $942367.10    | 0.09%             | 2051-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Marathon Oil Corp                                                                | Marathon Oil Corp                                                                | CUSIP: 565849AE6<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89441.24     | 0.01%             | 2037-10-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                                                   | Public Storage                                                                   | CUSIP: 74460DAJ8<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              |  | US        |    525000 | PA      | $421019.65    | 0.04%             | 2031-11-09      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GF5X1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7196 | PA      | $7141.90      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.711000 15-MAR-2026                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5610000 | OU      | $-42611.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJCV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4704 | PA      | $4643.92      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    118583 | PA      | $106327.69    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138M8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20243 | PA      | $19531.70     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                 | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    935000 | PA      | $853937.23    | 0.08%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36294UU67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7496 | PA      | $6999.21      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.391000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    435000 | OU      | $1140.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118336 | PA      | $110360.58    | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WDY24<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1530 | PA      | $1502.00      | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                       | CUSIP: 60687YBF5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2845000 | PA      | $2776134.64   | 0.27%             | 2024-07-10      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312940EP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10640 | PA      | $10559.83     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                               | Southwest Gas Corp                                                               | CUSIP: 845011AC9<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     85000 | PA      | $66480.79     | 0.01%             | 2030-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NJW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21302 | PA      | $20740.01     | 0.00%             | 2032-04-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51687 | PA      | $47927.91     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296MF20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     17849 | PA      | $18184.21     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ2T6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     29018 | PA      | $27520.51     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Roper Technologies Inc                                                           | Roper Technologies Inc                                                           | CUSIP: 776743AE6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    310000 | PA      | $306693.16    | 0.03%             | 2023-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                                             | Colgate-Palmolive Co                                                             | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |     90000 | PA      | $81219.71     | 0.01%             | 2032-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8TY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467822 | PA      | $421237.80    | 0.04%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                                                     | NiSource Inc                                                                     | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    310000 | PA      | $240458.46    | 0.02%             | 2048-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                                                  | AstraZeneca PLC                                                                  | CUSIP: 046353AN8<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    990000 | PA      | $929591.72    | 0.09%             | 2027-06-12      | Fixed         | 3.13%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407YDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26676 | PA      | $26982.80     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31326FW61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7808 | PA      | $7811.68      | 0.00%             | 2043-08-01      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QLPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1876596 | PA      | $1593263.76   | 0.15%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239688 | PA      | $235171.23    | 0.02%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                                              | Gilead Sciences Inc                                                              | CUSIP: 375558AZ6<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    400000 | PA      | $387300.01    | 0.04%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.530000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |   1040000 | OU      | $-15374.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1001798 | PA      | $773050.21    | 0.07%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    580000 | PA      | $494354.42    | 0.05%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBP7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    365000 | PA      | $236854.95    | 0.02%             | 2061-02-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125017 | PA      | $111360.74    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63417 | PA      | $61400.42     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | Enbridge Inc                                                                     | CUSIP: 29250NBF1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $115369.53    | 0.01%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    470000 | PA      | $487446.40    | 0.05%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| PepsiCo Inc                                                                      | PepsiCo Inc                                                                      | CUSIP: 713448DF2<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    800000 | PA      | $759782.37    | 0.07%             | 2026-02-24      | Fixed         | 2.85%                 | No            |                  2 | On Loan: —       |
| California State University                                                      | CALIFORNIA ST UNIV REVENUE                                                       | CUSIP: 13077DKU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    595000 | PA      | $406270.17    | 0.04%             | 2051-11-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445309 | PA      | $393597.44    | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128K8FX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9968 | PA      | $10155.11     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     48911 | PA      | $50772.66     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                          | New Fortress Energy Inc                                                          | CUSIP: 644393AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1476633.00   | 0.14%             | 2026-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXUP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     88410 | PA      | $92399.79     | 0.01%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31388PR52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4251 | PA      | $4315.52      | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CZK 5.675000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CZ        |   8630000 | OU      | $9590.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.527500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    590000 | OU      | $-4453.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3902708 | PA      | $3514579.19   | 0.34%             | 2049-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFMW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1378407 | PA      | $1188292.55   | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10962 | PA      | $9974.22      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                                                             | Verisk Analytics Inc                                                             | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   1056000 | PA      | $988555.23    | 0.10%             | 2029-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3620ARSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265533 | PA      | $255740.32    | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104665 | PA      | $95116.91     | 0.01%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                             | National Fuel Gas Co                                                             | CUSIP: 636180BR1<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    335000 | PA      | $262522.95    | 0.03%             | 2031-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                            | CUSIP: 94106BAA9<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    305000 | PA      | $260054.26    | 0.03%             | 2030-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                                          | Transcontinental Gas Pipe Line Co LLC                                            | CUSIP: 893574AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $72237.30     | 0.01%             | 2050-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    310000 | PA      | $298277.36    | 0.03%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21218 | PA      | $20293.92     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245740 | PA      | $225470.48    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.915000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |    590000 | OU      | $3736.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                       | JPMBB Commercial Mortgage Securities Trust 2014-C25                              | CUSIP: 46643PBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2180000 | PA      | $2077661.43   | 0.20%             | 2047-11-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822BX1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    425000 | PA      | $327082.07    | 0.03%             | 2032-07-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-OAT FUTURE MAR23                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -87 | NC      | $925620.90    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       933 | NC      | $-1239330.37  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| DOLLAR GENERAL CORP                                                              | Dollar General Corp                                                              | CUSIP: 256677AJ4<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73968.96     | 0.01%             | 2024-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226066 | PA      | $212649.52    | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                 | CUSIP: 79467BDX0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    140000 | PA      | $103893.02    | 0.01%             | 2042-01-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                 | CUSIP: 12189LBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    990000 | PA      | $687875.86    | 0.07%             | 2051-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.898500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    220000 | OU      | $-2164.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    890000 | PA      | $586724.28    | 0.06%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 31300LQK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20645 | PA      | $20807.10     | 0.00%             | 2041-08-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MCRS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18303 | PA      | $18282.19     | 0.00%             | 2025-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                        | CUSIP: 040555CS1<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    400000 | PA      | $382575.33    | 0.04%             | 2025-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: —       |
| New York State Dormitory Authority                                               | NEW YORK ST DORM AUTH REVENUES NON ST SUPPORTED DEBT                             | CUSIP: 64990GWW8<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    255000 | PA      | $198170.96    | 0.02%             | 2043-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37754 | PA      | $34151.22     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128CUWB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     33000 | PA      | $30978.13     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    805000 | PA      | $635251.04    | 0.06%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US LONG BOND(CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       450 | NC      | $-2080302.26  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24401 | PA      | $25273.41     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EHS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6771 | PA      | $6763.39      | 0.00%             | 2042-01-01      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KHUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7308441 | PA      | $6010208.08   | 0.58%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                       | Cigna Corp                                                                       | CUSIP: 125523CQ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    665000 | PA      | $472653.11    | 0.05%             | 2051-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.414540 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    650000 | OU      | $-16354.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620A82U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30610 | PA      | $30413.15     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                             | Booking Holdings Inc                                                             | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    315000 | PA      | $304220.21    | 0.03%             | 2030-04-13      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     30000 | PA      | $20756.17     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23522 | PA      | $21872.70     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                  | CUSIP: 3136AUZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620472 | PA      | $574541.69    | 0.06%             | 2026-09-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.426500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    520000 | OU      | $-6276.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31389MY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32654 | PA      | $33346.14     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2167487.10   | 0.21%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1786571.27   | 0.17%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34073 | PA      | $34131.02     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.713790 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |   4890000 | OU      | $-11500.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620AWS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33647 | PA      | $32405.27     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9879 | PA      | $9660.80      | 0.00%             | 2032-10-01      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128PQBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     20649 | PA      | $20365.99     | 0.00%             | 2024-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.420000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    280959 | OU      | $983.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13274 | PA      | $12505.92     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42476 | PA      | $43981.56     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| University of California                                                         | UNIV OF CALIFORNIA CA REVENUES                                                   | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    115000 | PA      | $97624.08     | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                               | CUSIP: 04686JAE1<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |     55000 | PA      | $33715.00     | 0.00%             | 2052-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J92F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436897 | PA      | $417574.27    | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83333 | PA      | $87973.82     | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                             | CUSIP: 913366KB5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    120000 | PA      | $79268.88     | 0.01%             | 2050-05-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111EL3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    640000 | PA      | $646868.81    | 0.06%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                                                            | Kentucky Utilities Co                                                            | CUSIP: 491674BM8<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |     60000 | PA      | $42142.78     | 0.00%             | 2050-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202D2W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15633 | PA      | $16506.30     | 0.00%             | 2033-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.375870 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |   4040000 | OU      | $-5004.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY METRO                                                                     | Evergy Metro Inc                                                                 | CUSIP: 485134BP4<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    300000 | PA      | $291393.24    | 0.03%             | 2025-08-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1497424.90   | 0.14%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1775235 | PA      | $1586299.27   | 0.15%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CNOOC FINANCE 2015 US                                                            | CNOOC Finance 2015 USA LLC                                                       | CUSIP: 12634MAB6<br>LEI: 549300Q3CTIH31RFPO82 | Long             | DBT              | CORP              | US        |    600000 | PA      | $576487.50    | 0.06%             | 2025-05-05      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PepsiCo Inc                                                                      | PepsiCo Inc                                                                      | CUSIP: 713448DP0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      7000 | PA      | $5596.74      | 0.00%             | 2046-10-06      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Union Electric Co                                                                | Union Electric Co                                                                | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    230000 | PA      | $185143.42    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112655 | PA      | $110667.33    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                      | MetLife Inc                                                                      | CUSIP: 59156RCC0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    270000 | PA      | $257026.29    | 0.02%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754KAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    842489 | PA      | $827175.52    | 0.08%             | 2041-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES LLC/CO-OBL                                                          | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc                          | CUSIP: 05723KAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $584976.20    | 0.06%             | 2047-12-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676846 | PA      | $578838.49    | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2070093 | PA      | $1698995.13   | 0.16%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                                                            | TransCanada PipeLines Ltd                                                        | CUSIP: 89352HAK5<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $791788.37    | 0.08%             | 2023-10-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| UNIVISION COMMUNICATIONS                                                         | Univision Communications Inc                                                     | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1094276.50   | 0.11%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54262 | PA      | $54077.10     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp                                                            | Oglethorpe Power Corp                                                            | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    130000 | PA      | $111150.70    | 0.01%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                                   | Public Storage                                                                   | CUSIP: 74460DAC3<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              |  | US        |   1250000 | PA      | $1162616.66   | 0.11%             | 2027-09-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| EDCON HOLDCO 2                                                                   | EDCON HOLDCO 2                                                                   | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |    163560 | NS      | $0.10         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                   | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    415000 | PA      | $386242.01    | 0.04%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1156627.73   | 0.11%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104306 | PA      | $93039.94     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                                | CUSIP: 478160BV5<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    529000 | PA      | $443785.09    | 0.04%             | 2046-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407FFW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28959 | PA      | $29914.20     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -781800 | PA      | $-710111.07   | -0.07%            | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                                          | Canadian Natural Resources Ltd                                                   | CUSIP: 136385BA8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    551000 | PA      | $464274.40    | 0.04%             | 2030-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1662 | PA      | $1703.19      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                  | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3406775 | PA      | $3236257.33   | 0.31%             | 2028-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                                          | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BL5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    763000 | PA      | $766227.49    | 0.07%             | 2027-08-15      | Fixed         | 11.63%                | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GYJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467110 | PA      | $434227.37    | 0.04%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AQAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7154 | PA      | $6854.20      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2020-2                                              | CUSIP: 26208VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1142244 | PA      | $1135356.98   | 0.11%             | 2026-08-17      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H040616<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $378438.98    | 0.04%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70845 | PA      | $63411.92     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: ZAR 8.735000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | ZA        |  13200000 | OU      | $11260.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J6E94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202662 | PA      | $188980.94    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Board of Regents of the University of Texas System                               | UNIV OF TEXAS TX UNIV REVENUES                                                   | CUSIP: 91514AKD6<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |    105000 | PA      | $66259.52     | 0.01%             | 2049-08-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128PUYA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     25836 | PA      | $25389.71     | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31296XKQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7727 | PA      | $7871.60      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62959 | PA      | $58383.98     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS OF HARVAR                                                         | President and Fellows of Harvard College                                         | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |     54000 | PA      | $35055.63     | 0.00%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                            | Mexico Government International Bond                                             | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    735000 | PA      | $465484.69    | 0.04%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    210000 | PA      | $175932.81    | 0.02%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAKEMED                                                                          | WakeMed                                                                          | CUSIP: 931108AA2<br>LEI: 549300RAN6BZ6UMO7Z44 | Long             | DBT              | CORP              | US        |     81000 | PA      | $53381.01     | 0.01%             | 2052-10-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    335000 | PA      | $242628.97    | 0.02%             | 2049-09-06      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                                         | American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1135000 | PA      | $1037339.88   | 0.10%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                     | Chevron Corp                                                                     | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $511642.03    | 0.05%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117217 | PA      | $107299.65    | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RPM International Inc                                                            | RPM International Inc                                                            | CUSIP: 749685AV5<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |    105000 | PA      | $97751.30     | 0.01%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1395166 | PA      | $1189553.78   | 0.11%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                            | CUSIP: 94106BAE1<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    715000 | PA      | $613355.38    | 0.06%             | 2032-06-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QMCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    880907 | PA      | $747672.96    | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403228 | PA      | $395567.27    | 0.04%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31409GKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11836 | PA      | $12356.39     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1820000 | PA      | $1691083.34   | 0.16%             | 2025-07-19      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                          | CUSIP: 0641593U8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $884219.61    | 0.09%             | 2026-03-02      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18125 | PA      | $16222.27     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBB5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    680000 | PA      | $613819.24    | 0.06%             | 2025-09-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co                                                             | Appalachian Power Co                                                             | CUSIP: 037735CW5<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1113768.54   | 0.11%             | 2027-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615304 | PA      | $506727.95    | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8H26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125956 | PA      | $118225.03    | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2020-2                                    | CUSIP: 80285RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7791775.20   | 0.75%             | 2026-09-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11834 | PA      | $11008.74     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust 2012-C10                                         | CUSIP: 92890NAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137148 | PA      | $134207.20    | 0.01%             | 2045-12-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31400SHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26645 | PA      | $27046.24     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                          | Bristol-Myers Squibb Co                                                          | CUSIP: 110122DX3<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     55000 | PA      | $42279.47     | 0.00%             | 2062-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp                                                               | Southwest Gas Corp                                                               | CUSIP: 845011AA3<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    230000 | PA      | $209460.91    | 0.02%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| LOCKHEED MARTIN CORP                                                             | Lockheed Martin Corp                                                             | CUSIP: 539830BT5<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    535000 | PA      | $449409.03    | 0.04%             | 2062-06-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                                | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    240000 | PA      | $208070.87    | 0.02%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    561418 | PA      | $488853.32    | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2019-R01                                     | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    801374 | PA      | $799340.44    | 0.08%             | 2031-07-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25741 | PA      | $25121.10     | 0.00%             | 2035-04-01      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122892 | PA      | $113227.67    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16482 | PA      | $14781.69     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                                  | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    265000 | PA      | $241397.53    | 0.02%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    670000 | PA      | $541835.33    | 0.05%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7759 | PA      | $7857.48      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545427 | PA      | $463142.24    | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1191901 | PA      | $981555.01    | 0.09%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                           | Williams Cos Inc/The                                                             | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    790000 | PA      | $930280.01    | 0.09%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PacifiCorp                                                                       | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    135000 | PA      | $133609.29    | 0.01%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    410000 | PA      | $277375.03    | 0.03%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                               | CUSIP: 756109BP8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    170000 | PA      | $172656.69    | 0.02%             | 2032-10-13      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15457 | PA      | $14572.29     | 0.00%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36180DL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8244 | PA      | $7752.65      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1470546 | PA      | $1314728.50   | 0.13%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WNJK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8443 | PA      | $8303.44      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224683 | PA      | $210184.92    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68814 | PA      | $61970.06     | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                                               | Conagra Brands Inc                                                               | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    440000 | PA      | $414331.86    | 0.04%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                          | CUSIP: 35564KED7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    304402 | PA      | $301935.53    | 0.03%             | 2033-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16248 | PA      | $15567.55     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 78016EZD2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1030000 | PA      | $978910.34    | 0.09%             | 2027-05-04      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10585 | PA      | $10398.07     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                           | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1780606 | PA      | $1636160.69   | 0.16%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36180DLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73082 | PA      | $68194.36     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331871 | PA      | $281964.60    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                    | Chase Funding Trust Series 2004-2                                                | CUSIP: 161546JS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111828 | PA      | $104980.94    | 0.01%             | 2035-02-26      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                               | CUSIP: 72650RBH4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    170000 | PA      | $131692.86    | 0.01%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                          | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    670000 | PA      | $656917.65    | 0.06%             | 2033-10-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84152 | PA      | $78977.71     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738EBS3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    233000 | PA      | $157258.77    | 0.02%             | 2042-03-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                                        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13                      | CUSIP: 61763BAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $450976.59    | 0.04%             | 2046-11-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio Inc                                                             | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81518.26     | 0.01%             | 2049-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    339088 | PA      | $315804.09    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3617HP7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96863 | PA      | $92013.28     | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AON GLOBAL LTD                                                                   | Aon Global Ltd                                                                   | CUSIP: 00185AAK0<br>LEI: 635400FALWQYX5E6QC64 | Long             | DBT              | CORP              | GB        |   3400000 | PA      | $3314775.84   | 0.32%             | 2025-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                                                         | Wisconsin Electric Power Co                                                      | CUSIP: 976656CN6<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19596.76     | 0.00%             | 2032-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36230QTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9742 | PA      | $9161.99      | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     23688 | PA      | $24564.46     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28182 | PA      | $25611.67     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5298000 | PA      | $4484832.81   | 0.43%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36230SME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3842 | PA      | $3701.66      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    305000 | PA      | $291933.97    | 0.03%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113778 | PA      | $105477.32    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1121000.89   | 0.11%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNRA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     38087 | PA      | $36609.09     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79066 | PA      | $75214.33     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| University of Virginia                                                           | UNIV OF VIRGINIA VA UNIV REVENUES                                                | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     60000 | PA      | $38246.10     | 0.00%             | 2051-11-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: —       |
| LCH Limited                                                                      | FSWP: OIS 3.753000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    380000 | OU      | $-6673.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8MH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2810656 | PA      | $2402998.71   | 0.23%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                             | Lockheed Martin Corp                                                             | CUSIP: 539830BX6<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    930000 | PA      | $974417.46    | 0.09%             | 2054-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128CUJL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     21693 | PA      | $21616.87     | 0.00%             | 2025-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                 | OneMain Financial Issuance Trust 2019-2                                          | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5690000 | PA      | $5077658.70   | 0.49%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                          | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1187674 | PA      | $1172483.58   | 0.11%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE                                                            | United Parcel Service Inc                                                        | CUSIP: 911312BW5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    280000 | PA      | $290527.01    | 0.03%             | 2050-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                     | CUSIP: 084659AR2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $429363.95    | 0.04%             | 2049-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    613183 | PA      | $531145.70    | 0.05%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 6174468R3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1889997.49   | 0.18%             | 2025-10-21      | Fixed         | 0.86%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146198 | PA      | $151208.36    | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAMDEN PROPERTY TRUST                                                            | Camden Property Trust                                                            | CUSIP: 133131AZ5<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              |  | US        |    240000 | PA      | $206502.77    | 0.02%             | 2030-05-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6400000 | PA      | $5615163.26   | 0.54%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1472138 | PA      | $1275813.23   | 0.12%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128L5LD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8644 | PA      | $8782.96      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385H7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       776 | PA      | $805.80       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273649 | PA      | $262718.53    | 0.03%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                             | Kyndryl Holdings Inc                                                             | CUSIP: 50155QAM2<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     30000 | PA      | $17964.41     | 0.00%             | 2041-10-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31390UXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20593 | PA      | $20912.16     | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJQH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    227007 | PA      | $218248.39    | 0.02%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31287YYB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     76652 | PA      | $81993.87     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                    | Banner Health                                                                    | CUSIP: 06654DAC1<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    119000 | PA      | $83169.60     | 0.01%             | 2050-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GFUJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7384 | PA      | $7328.35      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.506170 15-MAR-2026                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |   2570000 | OU      | $24656.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417SAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14053 | PA      | $14132.46     | 0.00%             | 2024-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    340000 | PA      | $211179.39    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203187 | PA      | $196318.08    | 0.02%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69609 | PA      | $63559.27     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18383 | PA      | $16706.14     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WDDB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1683 | PA      | $1651.93      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.791270 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  29270000 | OU      | $-454537.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9R79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     68919 | PA      | $64584.07     | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19880 | PA      | $19464.05     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DE6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1640000 | PA      | $1592734.41   | 0.15%             | 2025-12-09      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441447 | PA      | $393743.51    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALLINA HEALTH SYSTEM                                                             | Allina Health System                                                             | CUSIP: 01959LAE2<br>LEI: 5493001V00JCD7SQ0G44 | Long             | DBT              | CORP              | US        |    230000 | PA      | $146321.76    | 0.01%             | 2051-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.842775  SOFR 20-OCT-20                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1000000 | OU      | $354530.67    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES                                   | BlackRock Cash Funds: Treasury, SL Agency Shares                                 | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |    100000 | NS      | $100000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548357 | PA      | $513560.23    | 0.05%             | 2038-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                                    | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                     | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |    150000 | PA      | $180267.75    | 0.02%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| CF Industries Inc                                                                | CF Industries Inc                                                                | CUSIP: 12527GAE3<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |     55000 | PA      | $49413.05     | 0.00%             | 2044-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175582 | PA      | $172592.39    | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36594 | PA      | $37211.97     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1900000 | PA      | $1691345.34   | 0.16%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117912 | PA      | $108191.14    | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                  | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1466899 | PA      | $1370370.88   | 0.13%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1690000 | PA      | $1564979.02   | 0.15%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                              | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     67000 | PA      | $52267.24     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    945000 | PA      | $933957.54    | 0.09%             | 2026-07-22      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                       | CUSIP: 842434CQ3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    800000 | PA      | $741463.21    | 0.07%             | 2026-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                                                   | ACC Auto Trust 2021-A                                                            | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1016377 | PA      | $1003278.07   | 0.10%             | 2027-04-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    605000 | PA      | $397527.53    | 0.04%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                                                      | Vistra Operations Co LLC                                                         | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1160116.88   | 0.11%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                             | Lockheed Martin Corp                                                             | CUSIP: 539830BY4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    135000 | PA      | $144933.90    | 0.01%             | 2063-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.792500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    620000 | OU      | $2675.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                              | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    339000 | PA      | $250889.46    | 0.02%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                              | CUSIP: 210518DQ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51332.86     | 0.00%             | 2052-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297FFY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     68853 | PA      | $69984.95     | 0.01%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179DJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33745 | PA      | $31479.05     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955186 | PA      | $810340.44    | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 637432NS0<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    680000 | PA      | $625404.90    | 0.06%             | 2029-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138AVGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172727 | PA      | $165875.91    | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109445 | PA      | $99739.20     | 0.01%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    480000 | PA      | $470226.27    | 0.05%             | 2025-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NZD 4.430000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NZ        |    830000 | OU      | $9844.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                                                         | Agilent Technologies Inc                                                         | CUSIP: 00846UAN1<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $899075.38    | 0.09%             | 2031-03-12      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                            | Vale Overseas Ltd                                                                | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    160000 | PA      | $168780.00    | 0.02%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1824746 | PA      | $1497605.69   | 0.14%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                                                             | BlackRock Cash Funds: Treasury, SL Agency Shares                                 | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  32816827 | NS      | $32826671.77  | 3.16%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49037.09     | 0.00%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200040 | PA      | $183131.14    | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31413YMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5813 | PA      | $6012.21      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flex Ltd                                                                         | Flex Ltd                                                                         | CUSIP: 33938XAA3<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    745000 | PA      | $701464.06    | 0.07%             | 2029-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                                               | Ameren Illinois Co                                                               | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    130000 | PA      | $93042.88     | 0.01%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622AADU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21996 | PA      | $21082.29     | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297P2C4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     45753 | PA      | $46776.64     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416BMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31945 | PA      | $32846.09     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833EL0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    450000 | PA      | $289363.75    | 0.03%             | 2061-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                        | CUSIP: 91412NBE9<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |    157000 | PA      | $104590.24    | 0.01%             | 2050-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                             | CUSIP: 459200KU4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   2905000 | PA      | $2771552.35   | 0.27%             | 2032-07-27      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| KEURIG DR PEPPER INC                                                             | Keurig Dr Pepper Inc                                                             | CUSIP: 49271VAR1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1058204.68   | 0.10%             | 2052-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                       | Nasdaq Inc                                                                       | CUSIP: 63111XAB7<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     68000 | PA      | $45733.69     | 0.00%             | 2050-04-28      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN UNIVERSITY                                                          | Northwestern University                                                          | CUSIP: 668444AS1<br>LEI: OBWWNZE695DUK77DTI34 | Long             | DBT              | CORP              | US        |    266000 | PA      | $172671.74    | 0.02%             | 2050-12-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2021-4                                    | CUSIP: 80285VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5030000 | PA      | $4781091.96   | 0.46%             | 2027-02-16      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955321 | PA      | $810372.23    | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 3.252490 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |  31600000 | OU      | $-26768.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | Toronto-Dominion Bank/The                                                        | CUSIP: 89114TZL9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1420000 | PA      | $1322280.47   | 0.13%             | 2025-01-10      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2015-GS1                                            | CUSIP: 36252AAC0<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   2030000 | PA      | $1926509.59   | 0.19%             | 2048-11-10      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Bank                                                                             | BANK 2018-BNK14                                                                  | CUSIP: 06035RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2623907.72   | 0.25%             | 2060-09-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417FBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93619 | PA      | $95721.15     | 0.01%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | STACR Trust 2018-HRP1                                                            | CUSIP: 3137G0VC0<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | USGSE             | US        |    639945 | PA      | $639099.07    | 0.06%             | 2043-04-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128PYAM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    367310 | PA      | $352434.52    | 0.03%             | 2027-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    673000 | PA      | $616183.99    | 0.06%             | 2030-04-02      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Stacr Remic Trust 2020-DNA1                                          | CUSIP: 35565HAH8<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |   3521905 | PA      | $3511005.52   | 0.34%             | 2050-01-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9SS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    201669 | PA      | $188877.76    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago O'Hare International Airport                                             | CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE                                     | CUSIP: 167593H62<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    110000 | PA      | $98145.63     | 0.01%             | 2049-01-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 3.122950 15-MAR-2025                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        | 152360000 | OU      | $493570.72    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36230QTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33255 | PA      | $32203.21     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227973 | PA      | $213758.99    | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                       | JPMBB Commercial Mortgage Securities Trust 2013-C14                              | CUSIP: 46640LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324131 | PA      | $321761.12    | 0.03%             | 2046-08-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                         | CUSIP: 898813AS9<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |    190000 | PA      | $145339.90    | 0.01%             | 2030-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $2141197.19   | 0.21%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    270000 | PA      | $224427.35    | 0.02%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -79 | NC      | $-12463.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75892 | PA      | $67999.00     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | Constellation Brands Inc                                                         | CUSIP: 21036PBG2<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    250000 | PA      | $187090.90    | 0.02%             | 2050-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8RR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722108 | PA      | $594677.76    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.918000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |    590000 | OU      | $3675.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                                | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    412000 | PA      | $383569.31    | 0.04%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417GNU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77236 | PA      | $72421.37     | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335CBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2043 | PA      | $1950.11      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7MH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     28802 | PA      | $29821.01     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                     | Comcast Corp                                                                     | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    400000 | PA      | $363438.88    | 0.03%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31921 | PA      | $32039.31     | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31400HVV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5146 | PA      | $5290.72      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2030000 | PA      | $1828004.93   | 0.18%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95890 | PA      | $86887.49     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: IFS 2.067000 15-FEB-2032                                                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |   2635000 | OU      | $302002.55    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535552 | PA      | $476500.47    | 0.05%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79682 | PA      | $78115.59     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389189 | PA      | $372766.75    | 0.04%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132CWMP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1721531 | PA      | $1655621.00   | 0.16%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BJ0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1594701.64   | 0.15%             | 2049-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416CA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62378 | PA      | $64680.81     | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5ED8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     22812 | PA      | $23568.90     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132J2SY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14459 | PA      | $13608.84     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                   | ServiceNow Inc                                                                   | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |     72000 | PA      | $55081.19     | 0.01%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    209000 | PA      | $207291.09    | 0.02%             | 2024-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: ZAR 8.650000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | ZA        |  11260000 | OU      | $7337.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CME GROUP INC                                                                    | CME Group Inc                                                                    | CUSIP: 12572QAK1<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | DBT              | CORP              | US        |    305000 | PA      | $255479.50    | 0.02%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405SKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7118 | PA      | $7137.57      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJL65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     61576 | PA      | $62488.12     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MAJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221330 | PA      | $207188.15    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31387WTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       386 | PA      | $395.83       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    365000 | PA      | $342144.74    | 0.03%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302610 | PA      | $297562.18    | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36181FM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20858 | PA      | $19475.90     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3129332E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37514 | PA      | $37206.14     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31414BWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18535 | PA      | $19221.00     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7XJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99517 | PA      | $93176.36     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193922 | PA      | $186819.09    | 0.02%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153313 | PA      | $155917.19    | 0.02%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR Trust 2019-DNA4                                                | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    758258 | PA      | $758261.40    | 0.07%             | 2049-10-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 312940RE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2084 | PA      | $2061.43      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                          | Shell International Finance BV                                                   | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     67000 | PA      | $73664.18     | 0.01%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36181GDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149114 | PA      | $139120.05    | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3620ARST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78550 | PA      | $75652.78     | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80197 | PA      | $72027.15     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115180.87    | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132GMAK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6445 | PA      | $6274.93      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1251414 | PA      | $1170203.58   | 0.11%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128LLDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       669 | PA      | $654.46       | 0.00%             | 2042-01-01      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                           | Motorola Solutions Inc                                                           | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1233523.97   | 0.12%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36230QTQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36620 | PA      | $35456.81     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31287YYD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     77087 | PA      | $82188.65     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Massachusetts                                                    | MASSACHUSETTS ST                                                                 | CUSIP: 57582RYY6<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |    295000 | PA      | $198834.13    | 0.02%             | 2049-09-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                   | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    360000 | PA      | $294959.55    | 0.03%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                   | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     70000 | PA      | $47817.62     | 0.00%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163920 | PA      | $153293.24    | 0.01%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299885 | PA      | $267396.13    | 0.03%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                        | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     50000 | PA      | $57306.15     | 0.01%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36178DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99981 | PA      | $93270.40     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    938744 | PA      | $724445.77    | 0.07%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86450.32     | 0.01%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| LCH Limited                                                                      | SWP: OIS  0.9025  FED 20-OCT-2040                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1000000 | OU      | $-345821.31   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     67000 | PA      | $64138.78     | 0.01%             | 2053-04-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | General Dynamics Corp                                                            | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1094918.71   | 0.11%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VZS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397690 | PA      | $357218.32    | 0.03%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BRK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    181160 | PA      | $162106.29    | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82985 | PA      | $84032.99     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335AY69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     68564 | PA      | $67431.41     | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207454 | PA      | $198622.15    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36296QME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48633 | PA      | $48276.04     | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402QYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160582 | PA      | $163986.27    | 0.02%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36177YC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3684 | PA      | $3464.45      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                              | CUSIP: 914455UH1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     38000 | PA      | $29645.24     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| COTY/HFC PRESTIGE/INT US                                                         | Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC             | CUSIP: 222070AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    347000 | PA      | $314035.00    | 0.03%             | 2029-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33325 | PA      | $30940.08     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4481525 | PA      | $4472103.51   | 0.43%             | 2050-11-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407SPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27295 | PA      | $28259.23     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254991 | PA      | $232219.83    | 0.02%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138Y4PH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276678 | PA      | $264249.33    | 0.03%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QMW75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1393604 | PA      | $1186483.41   | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207916 | PA      | $199571.05    | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132JAEZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    210113 | PA      | $196697.61    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAET2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     44536 | PA      | $42707.02     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                          | Becton Dickinson and Co                                                          | CUSIP: 075887CP2<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $168483.94    | 0.02%             | 2032-08-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| REPUBLIC OF PHILIPPINES                                                          | Philippine Government International Bond                                         | CUSIP: 718286CL9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $134022.00    | 0.01%             | 2045-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                          | Bristol-Myers Squibb Co                                                          | CUSIP: 110122DS4<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $670220.08    | 0.06%             | 2050-11-13      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                   | CUSIP: 693304BE6<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    105000 | PA      | $92358.47     | 0.01%             | 2052-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Bill- When Issued                                         | CUSIP: 912796YN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24743903.75  | 2.38%             | 2023-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506934 | PA      | $439183.78    | 0.04%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9616 | PA      | $9711.70      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                                                       | Zoetis Inc                                                                       | CUSIP: 98978VAL7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1664076.80   | 0.16%             | 2027-09-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12209 | PA      | $11971.06     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    335000 | PA      | $275416.08    | 0.03%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3577.69      | 0.00%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2020-1                                              | CUSIP: 26208QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819982 | PA      | $818956.61    | 0.08%             | 2026-03-16      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2014-CCRE17 Mortgage Trust                                                  | CUSIP: 12631DBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $653536.76    | 0.06%             | 2047-05-10      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136144 | PA      | $121774.45    | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250010 | PA      | $224162.84    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16612 | PA      | $16364.01     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                         | Devon Energy Corp                                                                | CUSIP: 25179SAD2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    290000 | PA      | $327246.23    | 0.03%             | 2031-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128PMWR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2646 | PA      | $2640.49      | 0.00%             | 2024-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERFLEX LTD                                                                     | Enerflex Ltd                                                                     | CUSIP: 29269RAA3<br>LEI: 54930014N7872VUS3F89 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $24931.13     | 0.00%             | 2027-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19860 | PA      | $18444.31     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252102 | PA      | $247809.51    | 0.02%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31288DKG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2828 | PA      | $2928.12      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: HKD 3.795000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | HK        |   4080000 | OU      | $4320.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSX Corp                                                                         | CSX Corp                                                                         | CUSIP: 126408HE6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    800000 | PA      | $736444.96    | 0.07%             | 2026-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBT1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1079593.74   | 0.10%             | 2025-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292HK94<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       597 | PA      | $620.13       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Stacr Remic Trust 2019-Hqa4                                          | CUSIP: 35565CAH9<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | USGSE             | US        |    374963 | PA      | $374024.59    | 0.04%             | 2049-11-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CNX Resources Corp                                                               | CNX Resources Corp                                                               | CUSIP: 12653CAC2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |    116000 | PA      | $115130.00    | 0.01%             | 2027-03-14      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2849636 | PA      | $2204151.34   | 0.21%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                                         | Huntington National Bank/The                                                     | CUSIP: 44644MAJ0<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   2855000 | PA      | $2876794.44   | 0.28%             | 2030-01-10      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72617 | PA      | $69634.83     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| District of Columbia Water & Sewer Authority                                     | DIST OF COLUMBIA WTR & SWR AUTH PUBLIC UTILITY REVENUE                           | CUSIP: 254845RM4<br>LEI: 549300OT2FIJQJ5PSH71 | Long             | DBT              | MUN               | US        |    200000 | PA      | $141838.00    | 0.01%             | 2048-10-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32775 | PA      | $32996.66     | 0.00%             | 2043-06-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JPLG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29998 | PA      | $29310.61     | 0.00%             | 2038-04-01      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60565 | PA      | $58173.18     | 0.01%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46625HQW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    266000 | PA      | $252150.41    | 0.02%             | 2026-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GJ7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    110000 | PA      | $95993.79     | 0.01%             | 2052-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA2                                          | CUSIP: 35564KFN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1342048 | PA      | $1331465.02   | 0.13%             | 2033-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                    | CUSIP: 744448CR0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16415.15     | 0.00%             | 2049-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2020-2                                     | CUSIP: 96042PAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4554954 | PA      | $4510099.76   | 0.43%             | 2025-07-15      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7LF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13399 | PA      | $12468.49     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                                         | Hackensack Meridian Health Inc                                                   | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |     58000 | PA      | $37491.52     | 0.00%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17488 | PA      | $16714.41     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                  | CUSIP: 3136AJLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516240 | PA      | $506821.11    | 0.05%             | 2024-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2294770 | PA      | $1874445.35   | 0.18%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54955 | PA      | $50935.61     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: PLN 7.535000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |   1600000 | OU      | $-21009.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                                | ONEOK Partners LP                                                                | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70732.95     | 0.01%             | 2041-02-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.320280 15-MAR-2033                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  15630000 | OU      | $542679.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3377305 | PA      | $2752475.25   | 0.26%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884839 | PA      | $754577.87    | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Inc Asset-Backed Certificates Series 2004-1                                | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5448 | PA      | $5300.19      | 0.00%             | 2034-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EGKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42921 | PA      | $41889.57     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.239000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |    760000 | OU      | $-3641.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                    | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    170000 | PA      | $167744.21    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $978442.95    | 0.09%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                              | CUSIP: 210518DN3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    125000 | PA      | $78596.68     | 0.01%             | 2052-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.598600 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |    720000 | OU      | $5385.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    116000 | PA      | $91965.16     | 0.01%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44132 | PA      | $45039.94     | 0.00%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WFDH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     45821 | PA      | $42603.07     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168005 | PA      | $174673.41    | 0.02%             | 2039-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XB4Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1610652 | PA      | $1415498.39   | 0.14%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                          | Frontier Communications Holdings LLC                                             | CUSIP: 35906ABG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    970000 | PA      | $802442.20    | 0.08%             | 2029-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| LCH Limited                                                                      | FSWP: EUR 2.019760 15-MAR-2053                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |  19560000 | OU      | $1191462.55   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: HKD 3.695000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | HK        |   3150000 | OU      | $5153.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407CBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26849 | PA      | $27418.44     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1190000 | PA      | $1138404.34   | 0.11%             | 2026-10-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    846000 | PA      | $764717.24    | 0.07%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| CHOICE HOTELS INTL INC                                                           | Choice Hotels International Inc                                                  | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1476081.78   | 0.14%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                            | CUSIP: 89788MAA0<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2478709.63   | 0.24%             | 2025-08-05      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    600000 | PA      | $396163.34    | 0.04%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1443154 | PA      | $1385481.27   | 0.13%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                                                | Atmos Energy Corp                                                                | CUSIP: 049560AN5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    400000 | PA      | $373300.38    | 0.04%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| LLOYDS BANKING GROUP PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAN3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1590000 | PA      | $1559342.83   | 0.15%             | 2024-05-11      | Fixed         | 0.70%                 | No            |                  2 | On Loan: —       |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0HE8<br>LEI: 549300ECVPNB3VQOQ826 | Long             | ABS-MBS          | CORP              | US        |      4694 | PA      | $2774.18      | 0.00%             | 2019-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    125000 | PA      | $84877.78     | 0.01%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA LTD                                                            | Rio Tinto Finance USA Ltd                                                        | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |    230000 | PA      | $152141.49    | 0.01%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    550000 | PA      | $512389.87    | 0.05%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64065 | PA      | $57402.13     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81182 | PA      | $79935.75     | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                                                  | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 48128U2N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    913774 | PA      | $871036.26    | 0.08%             | 2028-12-26      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    610000 | PA      | $537334.20    | 0.05%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    340000 | PA      | $266294.83    | 0.03%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     85000 | PA      | $74300.67     | 0.01%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46056 | PA      | $48045.04     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                                    | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   2640000 | PA      | $2039050.75   | 0.20%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EPZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100245 | PA      | $95832.13     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107652 | PA      | $104976.36    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.187000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |   3840000 | OU      | $1738.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                                      | CUSIP: 713448EP9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    719000 | PA      | $513682.24    | 0.05%             | 2049-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-4                                              | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2787023 | PA      | $2697898.01   | 0.26%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Nasdaq Inc                                                                       | Nasdaq Inc                                                                       | CUSIP: 631103AG3<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     32000 | PA      | $30893.67     | 0.00%             | 2026-06-30      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2020-3                                       | CUSIP: 30166NAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1730000 | PA      | $1666709.85   | 0.16%             | 2026-07-15      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418MYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83328 | PA      | $85421.09     | 0.01%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    967197 | PA      | $820539.59    | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1310359.86   | 0.13%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    545000 | PA      | $512158.30    | 0.05%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34194 | PA      | $32765.00     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                              | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     70000 | PA      | $51050.62     | 0.00%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3620AWSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27440 | PA      | $26432.29     | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                            | Indonesia Government International Bond                                          | CUSIP: 455780CB0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    500000 | PA      | $453180.00    | 0.04%             | 2047-07-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97279 | PA      | $100222.76    | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334862 | PA      | $303088.93    | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.238000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5075000 | OU      | $-101.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                                          | Duke Energy Florida LLC                                                          | CUSIP: 26444HAE1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1295813.60   | 0.12%             | 2028-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79279 | PA      | $75822.11     | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5QD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     19974 | PA      | $20713.80     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    802812 | PA      | $769329.51    | 0.07%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16                 | CUSIP: 46629GAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $10822.90     | 0.00%             | 2045-05-12      | Variable      | 5.67%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133B5NU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163042 | PA      | $132836.85    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dallas Fort Worth International Airport                                          | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE                                  | CUSIP: 2350368N3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    260000 | PA      | $184625.22    | 0.02%             | 2046-11-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                                 | Black Hills Corp                                                                 | CUSIP: 092113AU3<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186519.03    | 0.02%             | 2024-08-23      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCR98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    108780 | PA      | $105110.85    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31408DQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20627 | PA      | $21064.89     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502088 | PA      | $427415.27    | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31415VKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $543.32       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7S64<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5250 | PA      | $5208.36      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124625 | PA      | $119650.80    | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                         | 1011778 BC ULC / New Red Finance Inc                                             | CUSIP: 68245XAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1250000 | PA      | $1119257.44   | 0.11%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248682 | PA      | $232776.06    | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38148LAE6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483578.08    | 0.05%             | 2025-05-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                                          | Simon Property Group LP                                                          | CUSIP: 828807CV7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |     90000 | PA      | $86196.25     | 0.01%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.725000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    360000 | OU      | $-3258.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615653 | PA      | $590356.68    | 0.06%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    516146 | PA      | $419864.26    | 0.04%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KLG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1180017 | PA      | $963483.59    | 0.09%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24042.63     | 0.00%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                     | Chevron Corp                                                                     | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $43059.53     | 0.00%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80707 | PA      | $78319.56     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                    | DISH DBS Corp                                                                    | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    411000 | PA      | $290782.50    | 0.03%             | 2028-07-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWMN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10005 | PA      | $9305.19      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1114697 | PA      | $1000608.12   | 0.10%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.285000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |   7170000 | OU      | $186.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNH51<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1122740 | PA      | $1052141.12   | 0.10%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11251375 | PA      | $10005052.54  | 0.96%             | 2038-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316971 | PA      | $302785.90    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XDN51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1903955 | PA      | $1551997.84   | 0.15%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: HKD 3.715000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | HK        |   2626800 | OU      | $3994.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |         1 | NC      | $-1427.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.697500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    520000 | OU      | $-5448.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                              | Citigroup Commercial Mortgage Trust 2016-C1                                      | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290000 | PA      | $1199573.19   | 0.12%             | 2049-05-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36180DR33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51866 | PA      | $48384.02     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36213ESA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3903 | PA      | $4030.77      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                  | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70053.82     | 0.01%             | 2026-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2020-1                                              | CUSIP: 26208QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $7459067.12   | 0.72%             | 2027-05-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    710000 | PA      | $723792.60    | 0.07%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412Q2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25995 | PA      | $25769.29     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                                                 | Genuine Parts Co                                                                 | CUSIP: 372460AB1<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $980360.13    | 0.09%             | 2025-02-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                        | CUSIP: 695156AW9<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    285000 | PA      | $182232.93    | 0.02%             | 2051-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                                                  | Xcel Energy Inc                                                                  | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    900000 | PA      | $861406.17    | 0.08%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210193 | PA      | $195914.43    | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                                             | Southern Copper Corp                                                             | CUSIP: 84265VAH8<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    152000 | PA      | $146613.50    | 0.01%             | 2025-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833EH9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    850000 | PA      | $720036.39    | 0.07%             | 2028-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR Trust 2019-FTR2                                                | CUSIP: 35564WAA1<br>LEI: 5493008J93RJW7PJFN93 | Long             | ABS-MBS          | USGSE             | US        |   1672812 | PA      | $1655610.17   | 0.16%             | 2048-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25595 | PA      | $25918.31     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.506000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |    480000 | OU      | $-6700.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145287 | PA      | $135782.43    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14428 | PA      | $12912.64     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A25T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    878077 | PA      | $825999.68    | 0.08%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.095000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    510000 | OU      | $5174.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | Viatris Inc                                                                      | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    150000 | PA      | $92420.68     | 0.01%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                               | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |     30000 | PA      | $20242.68     | 0.00%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833EQ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     45000 | PA      | $38236.32     | 0.00%             | 2052-08-08      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40010 | PA      | $39225.85     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7QT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13500 | PA      | $13410.96     | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24985 | PA      | $23313.76     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MCDX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7251 | PA      | $7246.00      | 0.00%             | 2024-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661DT1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    420000 | PA      | $411820.30    | 0.04%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QML69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2837736 | PA      | $2312733.71   | 0.22%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    325000 | PA      | $352670.13    | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                           | CUSIP: 202795JT8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     70000 | PA      | $48299.54     | 0.00%             | 2051-03-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| AmerisourceBergen Corp                                                           | AmerisourceBergen Corp                                                           | CUSIP: 03073EAP0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1427000 | PA      | $1333260.00   | 0.13%             | 2027-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                                       | Eaton Corp                                                                       | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |     90000 | PA      | $81427.80     | 0.01%             | 2052-08-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| ALLEGION PLC                                                                     | Allegion PLC                                                                     | CUSIP: 01748TAB7<br>LEI: 984500560CAC2E6FB757 | Long             | DBT              | CORP              | IE        |     90000 | PA      | $77549.39     | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASGN INCORPORATED                                                                | ASGN Inc                                                                         | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |    575000 | PA      | $520490.00    | 0.05%             | 2028-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95566 | PA      | $88694.49     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31407FN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37884 | PA      | $38014.74     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                             | CUSIP: 743315BA0<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |     35000 | PA      | $26835.23     | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400GR8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    260000 | PA      | $228623.90    | 0.02%             | 2049-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7097 | PA      | $6955.04      | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93075 | PA      | $90387.68     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                                                           | Mid-America Apartments LP                                                        | CUSIP: 59523UAT4<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |     70000 | PA      | $60536.07     | 0.01%             | 2026-09-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1590000 | PA      | $1500401.43   | 0.14%             | 2026-03-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41734 | PA      | $42432.36     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                    | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41547.91     | 0.00%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCT1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1481322.34   | 0.14%             | 2025-12-10      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1336146 | PA      | $1091907.19   | 0.11%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QGYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821605 | PA      | $671255.66    | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3571425 | PA      | $3289766.98   | 0.32%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.235000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    630000 | OU      | $-1327.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: MXN 8.295000 08-MAR-2028                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |   9780000 | OU      | $7836.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2019-R03                                     | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900905 | PA      | $898707.31    | 0.09%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                                               | Panama Government International Bond                                             | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    420000 | PA      | $270585.00    | 0.03%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                                                        | Avant Loans Funding Trust 2021-REV1                                              | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5460000 | PA      | $5200325.68   | 0.50%             | 2030-07-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                            | CUSIP: 73358WXP4<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    200000 | PA      | $187967.20    | 0.02%             | 2045-06-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255454 | PA      | $252358.86    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.840320 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |  64010000 | OU      | $-1337430.84  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105815 | PA      | $99322.17     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                                                         | Flex Ltd                                                                         | CUSIP: 33938XAC9<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |      5000 | PA      | $4704.06      | 0.00%             | 2026-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                   | CUSIP: 68233JBP8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    320000 | PA      | $257214.97    | 0.02%             | 2049-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | STACR Trust 2018-HRP1                                                            | CUSIP: 3137G0UZ0<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | USGSE             | US        |    188914 | PA      | $188315.84    | 0.02%             | 2043-04-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $73032.44     | 0.01%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132Y1GK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25776 | PA      | $25453.03     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KK3T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551236 | PA      | $468289.44    | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    980000 | PA      | $849327.70    | 0.08%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31775 | PA      | $32861.28     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | Enbridge Inc                                                                     | CUSIP: 29250NBE4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    195000 | PA      | $132353.45    | 0.01%             | 2051-08-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: —       |
| PRIME SECSRVC BRW/FINANC                                                         | Prime Security Services Borrower LLC / Prime Finance Inc                         | CUSIP: 74166MAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1095000 | PA      | $996625.20    | 0.10%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2225635 | PA      | $1813846.79   | 0.17%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: PLN 5.340000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |   2020000 | OU      | $14066.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219846 | PA      | $213873.19    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co                                                           | Commonwealth Edison Co                                                           | CUSIP: 202795JP6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     90000 | PA      | $72793.66     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                                | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    925000 | PA      | $862961.00    | 0.08%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132L74A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     31458 | PA      | $29229.30     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1940000 | PA      | $1632296.60   | 0.16%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                 | CUSIP: 57421CAW4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     80000 | PA      | $53160.32     | 0.01%             | 2050-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35333 | PA      | $33126.50     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue          | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                   | CUSIP: 64971M4P4<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |    110000 | PA      | $111290.08    | 0.01%             | 2037-08-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30537 | PA      | $27322.89     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128JRH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35337 | PA      | $34395.27     | 0.00%             | 2027-11-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    523362 | PA      | $466827.31    | 0.04%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30097 | PA      | $28011.95     | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39021 | PA      | $36161.76     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30885 | PA      | $29053.25     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    185000 | PA      | $154171.31    | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55133 | PA      | $47538.41     | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BD3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1412443.44   | 0.14%             | 2048-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418V5T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4800 | PA      | $4860.38      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                               | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     40000 | PA      | $29157.84     | 0.00%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138W9RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14588 | PA      | $13862.51     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    345000 | PA      | $314513.45    | 0.03%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2866491 | PA      | $2430204.49   | 0.23%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                              | CUSIP: 34531XAB0<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3145.42      | 0.00%             | 2050-06-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332644 | PA      | $319384.68    | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp                                       | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                         | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    119000 | PA      | $97220.86     | 0.01%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJN0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    315000 | PA      | $221398.59    | 0.02%             | 2052-03-13      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1173986 | PA      | $994545.99    | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGK57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3286731 | PA      | $2790791.41   | 0.27%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.535500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    810000 | OU      | $-15296.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1037815.69   | 0.10%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416SKW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6517 | PA      | $6361.64      | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ameriprise Financial Inc                                                         | Ameriprise Financial Inc                                                         | CUSIP: 03076CAK2<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |    930000 | PA      | $890807.85    | 0.09%             | 2025-04-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324785 | PA      | $305996.73    | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.429000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    267482 | OU      | $1009.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426238 | PA      | $423894.38    | 0.04%             | 2030-07-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                              | Abbott Laboratories                                                              | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1277165.40   | 0.12%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                                          | John Deere Capital Corp                                                          | CUSIP: 24422EWF2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    595000 | PA      | $577220.37    | 0.06%             | 2025-06-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KNNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1860788 | PA      | $1633740.04   | 0.16%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| YALE UNIVERSITY                                                                  | Yale University                                                                  | CUSIP: 98459LAC7<br>LEI: 9SFB6DIM0FRWV0EV8S84 | Long             | DBT              | CORP              | US        |    272000 | PA      | $172663.73    | 0.02%             | 2050-04-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: OIS  0.537125  SOFR 20-OCT-20                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1250000 | OU      | $-266006.90   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bombardier Inc                                                                   | Bombardier Inc                                                                   | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    540000 | PA      | $523786.96    | 0.05%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $971942.16    | 0.09%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335AUF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     95746 | PA      | $89061.88     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WFHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324710 | PA      | $302074.64    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WKQ84<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13607 | PA      | $12150.61     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: HKD 3.690000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | HK        |   5350000 | OU      | $8907.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417SX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8822 | PA      | $8805.04      | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co                                                                 | Georgia Power Co                                                                 | CUSIP: 373334KE0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    800000 | PA      | $756344.03    | 0.07%             | 2026-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.426120 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |   2960000 | OU      | $-3204.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HAP4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1100000 | PA      | $1038598.62   | 0.10%             | 2025-01-16      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GC2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    320000 | PA      | $228532.83    | 0.02%             | 2049-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2019-R06                                     | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    102104 | PA      | $101964.27    | 0.01%             | 2039-09-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31292KZV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     55961 | PA      | $56732.69     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58277 | PA      | $55566.52     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                             | Lockheed Martin Corp                                                             | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    700000 | PA      | $593696.21    | 0.06%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                            | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     60000 | PA      | $42464.33     | 0.00%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82547 | PA      | $75052.55     | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336222 | PA      | $286702.94    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                              | CUSIP: 68902VAM9<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     70000 | PA      | $48959.75     | 0.00%             | 2050-02-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | Evergy Kansas Central Inc                                                        | CUSIP: 30036FAA9<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    130000 | PA      | $94081.90     | 0.01%             | 2050-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                                            | MidAmerican Energy Co                                                            | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    800000 | PA      | $748975.28    | 0.07%             | 2027-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc                                                                       | Pfizer Inc                                                                       | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $96731.95     | 0.01%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680AX1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1412067.87   | 0.14%             | 2024-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CZK 4.910000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CZ        |   6600000 | OU      | $-2486.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     12298 | PA      | $12852.95     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QBR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346118 | PA      | $308150.84    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                                         | Fox Corp                                                                         | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    340000 | PA      | $336057.11    | 0.03%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    950000 | PA      | $887281.45    | 0.09%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39547 | PA      | $35735.16     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1937057 | PA      | $1727589.71   | 0.17%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37462 | PA      | $37029.54     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                                  | State of Israel                                                                  | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    390000 | PA      | $296838.75    | 0.03%             | 2050-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                              | CUSIP: 914455UJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     69000 | PA      | $56072.37     | 0.01%             | 2122-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BOISE CASCADE COMPANY                                                            | Boise Cascade Co                                                                 | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    750000 | PA      | $652783.34    | 0.06%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| University of California                                                         | UNIV OF CALIFORNIA CA REVENUES                                                   | CUSIP: 91412GXY6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    150000 | PA      | $131661.45    | 0.01%             | 2045-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                            | CUSIP: 73358WXQ2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     50000 | PA      | $46555.55     | 0.00%             | 2065-10-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    510000 | PA      | $396525.77    | 0.04%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.009000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |   3755000 | OU      | $11663.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3617NWHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1114046 | PA      | $932619.79    | 0.09%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust 2020-1                                      | Toyota Auto Loan Extended Note Trust 2020-1                                      | CUSIP: 89237JAA4<br>LEI: 549300XP7ILZSI1BWP36 | Long             | ABS-O            | CORP              | US        |   5680000 | PA      | $5196244.62   | 0.50%             | 2033-05-25      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Aflac Inc                                                                        | Aflac Inc                                                                        | CUSIP: 001055AY8<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |    575000 | PA      | $510041.44    | 0.05%             | 2049-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    566862 | PA      | $525025.44    | 0.05%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE STEEL & ALUM                                                            | Reliance Steel & Aluminum Co                                                     | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1240255.75   | 0.12%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33374 | PA      | $33452.46     | 0.00%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust 2014-C23                                         | CUSIP: 92939HAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261573 | PA      | $252834.27    | 0.02%             | 2057-10-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55808 | PA      | $53476.41     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                                | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    702000 | PA      | $594363.79    | 0.06%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON GAS LIGHT CO                                                          | Washington Gas Light Co                                                          | CUSIP: 93884PDY3<br>LEI: DL22T1SB4DUBS063O841 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21758.04     | 0.00%             | 2049-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31298D3G0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $343.23       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329958 | PA      | $296254.75    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31335BNL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    419349 | PA      | $390630.46    | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                          | CUSIP: 54627RAP5<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |     65000 | PA      | $59964.44     | 0.01%             | 2039-08-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14958 | PA      | $14697.34     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57453 | PA      | $57087.03     | 0.01%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH                                                         | Beth Israel Lahey Health Inc                                                     | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |    169000 | PA      | $104170.70    | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    452587 | PA      | $443693.26    | 0.04%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                           | CUSIP: 202795JR2<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    500000 | PA      | $419020.45    | 0.04%             | 2030-03-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     91000 | PA      | $71212.87     | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $15.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821703 | PA      | $699891.52    | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                          | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1597855 | PA      | $1575901.39   | 0.15%             | 2034-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70708 | PA      | $70034.34     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                            | MET TRANSPRTN AUTH NY REVENUE                                                    | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    355000 | PA      | $383764.23    | 0.04%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137B3NX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260554 | PA      | $258940.43    | 0.02%             | 2023-04-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36295NPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43719 | PA      | $40454.58     | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KMXX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    911743 | PA      | $773840.48    | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36180DLG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79976 | PA      | $74013.75     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 3.965000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |   1180000 | OU      | $-12143.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36181FM99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32673 | PA      | $30726.50     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24771 | PA      | $24257.33     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Thomson Reuters Corp                                                             | Thomson Reuters Corp                                                             | CUSIP: 884903BV6<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $756804.34    | 0.07%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73938 | PA      | $71666.86     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                         | Toyota Motor Credit Corp                                                         | CUSIP: 89236TKF1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1078502.04   | 0.10%             | 2025-08-18      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QBS4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    500000 | PA      | $466927.81    | 0.04%             | 2027-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132L8T31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    160541 | PA      | $148979.35    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83306 | PA      | $75259.62     | 0.01%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2864991.49   | 0.28%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36241KWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23541 | PA      | $24505.13     | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320581 | PA      | $298978.73    | 0.03%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200272 | PA      | $183243.38    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111812 | PA      | $103610.12    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                                                           | Massachusetts Institute of Technology                                            | CUSIP: 575718AJ0<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |    264000 | PA      | $193296.69    | 0.02%             | 2052-04-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36177QXM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20582 | PA      | $19356.01     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418Q4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2852 | PA      | $2829.76      | 0.00%             | 2040-04-01      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132XW5W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8235 | PA      | $7957.43      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1980000 | PA      | $1833246.56   | 0.18%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| College Loan Corporation Trust                                                   | College Loan Corp Trust I                                                        | CUSIP: 194262CE9<br>LEI: 254900HRAVYB2492C092 | Long             | ABS-O            | CORP              | US        |    420378 | PA      | $418434.67    | 0.04%             | 2024-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    285000 | PA      | $189363.84    | 0.02%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                   | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    635000 | PA      | $482725.44    | 0.05%             | 2031-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: —       |
| Pennsylvania State University/The                                                | PENNSYLVANIA ST UNIV                                                             | CUSIP: 709235T88<br>LEI: 549300QDK4O4XCJ47X56 | Long             | DBT              | MUN               | US        |     80000 | PA      | $54692.72     | 0.01%             | 2050-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31391NES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2238 | PA      | $2271.65      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q7LA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414055 | PA      | $395314.10    | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Inc                                                           | CenterPoint Energy Inc                                                           | CUSIP: 15189TAV9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    170000 | PA      | $159365.01    | 0.02%             | 2028-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2020227 | PA      | $1740002.93   | 0.17%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525334 | PA      | $454881.93    | 0.04%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18011 | PA      | $18003.82     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                             | CUSIP: 743315AS2<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    295000 | PA      | $246954.13    | 0.02%             | 2047-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     90000 | PA      | $60357.97     | 0.01%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91145 | PA      | $87337.55     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271965 | PA      | $235502.03    | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416WQW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7336 | PA      | $7159.76      | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJZR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    131639 | PA      | $122254.59    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36178WS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17834 | PA      | $16604.20     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85924 | PA      | $79901.96     | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KNLD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    962228 | PA      | $783960.67    | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140JLL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174033 | PA      | $165941.07    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    198000 | PA      | $187552.06    | 0.02%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.056000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    820000 | OU      | $6660.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | Keurig Dr Pepper Inc                                                             | CUSIP: 49271VAQ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    245000 | PA      | $222864.40    | 0.02%             | 2032-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2272344 | PA      | $1855050.36   | 0.18%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    635000 | PA      | $621258.60    | 0.06%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81222.29     | 0.01%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                        | CUSIP: 072024XW7<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    540000 | PA      | $360729.72    | 0.03%             | 2055-04-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18176 | PA      | $17635.51     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132LAS94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243472 | PA      | $232412.46    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    700000 | PA      | $552421.85    | 0.05%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN-KETTERING                                                         | Memorial Sloan-Kettering Cancer Center                                           | CUSIP: 586054AD0<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |     46000 | PA      | $30474.25     | 0.00%             | 2050-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    984500 | PA      | $824939.46    | 0.08%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44509 | PA      | $38378.43     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53992 | PA      | $53814.06     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X6ME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723094 | PA      | $671407.19    | 0.06%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    555000 | PA      | $511379.78    | 0.05%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579423 | PA      | $540303.71    | 0.05%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412QSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141146 | PA      | $143004.12    | 0.01%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108353 | PA      | $101928.81    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                   | CUSIP: 617482V92<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    460000 | PA      | $498929.79    | 0.05%             | 2042-07-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Dallas Area Rapid Transit                                                        | DALLAS TX AREA RAPID TRANSIT SALES TAX REVENUE                                   | CUSIP: 235241WM4<br>LEI: 75YWM81F2R6UQGJIEW47 | Long             | DBT              | MUN               | US        |    100000 | PA      | $65031.90     | 0.01%             | 2048-12-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                                              | NCL Corp Ltd                                                                     | CUSIP: 62886HBG5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    640000 | PA      | $481625.60    | 0.05%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J75S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147183 | PA      | $143185.56    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.594090 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |    660000 | OU      | $-10457.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57282 | PA      | $52290.21     | 0.01%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q8C52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475423 | PA      | $445131.94    | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138E0SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5939 | PA      | $5745.48      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250009 | PA      | $214607.84    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31417DWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12945 | PA      | $12535.02     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82501 | PA      | $79022.73     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3395000 | PA      | $3326961.82   | 0.32%             | 2026-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31390CVL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2026 | PA      | $2094.71      | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    740489 | PA      | $709298.88    | 0.07%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119958 | PA      | $118918.61    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                 | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    585000 | PA      | $443390.71    | 0.04%             | 2032-05-28      | Fixed         | 3.04%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425000 | PA      | $356079.99    | 0.03%             | 2053-01-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                          | Shell International Finance BV                                                   | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    178000 | PA      | $120526.92    | 0.01%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.160000 15-MAR-2033                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  57160000 | OU      | $-1758637.55  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                  | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    325000 | PA      | $259040.57    | 0.02%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    800000 | PA      | $788665.73    | 0.08%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71327 | PA      | $64906.06     | 0.01%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Grand Parkway Transportation Corp                                                | GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE                                 | CUSIP: 38611TDL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    100000 | PA      | $71492.00     | 0.01%             | 2052-10-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31586 | PA      | $30985.59     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                         | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |    250000 | PA      | $274098.00    | 0.03%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887212 | PA      | $753143.36    | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $866041.13    | 0.08%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2019-R02                                     | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1133943 | PA      | $1132534.64   | 0.11%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106272 | PA      | $109421.04    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co                                                           | Commonwealth Edison Co                                                           | CUSIP: 202795JN1<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1129123.52   | 0.11%             | 2028-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31405RRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4390 | PA      | $4490.36      | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36178EDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49851 | PA      | $46894.77     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| METHODIST HOSPITAL/THE                                                           | Methodist Hospital/The                                                           | CUSIP: 591539AA9<br>LEI: 549300Y1E42JLBRENF23 | Long             | DBT              | CORP              | US        |     87000 | PA      | $55483.65     | 0.01%             | 2050-12-01      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 3.252490 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |  31600000 | OU      | $273382.27    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                     | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |    775000 | PA      | $649761.39    | 0.06%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                    | DTE Energy Co                                                                    | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245737.11    | 0.02%             | 2024-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412RND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56961 | PA      | $53308.05     | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235889 | PA      | $220469.64    | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                        | CUSIP: 040555CW2<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    800000 | PA      | $727287.58    | 0.07%             | 2027-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                 | CUSIP: 57421CAV6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    115000 | PA      | $81184.14     | 0.01%             | 2040-07-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    260000 | PA      | $210781.93    | 0.02%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31416W4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4848 | PA      | $4538.14      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: IFS 2.736000 15-JUN-2032                                                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |   2630000 | OU      | $31101.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31389VBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1976 | PA      | $1988.86      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34397 | PA      | $31938.54     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270489 | PA      | $979202.18    | 0.09%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57279 | PA      | $58253.98     | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES LUX                                                           | Trane Technologies Luxembourg Finance SA                                         | CUSIP: 456873AF5<br>LEI: 549300GHBOWCVY92IS29 | Long             | DBT              | CORP              | LU        |     95000 | PA      | $76973.35     | 0.01%             | 2049-03-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| ADOBE INC                                                                        | Adobe Inc                                                                        | CUSIP: 00724PAC3<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |   2090000 | PA      | $1902119.64   | 0.18%             | 2027-02-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                    | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2805000 | PA      | $2719947.46   | 0.26%             | 2025-04-24      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 36230NHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18525 | PA      | $17883.05     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138W3F32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37941 | PA      | $32714.24     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3035000 | PA      | $2632582.79   | 0.25%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    280000 | PA      | $262853.91    | 0.03%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.649000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1520000 | OU      | $-3205.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12502 | PA      | $11376.64     | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117748 | PA      | $109283.02    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6NR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2460598 | PA      | $2257863.35   | 0.22%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AXHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    871406 | PA      | $739603.18    | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140EUKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3564 | PA      | $3495.23      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                  | CUSIP: 3136AY7L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1143556 | PA      | $1067062.48   | 0.10%             | 2027-12-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877142 | PA      | $906859.34    | 0.09%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                 | Duke Energy Corp                                                                 | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    300000 | PA      | $277084.26    | 0.03%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAG7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $1943139.28   | 0.19%             | 2024-10-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                          | Exxon Mobil Corp                                                                 | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    625000 | PA      | $470520.31    | 0.05%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| COSTCO WHOLESALE CORP                                                            | Costco Wholesale Corp                                                            | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    160000 | PA      | $126490.47    | 0.01%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297M4D7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     86727 | PA      | $87313.18     | 0.01%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                       | Humana Inc                                                                       | CUSIP: 444859BD3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $979854.47    | 0.09%             | 2024-10-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                  | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    315000 | PA      | $250713.10    | 0.02%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WNEK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     33426 | PA      | $32800.81     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48049 | PA      | $43050.56     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJQ39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562020 | PA      | $498121.93    | 0.05%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KH2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    458213 | PA      | $404558.46    | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1035012.00   | 0.10%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XAY4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     55000 | PA      | $42227.73     | 0.00%             | 2052-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2140000 | PA      | $1874889.07   | 0.18%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | Elevance Health Inc                                                              | CUSIP: 036752AC7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1352139.18   | 0.13%             | 2024-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: ZAR 8.206000 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | ZA        |   7670000 | OU      | $-3069.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                       | JPMDB Commercial Mortgage Securities Trust 2017-C5                               | CUSIP: 46590TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160000 | PA      | $1083808.42   | 0.10%             | 2050-03-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QHET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172637 | PA      | $154005.61    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                             | Kraft Heinz Foods Co                                                             | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    575000 | PA      | $549353.17    | 0.05%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179DK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8516 | PA      | $7873.62      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                                                   | Mastercard Inc                                                                   | CUSIP: 57636QAL8<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    280000 | PA      | $226659.54    | 0.02%             | 2049-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188710 | PA      | $168330.44    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1687000 | PA      | $1314967.22   | 0.13%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 31297F3M3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6110 | PA      | $6138.15      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138MKE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17593 | PA      | $16947.48     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128PUHH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     74033 | PA      | $72330.41     | 0.01%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                      | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     57000 | PA      | $41300.32     | 0.00%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBC8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    800000 | PA      | $759006.26    | 0.07%             | 2025-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2014-GC20                                           | CUSIP: 36252WAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $713339.28    | 0.07%             | 2047-04-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78756 | PA      | $78803.14     | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE MAR23                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -261 | NC      | $2471564.88   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132WFNV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10396 | PA      | $9681.37      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: MXN 9.065000 08-MAR-2028                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |  11140000 | OU      | $-8318.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41323 | PA      | $42735.97     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42472 | PA      | $40773.82     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | Equinor ASA                                                                      | CUSIP: 29446MAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    500000 | PA      | $363194.18    | 0.03%             | 2049-11-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2655111 | PA      | $2169697.41   | 0.21%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XCV6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1264451.83   | 0.12%             | 2025-02-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552045 | PA      | $476003.46    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                                                    | Amphenol Corp                                                                    | CUSIP: 032095AK7<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    125000 | PA      | $117499.74    | 0.01%             | 2025-03-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    855000 | PA      | $683085.86    | 0.07%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959447 | PA      | $853330.86    | 0.08%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    955000 | PA      | $1027174.11   | 0.10%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139747 | PA      | $125233.29    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804FZ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1648652.55   | 0.16%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30934 | PA      | $28739.22     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2022-1                                     | CUSIP: 96042WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3970000 | PA      | $3824493.55   | 0.37%             | 2027-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    125000 | PA      | $105295.99    | 0.01%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50954 | PA      | $45576.37     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076AU6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205037.19    | 0.02%             | 2040-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381299 | PA      | $330309.41    | 0.03%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.379500 15-MAR-2028                                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |   5200000 | OU      | $-2005.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3132J4B40<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     50121 | PA      | $48092.00     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                | CUSIP: 3622AADT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76777 | PA      | $70280.75     | 0.01%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31412PKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1315 | PA      | $1289.59      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128P8GW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46238 | PA      | $43446.35     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** Master Investment Portfolio II

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer