# EDGAR Filing Document

**Accession Number:** 0000836906
**File Stem:** 0001752724-23-050256
**Filing Date:** 2023-3
**Character Count:** 461795
**Document Hash:** 5a6d1492c3adc571a0940fcb06f119c3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-050256.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-050256

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD MALVERN FUNDS
- **CENTRAL INDEX KEY:** 0000836906
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05628
- **FILM NUMBER:** 23693833

**BUSINESS ADDRESS:**
- **STREET 1:** P.O. BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** P.O. BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD ASSET ALLOCATION FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Vanguard Institutional Short-Term Bond Fund (Series ID: S000049659)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000157009 | Institutional Plus Shares | VISTX           |

## Nport-Ex

Vanguard<sup>®</sup> Institutional Short-Term Bond Fund

Schedule of Investments (unaudited)

As of December 31, 2022

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's website at www.sec.gov.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **U.S. Government and Agency Obligations (35.0%)** | **U.S. Government and Agency Obligations (35.0%)** | **U.S. Government and Agency Obligations (35.0%)** | **U.S. Government and Agency Obligations (35.0%)** | **U.S. Government and Agency Obligations (35.0%)** | **U.S. Government and Agency Obligations (35.0%)** |
| **U.S. Government Securities (34.4%)** | **U.S. Government Securities (34.4%)** | **U.S. Government Securities (34.4%)** | **U.S. Government Securities (34.4%)** | **U.S. Government Securities (34.4%)** | **U.S. Government Securities (34.4%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 0.125% | 7/31/23 | &nbsp;&nbsp;&nbsp;&nbsp;160900 | &nbsp;&nbsp;&nbsp; 156651 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 0.500% | 11/30/23 | &nbsp;&nbsp;&nbsp;&nbsp;206000 | &nbsp;&nbsp;&nbsp; 198178 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 0.750% | 12/31/23 | &nbsp;&nbsp;&nbsp;&nbsp;127000 | &nbsp;&nbsp;&nbsp; 122099 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 2.500% | 5/31/24 | &nbsp;&nbsp;&nbsp;&nbsp;60660 | &nbsp;&nbsp;&nbsp; 58831 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 3.000% | 7/31/24 | &nbsp;&nbsp;&nbsp;&nbsp;88972 | &nbsp;&nbsp;&nbsp; 86762 |
| <sup>2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 3.250% | 8/31/24 | &nbsp;&nbsp;&nbsp;&nbsp;334000 | &nbsp;&nbsp;&nbsp; 327111 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 4.250% | 9/30/24 | &nbsp;&nbsp;&nbsp;&nbsp;169400 | &nbsp;&nbsp;&nbsp; 168527 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 4.375% | 10/31/24 | &nbsp;&nbsp;&nbsp;&nbsp;310000 | &nbsp;&nbsp;&nbsp; 309080 |
| <sup>3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 4.250% | 12/31/24 | &nbsp;&nbsp;&nbsp;&nbsp;340000 | &nbsp;&nbsp;&nbsp; 338831 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 1.500% | 2/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5600 | &nbsp;&nbsp;&nbsp; 5269 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 1.750% | 3/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;300000 | &nbsp;&nbsp;&nbsp; 283359 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 2.625% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;431025 | &nbsp;&nbsp;&nbsp; 414659 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 0.250% | 5/31/25 | &nbsp;&nbsp;&nbsp;&nbsp;300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;272156 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 3.000% | 7/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40432 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 3.125% | 8/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;116100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112708 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 4.250% | 10/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59354 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 3.875% | 11/30/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24824 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 4.125% | 11/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4080 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 4.375% | 2/15/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5240 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | 4.500% | 5/15/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8711 |
|  |  |  |  |  | &nbsp;&nbsp;**2996862** |
| **Nonconventional Mortgage-Backed Securities (0.6%)** | **Nonconventional Mortgage-Backed Securities (0.6%)** | **Nonconventional Mortgage-Backed Securities (0.6%)** | **Nonconventional Mortgage-Backed Securities (0.6%)** | **Nonconventional Mortgage-Backed Securities (0.6%)** |  |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Fannie Mae REMICS | 3.000% | 9/25/50–12/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5441 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac REMICS | 2.000% | 12/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;232 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac REMICS | 3.000% | 7/25/51–10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4224 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | 1.500% | 5/20/51–12/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1339 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | 2.000% | 11/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1287 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | 2.500% | 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3090 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | 3.000% | 11/20/50–12/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32161 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | 3.500% | 11/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;594 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**48368** |
| **Total U.S. Government and Agency Obligations (Cost $3,098,575)** | **Total U.S. Government and Agency Obligations (Cost $3,098,575)** | **Total U.S. Government and Agency Obligations (Cost $3,098,575)** | **Total U.S. Government and Agency Obligations (Cost $3,098,575)** | **Total U.S. Government and Agency Obligations (Cost $3,098,575)** | **3045230** |
| **Asset-Backed/Commercial Mortgage-Backed Securities (33.3%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (33.3%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (33.3%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (33.3%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (33.3%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (33.3%)** |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ally Auto Receivables Trust Series 2019-3 | 1.930% | 5/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;446 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ally Auto Receivables Trust Series 2022-1 | 3.310% | 11/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11746 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ally Auto Receivables Trust Series 2022-1 | 3.450% | 6/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5699 |

---

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ally Auto Receivables Trust Series 2022-3 | 5.070% | 4/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;13780 | &nbsp;&nbsp;&nbsp; 13828 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ally Auto Receivables Trust Series 2022-3 | 5.070% | 6/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4130 | &nbsp;&nbsp;&nbsp; 4159 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;American Express Credit Account Master Trust Series 2022-2 | 3.390% | 5/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;35880 | &nbsp;&nbsp;&nbsp; 34830 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;American Express Credit Account Master Trust Series 2022-3 | 3.750% | 8/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;83250 | &nbsp;&nbsp;&nbsp; 81304 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;American Express Credit Account Master Trust Series 2022-4 | 4.950% | 10/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;19700 | &nbsp;&nbsp;&nbsp; 19837 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;AmeriCredit Automobile Receivables Trust Series 2020-2 | 0.660% | 12/18/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;821 | &nbsp;&nbsp;&nbsp; 818 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;AmeriCredit Automobile Receivables Trust Series 2021-1 | 0.370% | 8/18/25 | &nbsp;&nbsp;&nbsp;&nbsp;12468 | &nbsp;&nbsp;&nbsp; 12196 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;AmeriCredit Automobile Receivables Trust Series 2021-3 | 0.760% | 8/18/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8010 | &nbsp;&nbsp;&nbsp; 7619 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;AmeriCredit Automobile Receivables Trust Series 2022-1 | 2.450% | 11/18/26 | &nbsp;&nbsp;&nbsp;&nbsp;29820 | &nbsp;&nbsp;&nbsp; 28673 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;ARI Fleet Lease Trust Series 2022-A | 3.120% | 1/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7510 | &nbsp;&nbsp;&nbsp; 7376 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;ARI Fleet Lease Trust Series 2022-A | 3.430% | 1/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4150 | &nbsp;&nbsp;&nbsp; 3967 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Aventura Mall Trust Series 2018-AVM | 4.112% | 7/5/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;240 | &nbsp;&nbsp;&nbsp; 214 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Avis Budget Rental Car Funding AESOP LLC Series 2019-2A | 3.350% | 9/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;12150 | &nbsp;&nbsp;&nbsp; 11731 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BA Credit Card Trust Series 2021-A1 | 0.440% | 9/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8540 | &nbsp;&nbsp;&nbsp; 8035 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BA Credit Card Trust Series 2022-A1 | 3.530% | 11/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17627 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BA Credit Card Trust Series 2022-A2 | 5.000% | 4/17/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16902 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2017-BNK6 | 3.254% | 7/15/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;406 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2017-BNK6 | 3.518% | 7/15/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2017-BNK6 | 3.741% | 7/15/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2017-BNK7 | 3.435% | 9/15/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;258 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2017-BNK8 | 3.488% | 11/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1031 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2017-BNK9 | 3.538% | 11/15/54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4438 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2018-BNK10 | 3.641% | 2/15/61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;362 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2018-BNK12 | 4.255% | 5/15/61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;238 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2018-BNK14 | 4.185% | 9/15/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;429 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2018-BNK14 | 4.231% | 9/15/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;237 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2019-BNK17 | 3.623% | 4/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2019-BNK17 | 3.714% | 4/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;529 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2019-BNK19 | 3.183% | 8/15/61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;414 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2019-BNK20 | 3.011% | 9/15/62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BANK Series 2020-BNK30 | 1.673% | 12/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;587 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Merrill Lynch Commercial Mortgage Trust Series 2017-BNK3 | 3.574% | 2/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BBCMS Mortgage Trust Series 2022-C16 | 4.021% | 6/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;863 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;834 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Benchmark Mortgage Trust Series 2018-B1 | 3.666% | 1/15/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;495 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Benchmark Mortgage Trust Series 2018-B1 | 3.878% | 1/15/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Benchmark Mortgage Trust Series 2018-B2 | 3.882% | 2/15/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;546 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Benchmark Mortgage Trust Series 2018-B8 | 3.963% | 1/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;374 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Benchmark Mortgage Trust Series 2019-B10 | 3.615% | 3/15/62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;182 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Benchmark Mortgage Trust Series 2020-B19 | 1.745% | 9/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;846 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Benchmark Mortgage Trust Series 2020-B21 | 1.798% | 12/17/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;507 |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BMW Vehicle Owner Trust Series 2020-A | 0.620% | 4/26/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4550 | &nbsp;&nbsp;&nbsp; 4332 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BMW Vehicle Owner Trust Series 2022-A | 3.440% | 12/26/28 | &nbsp;&nbsp;&nbsp;&nbsp;14200 | &nbsp;&nbsp;&nbsp; 13612 |
| <sup>4,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800% | 5.499% | 2/25/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249 | &nbsp;&nbsp;&nbsp; 249 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BX Trust Series 2019-OC11 | 3.202% | 12/9/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;760 | &nbsp;&nbsp;&nbsp; 635 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Canadian Pacer Auto Receivables Trust Series 2019-1A | 2.960% | 6/19/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1197 | &nbsp;&nbsp;&nbsp; 1193 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Canadian Pacer Auto Receivables Trust Series 2020-1A | 1.830% | 7/19/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2327 | &nbsp;&nbsp;&nbsp; 2306 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Canadian Pacer Auto Receivables Trust Series 2020-1A | 1.890% | 3/19/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2150 | &nbsp;&nbsp;&nbsp; 2088 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Canadian Pacer Auto Receivables Trust Series 2021-1A | 0.500% | 10/20/25 | &nbsp;&nbsp;&nbsp;&nbsp;10290 | &nbsp;&nbsp;&nbsp; 9915 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Multi-Asset Execution Trust Series 2019-A3 | 2.060% | 8/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;37820 | &nbsp;&nbsp;&nbsp; 34497 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Multi-Asset Execution Trust Series 2021-A3 | 1.040% | 11/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;28550 | &nbsp;&nbsp;&nbsp; 26657 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Multi-Asset Execution Trust Series 2022-A1 | 2.800% | 3/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;28420 | &nbsp;&nbsp;&nbsp; 27254 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Multi-Asset Execution Trust Series 2022-A2 | 3.490% | 5/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;56140 | &nbsp;&nbsp;&nbsp; 54599 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Multi-Asset Execution Trust Series 2022-A3 | 4.950% | 10/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;21780 | &nbsp;&nbsp;&nbsp; 21923 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Prime Auto Receivables Trust Series 2019-1 | 2.560% | 10/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3499 | &nbsp;&nbsp;&nbsp; 3496 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Prime Auto Receivables Trust Series 2021-1 | 0.770% | 9/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Prime Auto Receivables Trust Series 2021-1 | 1.040% | 4/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6978 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Prime Auto Receivables Trust Series 2022-2 | 3.660% | 5/17/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15299 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Capital One Prime Auto Receivables Trust Series 2022-2 | 3.690% | 12/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13709 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CARDS II Trust Series 2021-1A | 0.602% | 4/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36734 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2019-3 | 2.300% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5299 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2019-4 | 2.130% | 7/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3733 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2020-3 | 0.770% | 3/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4644 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2021-2 | 0.520% | 2/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17263 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2021-2 | 0.810% | 12/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6552 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2021-4 | 0.560% | 9/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13544 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2022-1 | 1.470% | 12/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22471 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2022-1 | 1.700% | 8/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16872 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2022-2 | 3.490% | 2/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11145 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CarMax Auto Owner Trust Series 2022-2 | 3.620% | 9/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10965 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust Series 2020-P1 | 0.610% | 10/8/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4497 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust Series 2021-P3 | 0.700% | 11/10/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10845 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust Series 2021-P3 | 1.030% | 6/10/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5590 | &nbsp;&nbsp;&nbsp; 4856 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Carvana Auto Receivables Trust Series 2022-P1 | 3.350% | 2/10/27 | &nbsp;&nbsp;&nbsp;&nbsp;15500 | &nbsp;&nbsp;&nbsp; 14890 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CD Mortgage Trust Series 2016-CD1 | 2.724% | 8/10/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;540 | &nbsp;&nbsp;&nbsp; 490 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CD Mortgage Trust Series 2016-CD1 | 2.926% | 8/10/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4800 | &nbsp;&nbsp;&nbsp; 4248 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CD Mortgage Trust Series 2017-CD5 | 3.684% | 8/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4708 | &nbsp;&nbsp;&nbsp; 4210 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CD Mortgage Trust Series 2017-CD6 | 3.456% | 11/13/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1130 | &nbsp;&nbsp;&nbsp; 1032 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CD Mortgage Trust Series 2017-CD6 | 3.709% | 11/13/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;650 | &nbsp;&nbsp;&nbsp; 580 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CD Mortgage Trust Series 2018-CD7 | 4.013% | 8/15/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp; 748 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CD Mortgage Trust Series 2018-CD7 | 4.279% | 8/15/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp; 848 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CFCRE Commercial Mortgage Trust Series 2016-C4 | 3.283% | 5/10/58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;472 | &nbsp;&nbsp;&nbsp; 437 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Chesapeake Funding II LLC Series 2019-2A | 1.950% | 9/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;478 | &nbsp;&nbsp;&nbsp; 478 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Chesapeake Funding II LLC Series 2020-1A | 0.870% | 8/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6494 | &nbsp;&nbsp;&nbsp; 6434 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2014-GC21 | 3.855% | 5/10/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1054 | &nbsp;&nbsp;&nbsp; 1025 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2014-GC23 | 3.863% | 7/10/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;255 | &nbsp;&nbsp;&nbsp; 243 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2014-GC25 | 3.635% | 10/10/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2165 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2015-GC31 | 3.762% | 6/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;808 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2015-GC35 | 3.549% | 11/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4565 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2016-GC36 | 3.349% | 2/10/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;537 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2017-C4 | 3.471% | 10/12/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;475 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.203% | 9/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;727 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2017-P8 | 3.789% | 9/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Commercial Mortgage Trust Series 2018-C5 | 4.228% | 6/10/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;218 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CNH Equipment Trust Series 2020-A | 1.510% | 4/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2205 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CNH Equipment Trust Series 2022-A | 2.940% | 7/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10492 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CNH Equipment Trust Series 2022-A | 3.030% | 3/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8769 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CNH Equipment Trust Series 2022-B | 3.890% | 8/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10154 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CNH Equipment Trust Series 2022-B | 3.910% | 3/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5227 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust Series 2013-CR9 | 4.266% | 7/10/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;583 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust Series 2013-CR9 | 4.289% | 7/10/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3126 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust Series 2013-CR13 | 4.194% | 11/10/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;826 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust Series 2014-CR14 | 3.955% | 2/10/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust Series 2014-CR17 | 3.977% | 5/10/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;487 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust Series 2014-CR17 | 4.174% | 5/10/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;337 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;COMM Mortgage Trust Series 2015-CR27 | 3.612% | 10/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;906 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CSAIL Commercial Mortgage Trust Series 2015-C3 | 3.447% | 8/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1194 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CSAIL Commercial Mortgage Trust Series 2015-C4 | 3.808% | 11/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1427 |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CSAIL Commercial Mortgage Trust Series 2016-C7 | 3.502% | 11/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp; 834 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CSAIL Commercial Mortgage Trust Series 2017-C8 | 3.392% | 6/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1240 | &nbsp;&nbsp;&nbsp; 1131 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;DBJPM Mortgage Trust Series 2016-C3 | 2.632% | 8/10/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp; 816 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;DBJPM Mortgage Trust Series 2017-C6 | 3.328% | 6/10/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;740 | &nbsp;&nbsp;&nbsp; 677 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Dell Equipment Finance Trust Series 2020-2 | 0.570% | 10/23/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8412 | &nbsp;&nbsp;&nbsp; 8332 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Discover Card Execution Note Trust Series 2021-A2 | 1.030% | 9/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6730 | &nbsp;&nbsp;&nbsp; 5868 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Discover Card Execution Note Trust Series 2022-A2 | 3.320% | 5/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;52450 | &nbsp;&nbsp;&nbsp; 50586 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Discover Card Execution Note Trust Series 2022-A3 | 3.560% | 7/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;80810 | &nbsp;&nbsp;&nbsp; 78323 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Discover Card Execution Note Trust Series 2022-A4 | 5.030% | 10/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;18620 | &nbsp;&nbsp;&nbsp; 18799 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;DLLAA LLC Series 2021-1A | 0.670% | 4/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;22900 | &nbsp;&nbsp;&nbsp; 21695 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;DLLAD LLC Series 2021-1A | 0.640% | 9/21/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7550 | &nbsp;&nbsp;&nbsp; 7035 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;DLLMT LLC Series 2021-1A | 1.000% | 7/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7330 | &nbsp;&nbsp;&nbsp; 6985 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;DLLMT LLC Series 2021-1A | 1.240% | 6/20/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4890 | &nbsp;&nbsp;&nbsp; 4500 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;DLLST LLC Series 2022-1A | 3.690% | 9/20/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3060 | &nbsp;&nbsp;&nbsp; 2932 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Edsouth Indenture No. 9 LLC Series 2015-1, 1M USD LIBOR + 0.800% | 5.189% | 10/25/56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;277 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Enterprise Fleet Financing LLC Series 2019-3 | 2.060% | 5/20/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Enterprise Fleet Financing LLC Series 2020-2 | 0.610% | 7/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6935 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Enterprise Fleet Financing LLC Series 2021-2 | 0.480% | 5/20/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7734 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7403 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Enterprise Fleet Financing LLC Series 2021-3 | 0.770% | 8/20/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7738 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Enterprise Fleet Financing LLC Series 2022-1 | 3.030% | 1/20/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14439 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Evergreen Credit Card Trust Series 2021-1 | 0.900% | 10/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13376 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;FHLMC Multifamily Structured Pass-Through Certificates Series K041 | 3.171% | 10/25/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33033 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;FHLMC Multifamily Structured Pass-Through Certificates Series K044 | 2.811% | 1/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18730 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;FHLMC Multifamily Structured Pass-Through Certificates Series K045 | 3.023% | 1/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14958 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;FHLMC Multifamily Structured Pass-Through Certificates Series K046 | 3.205% | 3/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21273 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Lease Trust Series 2022-A | 3.370% | 7/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9056 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2019-A | 2.850% | 8/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7822 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2020-1 | 2.040% | 8/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6936 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2020-A | 1.350% | 7/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2570 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2020-C | 0.510% | 8/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17085 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2022-1 | 3.880% | 11/15/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16703 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2022-A | 1.290% | 6/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14803 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2022-A | 1.560% | 5/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;18150 | &nbsp;&nbsp;&nbsp; 16449 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2022-B | 3.740% | 9/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;22300 | &nbsp;&nbsp;&nbsp; 21720 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2022-B | 3.930% | 8/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8900 | &nbsp;&nbsp;&nbsp; 8572 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Auto Owner Trust Series 2022-D | 5.300% | 3/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8570 | &nbsp;&nbsp;&nbsp; 8647 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Floorplan Master Owner Trust A Series 2018-4 | 4.060% | 11/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4950 | &nbsp;&nbsp;&nbsp; 4640 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Floorplan Master Owner Trust A Series 2020-1 | 0.700% | 9/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;16380 | &nbsp;&nbsp;&nbsp; 15851 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ford Credit Floorplan Master Owner Trust A Series 2020-2 | 1.060% | 9/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;22350 | &nbsp;&nbsp;&nbsp; 20122 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Automobile Leasing Trust Series 2020-3 | 0.510% | 10/21/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2451 | &nbsp;&nbsp;&nbsp; 2444 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Automobile Leasing Trust Series 2021-2 | 0.410% | 5/20/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5110 | &nbsp;&nbsp;&nbsp; 4921 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Automobile Leasing Trust Series 2022-2 | 3.540% | 5/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;13420 | &nbsp;&nbsp;&nbsp; 13015 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2019-2 | 2.710% | 8/16/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3598 | &nbsp;&nbsp;&nbsp; 3591 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2019-4 | 1.760% | 1/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3810 | &nbsp;&nbsp;&nbsp; 3761 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2020-3 | 0.580% | 1/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;13500 | &nbsp;&nbsp;&nbsp; 12766 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2021-1 | 0.540% | 5/17/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7910 | &nbsp;&nbsp;&nbsp; 7301 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2021-2 | 0.820% | 10/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8019 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2021-3 | 0.730% | 8/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8318 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2021-4 | 0.680% | 9/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13295 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2021-4 | 0.990% | 10/18/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6370 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2022-1 | 1.510% | 4/17/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11811 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2022-2 | 3.100% | 2/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14362 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2022-2 | 3.250% | 4/17/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13264 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GM Financial Consumer Automobile Receivables Trust Series 2022-4 | 4.880% | 8/16/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24711 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GMF Floorplan Owner Revolving Trust Series 2019-2 | 2.900% | 4/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8124 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GMF Floorplan Owner Revolving Trust Series 2020-1 | 0.680% | 8/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9265 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GMF Floorplan Owner Revolving Trust Series 2020-2 | 0.690% | 10/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9408 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Golden Credit Card Trust Series 2021-1A | 1.140% | 8/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11298 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GreatAmerica Leasing Receivables Funding LLC Series 2020-1 | 1.760% | 8/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3129 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Corp. II Series 2018-GS10 | 4.155% | 7/10/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;234 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2013-GC12 | 3.135% | 6/10/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1165 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2014-GC24 | 3.931% | 9/10/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2014-GC24 | 4.162% | 9/10/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp; 57 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2015-GC30 | 3.382% | 5/10/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp; 5 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2015-GC34 | 3.244% | 10/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3882 | &nbsp;&nbsp;&nbsp; 3683 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2015-GC34 | 3.506% | 10/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770 | &nbsp;&nbsp;&nbsp; 725 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2015-GS1 | 3.470% | 11/10/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4800 | &nbsp;&nbsp;&nbsp; 4501 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2016-GS3 | 2.850% | 10/10/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp; 527 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2019-GC40 | 3.160% | 7/10/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | &nbsp;&nbsp;&nbsp; 123 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2019-GC42 | 3.001% | 9/1/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp; 427 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;GS Mortgage Securities Trust Series 2020-GSA2 | 2.012% | 12/12/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1360 | &nbsp;&nbsp;&nbsp; 1056 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harley-Davidson Motorcycle Trust Series 2019-A | 2.390% | 11/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1786 | &nbsp;&nbsp;&nbsp; 1785 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harley-Davidson Motorcycle Trust Series 2020-A | 1.870% | 10/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;856 | &nbsp;&nbsp;&nbsp; 854 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harley-Davidson Motorcycle Trust Series 2020-A | 1.930% | 4/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3640 | &nbsp;&nbsp;&nbsp; 3587 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harley-Davidson Motorcycle Trust Series 2021-A | 0.370% | 4/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6987 | &nbsp;&nbsp;&nbsp; 6829 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harley-Davidson Motorcycle Trust Series 2021-B | 0.560% | 11/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;15461 | &nbsp;&nbsp;&nbsp; 14917 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harley-Davidson Motorcycle Trust Series 2022-A | 3.060% | 2/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15427 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harley-Davidson Motorcycle Trust Series 2022-A | 3.260% | 1/15/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10576 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hertz Vehicle Financing III LLC Series 2022-1A | 1.990% | 6/25/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11360 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hertz Vehicle Financing III LLC Series 2022-3A | 3.370% | 3/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16367 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust Series 2020-2 | 1.090% | 10/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4812 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust Series 2020-3 | 0.460% | 4/19/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8568 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust Series 2021-2 | 0.550% | 8/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9492 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust Series 2021-3 | 0.600% | 12/20/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1728 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust Series 2021-4 | 0.880% | 1/21/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9614 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust Series 2021-4 | 1.140% | 6/21/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4964 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust Series 2022-2 | 3.730% | 7/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14149 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Honda Auto Receivables Owner Trust Series 2022-2 | 3.760% | 12/18/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5873 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;HPEFS Equipment Trust Series 2022-2A | 3.760% | 9/20/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9306 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hudson Yards Mortgage Trust Series 2019-30HY | 3.228% | 7/10/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;816 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Lease Securitization Trust Series 2020-B | 0.580% | 6/17/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4218 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Lease Securitization Trust Series 2021-A | 0.420% | 12/16/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4654 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Lease Securitization Trust Series 2021-B | 0.330% | 6/17/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5470 | &nbsp;&nbsp;&nbsp; 5387 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Lease Securitization Trust Series 2022-A | 1.320% | 12/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;20330 | &nbsp;&nbsp;&nbsp; 19381 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Lease Securitization Trust Series 2022-B | 3.500% | 4/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;13220 | &nbsp;&nbsp;&nbsp; 12793 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2019-A | 2.710% | 5/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;342 | &nbsp;&nbsp;&nbsp; 341 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2019-B | 2.000% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9248 | &nbsp;&nbsp;&nbsp; 9154 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2020-A | 1.720% | 6/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;10777 | &nbsp;&nbsp;&nbsp; 10358 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2020-B | 0.620% | 12/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8430 | &nbsp;&nbsp;&nbsp; 8074 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2021-A | 0.620% | 5/17/27 | &nbsp;&nbsp;&nbsp;&nbsp;17030 | &nbsp;&nbsp;&nbsp; 15627 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2021-B | 0.600% | 2/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;11800 | &nbsp;&nbsp;&nbsp; 10698 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2021-C | 0.740% | 5/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5140 | &nbsp;&nbsp;&nbsp; 4844 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2021-C | 1.030% | 12/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1790 | &nbsp;&nbsp;&nbsp; 1619 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Hyundai Auto Receivables Trust Series 2022-A | 2.350% | 4/17/28 | &nbsp;&nbsp;&nbsp;&nbsp;14750 | &nbsp;&nbsp;&nbsp; 13690 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;John Deere Owner Trust Series 2020-B | 0.510% | 11/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5805 | &nbsp;&nbsp;&nbsp; 5715 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;John Deere Owner Trust Series 2020-B | 0.720% | 6/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4020 | &nbsp;&nbsp;&nbsp; 3822 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;John Deere Owner Trust Series 2022-A | 2.490% | 1/16/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24805 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C13 | 3.994% | 1/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;466 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;463 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16 | 3.881% | 12/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 | 2.960% | 4/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;634 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP3 | 2.870% | 8/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;820 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 3.664% | 7/15/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2027 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2013-C12 | 4.052% | 7/15/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1816 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2013-C17 | 4.199% | 1/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2900 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.079% | 2/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1134 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2014-C18 | 4.439% | 2/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;679 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2014-C21 | 3.493% | 8/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2014-C24 | 3.639% | 11/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;481 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2014-C26 | 3.494% | 1/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1584 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2015-C31 | 3.801% | 8/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;799 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;762 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2015-C32 | 3.329% | 11/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4628 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMBB Commercial Mortgage Securities Trust Series 2015-C32 | 3.598% | 11/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;566 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMDB Commercial Mortgage Securities Trust Series 2016-C4 | 3.141% | 12/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80 | &nbsp;&nbsp;&nbsp; 73 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMDB Commercial Mortgage Securities Trust Series 2017-C7 | 3.713% | 10/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;710 | &nbsp;&nbsp;&nbsp; 634 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMDB Commercial Mortgage Securities Trust Series 2018-C8 | 4.211% | 6/15/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230 | &nbsp;&nbsp;&nbsp; 216 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Kubota Credit Owner Trust Series 2020-1A | 1.960% | 3/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2243 | &nbsp;&nbsp;&nbsp; 2229 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Kubota Credit Owner Trust Series 2020-2A | 0.590% | 10/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;11088 | &nbsp;&nbsp;&nbsp; 10847 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Kubota Credit Owner Trust Series 2020-2A | 0.730% | 6/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4950 | &nbsp;&nbsp;&nbsp; 4679 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Kubota Credit Owner Trust Series 2022-1A | 2.670% | 10/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;18060 | &nbsp;&nbsp;&nbsp; 17116 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Kubota Credit Owner Trust Series 2022-1A | 2.780% | 2/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;10320 | &nbsp;&nbsp;&nbsp; 9626 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Master Credit Card Trust Series 2021-1A | 0.530% | 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;36840 | &nbsp;&nbsp;&nbsp; 34603 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Master Credit Card Trust II Series 2020-1A | 1.990% | 9/21/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5680 | &nbsp;&nbsp;&nbsp; 5646 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Master Credit Card Trust II Series 2022-1A | 1.660% | 7/21/26 | &nbsp;&nbsp;&nbsp;&nbsp;15820 | &nbsp;&nbsp;&nbsp; 14787 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Mercedes-Benz Auto Lease Trust Series 2020-B | 0.500% | 6/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4680 | &nbsp;&nbsp;&nbsp; 4641 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Mercedes-Benz Auto Receivables Trust Series 2021-1 | 0.460% | 6/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1720 | &nbsp;&nbsp;&nbsp; 1634 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Mercedes-Benz Auto Receivables Trust Series 2022-1 | 5.250% | 2/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;26130 | &nbsp;&nbsp;&nbsp; 26029 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;MMAF Equipment Finance LLC Series 2017-AA | 2.680% | 7/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;914 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;MMAF Equipment Finance LLC Series 2018-A | 3.390% | 1/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2467 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;MMAF Equipment Finance LLC Series 2018-A | 3.610% | 3/10/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3440 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;MMAF Equipment Finance LLC Series 2019-A | 3.080% | 11/12/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4142 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;MMAF Equipment Finance LLC Series 2020-A | 0.740% | 4/9/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2168 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;MMAF Equipment Finance LLC Series 2020-A | 0.970% | 4/9/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18982 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;MMAF Equipment Finance LLC Series 2020-BA | 0.850% | 4/14/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7559 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C13 | 4.039% | 11/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14 | 4.384% | 2/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;243 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 3.773% | 4/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;448 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C15 | 4.051% | 4/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1044 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16 | 4.094% | 6/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;447 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20 | 3.249% | 2/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1607 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23 | 3.719% | 7/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1374 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24 | 3.479% | 5/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3891 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 | 3.635% | 10/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C27 | 3.473% | 12/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4609 | &nbsp;&nbsp;&nbsp; 4428 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 | 3.325% | 5/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp; 836 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.459% | 12/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285 | &nbsp;&nbsp;&nbsp; 266 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32 | 3.720% | 12/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp; 556 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank of America Merrill Lynch Trust Series 2017-C34 | 3.536% | 11/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;460 | &nbsp;&nbsp;&nbsp; 424 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Series 2017-HR2 | 3.509% | 12/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;179 | &nbsp;&nbsp;&nbsp; 171 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Trust Series 2015-MS1 | 3.510% | 5/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4452 | &nbsp;&nbsp;&nbsp; 4269 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Trust Series 2015-UBS8 | 3.809% | 12/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp; 1880 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Trust Series 2016-BNK2 | 2.791% | 11/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1040 | &nbsp;&nbsp;&nbsp; 952 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Trust Series 2016-BNK2 | 3.049% | 11/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp; 137 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Trust Series 2016-UB11 | 2.782% | 8/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp; 542 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital I Trust Series 2016-UBS9 | 3.594% | 3/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp; 847 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Navient Student Loan Trust Series 2016-6A, 1M USD LIBOR + 0.750% | 5.139% | 3/25/66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1939 | &nbsp;&nbsp;&nbsp; 1939 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Nissan Auto Lease Trust Series 2020-B | 0.490% | 1/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5800 | &nbsp;&nbsp;&nbsp; 5777 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Nissan Auto Receivables Owner Trust Series 2019-B | 2.540% | 12/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1025 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Nissan Auto Receivables Owner Trust Series 2020-A | 1.700% | 5/17/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7447 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Nissan Auto Receivables Owner Trust Series 2020-B | 0.710% | 2/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4849 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Pepper Residential Securities Trust Series 21A, 1M USD LIBOR + 0.880% | 5.206% | 1/16/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Pepper Residential Securities Trust No. 22 Series 22A, 1M USD LIBOR + 1.000% | 5.353% | 6/20/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;813 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Pepper Residential Securities Trust No. 23 Series 23A, 1M USD LIBOR + 0.950% | 5.289% | 8/18/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;463 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;PHEAA Student Loan Trust Series 2016-2A, 1M USD LIBOR + 0.950% | 5.339% | 11/25/65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4092 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3942 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Progress Residential Trust Series 2022-SFR3 | 3.200% | 4/17/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3656 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Progress Residential Trust Series 2022-SFR5 | 4.451% | 6/17/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3720 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;RESIMAC Bastille Trust Series 2018-1NCA, 1M USD LIBOR + 0.850% | 5.022% | 12/5/59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;131 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;RESIMAC MBS Trust Series 2018-2A, 1M USD LIBOR + 0.850% | 5.124% | 4/10/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;362 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;RESIMAC Premier Series 2020-1A | 1.274% | 2/7/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1527 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Drive Auto Receivables Trust Series 2022-2 | 2.980% | 10/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16899 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Drive Auto Receivables Trust Series 2022-3 | 3.400% | 12/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8903 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Drive Auto Receivables Trust Series 2022-5 | 4.110% | 8/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26212 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Drive Auto Receivables Trust Series 2022-6 | 4.490% | 11/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19260 |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Retail Auto Lease Trust Series 2020-B | 0.650% | 12/20/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7950 | &nbsp;&nbsp;&nbsp; 7668 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Retail Auto Lease Trust Series 2021-B | 0.510% | 8/20/24 | &nbsp;&nbsp;&nbsp;&nbsp;14540 | &nbsp;&nbsp;&nbsp; 14069 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Retail Auto Lease Trust Series 2021-B | 0.540% | 6/20/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7460 | &nbsp;&nbsp;&nbsp; 7052 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Retail Auto Lease Trust Series 2021-C | 0.590% | 3/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5340 | &nbsp;&nbsp;&nbsp; 5045 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Retail Auto Lease Trust Series 2022-B | 3.280% | 11/20/25 | &nbsp;&nbsp;&nbsp;&nbsp;27920 | &nbsp;&nbsp;&nbsp; 27130 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Santander Retail Auto Lease Trust Series 2022-B | 3.330% | 10/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;14630 | &nbsp;&nbsp;&nbsp; 14037 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SMB Private Education Loan Trust Series 2016-A | 2.700% | 5/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112 | &nbsp;&nbsp;&nbsp; 108 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SMB Private Education Loan Trust Series 2017-B | 2.820% | 10/15/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;298 | &nbsp;&nbsp;&nbsp; 284 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SMB Private Education Loan Trust Series 2018-B | 3.600% | 1/15/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;642 | &nbsp;&nbsp;&nbsp; 617 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SMB Private Education Loan Trust Series 2018-C | 3.630% | 11/15/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp; 1169 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC Series 2017-A | 2.400% | 3/26/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125 | &nbsp;&nbsp;&nbsp; 124 |
| <sup>4,6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC Series 2017-A, 1M USD LIBOR + 0.700% | 5.089% | 3/26/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;148 | &nbsp;&nbsp;&nbsp; 148 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC Series 2017-B | 2.740% | 5/25/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 | &nbsp;&nbsp;&nbsp; 49 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC Series 2017-D | 2.650% | 9/25/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107 | &nbsp;&nbsp;&nbsp; 102 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC Series 2017-E | 2.720% | 11/26/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SoFi Professional Loan Program LLC Series 2017-F | 2.840% | 1/25/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Synchrony Card Funding LLC Series 2022-A1 | 3.370% | 4/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37051 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Synchrony Card Funding LLC Series 2022-A2 | 3.860% | 7/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27787 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Tesla Auto Lease Trust Series 2020-A | 0.680% | 12/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;356 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;355 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Tesla Auto Lease Trust Series 2020-A | 0.780% | 12/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1227 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Tesla Auto Lease Trust Series 2021-B | 0.600% | 9/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8446 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Tesla Auto Lease Trust Series 2021-B | 0.630% | 9/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4330 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;T-Mobile US Trust Series 2022-1A | 4.910% | 5/22/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23194 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Loan Extended Note Trust Series 2019-1A | 2.560% | 11/25/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;868 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Loan Extended Note Trust Series 2020-1A | 1.350% | 5/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12235 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Loan Extended Note Trust Series 2021-1A | 1.070% | 2/27/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28415 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Loan Extended Note Trust Series 2022-1A | 3.820% | 4/25/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24138 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2019-A | 3.000% | 5/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2191 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2020-A | 1.680% | 5/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8071 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2020-B | 1.660% | 9/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5043 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2020-C | 0.570% | 10/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7360 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2021-C | 0.430% | 1/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18607 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2021-C | 0.720% | 1/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;15170 | &nbsp;&nbsp;&nbsp; 13668 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2021-D | 1.020% | 3/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6900 | &nbsp;&nbsp;&nbsp; 6200 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2022-A | 1.540% | 5/17/27 | &nbsp;&nbsp;&nbsp;&nbsp;14960 | &nbsp;&nbsp;&nbsp; 13685 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2022-B | 2.930% | 9/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;27030 | &nbsp;&nbsp;&nbsp; 26150 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2022-B | 3.110% | 8/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;12010 | &nbsp;&nbsp;&nbsp; 11355 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2022-C | 3.760% | 4/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;20290 | &nbsp;&nbsp;&nbsp; 19709 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2022-C | 3.770% | 2/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;10960 | &nbsp;&nbsp;&nbsp; 10600 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Auto Receivables Owner Trust Series 2022-D | 5.430% | 4/17/28 | &nbsp;&nbsp;&nbsp;&nbsp;13400 | &nbsp;&nbsp;&nbsp; 13613 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Trafigura Securitisation Finance plc Series 2021-1A | 1.080% | 1/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;15430 | &nbsp;&nbsp;&nbsp; 14103 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UBS Commercial Mortgage Trust Series 2017-C7 | 3.418% | 12/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4457 | &nbsp;&nbsp;&nbsp; 4092 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UBS Commercial Mortgage Trust Series 2017-C7 | 3.679% | 12/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1495 | &nbsp;&nbsp;&nbsp; 1378 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UBS Commercial Mortgage Trust Series 2019-C16 | 3.460% | 4/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214 | &nbsp;&nbsp;&nbsp; 198 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UBS-BAMLL Trust Series 2012-WRM | 3.663% | 6/10/30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75 | &nbsp;&nbsp;&nbsp; 70 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UBS-Barclays Commercial Mortgage Trust Series 2013-C6 | 3.469% | 4/10/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp; 59 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Verizon Master Trust Series 2021-1 | 0.500% | 5/20/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37788 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Verizon Master Trust Series 2021-2 | 0.990% | 4/20/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10472 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Verizon Master Trust Series 2022-2 | 1.530% | 7/20/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26576 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Verizon Master Trust Series 2022-6 | 3.670% | 1/22/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15653 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Verizon Master Trust Series 2022-7 | 5.230% | 11/22/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17779 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Volkswagen Auto Loan Enhanced Trust Series 2020-1 | 1.260% | 8/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3869 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Volkswagen Auto Loan Enhanced Trust Series 2021-1 | 1.020% | 6/22/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13486 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Volkswagen Auto Loan Enhanced Trust Series 2021-1 | 1.260% | 10/20/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8392 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Volvo Financial Equipment LLC Series 2020-1A | 0.510% | 10/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11218 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Volvo Financial Equipment LLC Series 2020-1A | 0.600% | 3/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3766 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2013-LC12 | 4.296% | 7/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;345 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2015-C29 | 3.637% | 6/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1188 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2015-C30 | 3.664% | 9/15/58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;665 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 | 2.652% | 8/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;253 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2016-C32 | 3.560% | 1/15/59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;844 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2016-C37 | 3.525% | 12/15/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;243 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2017-C38 | 3.453% | 7/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;479 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2017-C39 | 3.157% | 9/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;173 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2017-C40 | 3.317% | 10/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;547 |

---

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2017-C40 | 3.581% | 10/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1160 | &nbsp;&nbsp;&nbsp; 1073 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2017-C41 | 3.472% | 11/15/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1430 | &nbsp;&nbsp;&nbsp; 1315 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2017-RC1 | 3.631% | 1/15/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;246 | &nbsp;&nbsp;&nbsp; 229 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2018-C44 | 4.212% | 5/15/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;530 | &nbsp;&nbsp;&nbsp; 502 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2018-C46 | 4.152% | 8/15/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;235 | &nbsp;&nbsp;&nbsp; 221 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2018-C48 | 4.245% | 1/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp; 270 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2019-C49 | 3.933% | 3/15/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230 | &nbsp;&nbsp;&nbsp; 219 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo Commercial Mortgage Trust Series 2020-C58 | 1.849% | 7/15/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1400 | &nbsp;&nbsp;&nbsp; 1178 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;WFRBS Commercial Mortgage Trust Series 2013-C15 | 4.153% | 8/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;526 | &nbsp;&nbsp;&nbsp; 517 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;WFRBS Commercial Mortgage Trust Series 2014-C21 | 3.410% | 8/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139 | &nbsp;&nbsp;&nbsp; 134 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;WFRBS Commercial Mortgage Trust Series 2014-C21 | 3.678% | 8/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1584 | &nbsp;&nbsp;&nbsp; 1528 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;WFRBS Commercial Mortgage Trust Series 2014-LC14 | 3.766% | 3/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp; 39 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;WFRBS Commercial Mortgage Trust Series 2014-LC14 | 4.045% | 3/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp; 490 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wheels Fleet Lease Funding LLC Series 2022-1A | 2.470% | 10/18/36 | &nbsp;&nbsp;&nbsp;&nbsp;16249 | &nbsp;&nbsp;&nbsp; 15831 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wheels SPV 2 LLC Series 2020-1A | 0.510% | 8/20/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1888 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wheels SPV 2 LLC Series 2020-1A | 0.620% | 8/20/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2884 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2019-A | 3.220% | 6/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5329 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2020-A | 1.100% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;321 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2020-B | 0.820% | 1/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7002 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2020-C | 0.610% | 10/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15196 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2021-C | 0.440% | 8/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12774 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2021-D | 0.810% | 10/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10610 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2021-D | 1.100% | 11/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7318 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2022-A | 1.900% | 3/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12487 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2022-B | 3.440% | 3/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13774 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2022-C | 3.660% | 10/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10703 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2022-C | 3.680% | 9/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11427 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Auto Receivables Trust Series 2022-D | 5.700% | 2/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8438 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Automobile Lease Securitization Trust Series 2021-A | 0.420% | 8/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9073 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Automobile Lease Securitization Trust Series 2021-A | 0.500% | 11/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6839 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Automobile Lease Securitization Trust Series 2022-A | 3.210% | 2/18/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3817 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;World Omni Automobile Lease Securitization Trust Series 2022-A | 3.340% | 6/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6420 | &nbsp;&nbsp;&nbsp; 6171 |
| **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,036,989)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,036,989)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,036,989)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,036,989)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $3,036,989)** | **2903880** |
| **Corporate Bonds (25.2%)** | **Corporate Bonds (25.2%)** | **Corporate Bonds (25.2%)** | **Corporate Bonds (25.2%)** | **Corporate Bonds (25.2%)** | **Corporate Bonds (25.2%)** |
| **Communications (0.8%)** | **Communications (0.8%)** | **Communications (0.8%)** | **Communications (0.8%)** | **Communications (0.8%)** | **Communications (0.8%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Comcast Corp. | 3.375% | 2/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp; 970 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Comcast Corp. | 5.250% | 11/7/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp; 8109 |
| <sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Comcast Corp. | 0.000% | 9/14/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3839 | &nbsp;&nbsp;&nbsp; 3586 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Meta Platforms Inc. | 3.500% | 8/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;10964 | &nbsp;&nbsp;&nbsp; 10218 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;NTT Finance Corp. | 0.583% | 3/1/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9045 | &nbsp;&nbsp;&nbsp; 8579 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;NTT Finance Corp. | 1.162% | 4/3/26 | &nbsp;&nbsp;&nbsp;&nbsp;18891 | &nbsp;&nbsp;&nbsp; 16719 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Ooredoo International Finance Ltd. | 3.250% | 2/21/23 | &nbsp;&nbsp;&nbsp;&nbsp;15790 | &nbsp;&nbsp;&nbsp; 15753 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Sky Ltd. | 2.500% | 9/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2570 | &nbsp;&nbsp;&nbsp; 2636 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**66570** |
| **Consumer Discretionary (2.7%)** | **Consumer Discretionary (2.7%)** | **Consumer Discretionary (2.7%)** | **Consumer Discretionary (2.7%)** | **Consumer Discretionary (2.7%)** | **Consumer Discretionary (2.7%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Amazon.com Inc. | 4.700% | 11/29/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39982 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Amazon.com Inc. | 4.600% | 12/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39950 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;American Honda Finance Corp. | 3.550% | 1/12/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1480 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;American Honda Finance Corp. | 0.550% | 7/12/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8481 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;American Honda Finance Corp. | 0.750% | 8/9/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9284 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;American Honda Finance Corp. | 1.500% | 1/13/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;936 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Home Depot Inc. | 2.700% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4791 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Home Depot Inc. | 4.000% | 9/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4498 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Honda Motor Co. Ltd. | 2.271% | 3/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10146 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Finance Australia Ltd. | 0.064% | 1/13/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2398 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Motor Credit Corp. | 2.500% | 3/22/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25523 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Motor Credit Corp. | 0.500% | 6/18/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46912 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Motor Credit Corp. | 0.625% | 9/13/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;819 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Motor Credit Corp. | 4.400% | 9/20/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11056 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Motor Credit Corp. | 1.450% | 1/13/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6636 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toyota Motor Credit Corp. | 3.650% | 8/18/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25435 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**238327** |
| **Consumer Staples (1.2%)** | **Consumer Staples (1.2%)** | **Consumer Staples (1.2%)** | **Consumer Staples (1.2%)** | **Consumer Staples (1.2%)** | **Consumer Staples (1.2%)** |
| <sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CK Hutchison Europe Finance 18 Ltd. | 1.250% | 4/13/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2798 |
| <sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Coca-Cola Co. | 1.875% | 9/22/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1576 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Colgate-Palmolive Co. | 3.100% | 8/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4607 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Kimberly-Clark Corp. | 3.050% | 8/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7610 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Nestle Holdings Inc. | 4.000% | 9/12/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9859 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;PepsiCo Inc. | 2.625% | 4/28/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2216 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;PepsiCo Inc. | 3.600% | 2/18/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3612 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Philip Morris International Inc. | 5.125% | 11/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25462 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Philip Morris International Inc. | 3.375% | 8/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5281 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Philip Morris International Inc. | 5.000% | 11/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20278 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Target Corp. | 3.500% | 7/1/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12744 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Unilever Finance Netherlands BV | 1.250% | 3/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2456 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Walmart Inc. | 3.900% | 9/9/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9854 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**108353** |
| **Energy (1.0%)** | **Energy (1.0%)** | **Energy (1.0%)** | **Energy (1.0%)** | **Energy (1.0%)** | **Energy (1.0%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Chevron Corp. | 3.326% | 11/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9673 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;EOG Resources Inc. | 3.150% | 4/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9649 |
| <sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Exxon Mobil Corp. | 0.142% | 6/26/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2246 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Exxon Mobil Corp. | 2.709% | 3/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14352 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Exxon Mobil Corp. | 2.992% | 3/19/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13110 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harvest Operations Corp. | 4.200% | 6/1/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1993 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Harvest Operations Corp. | 1.000% | 4/26/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3894 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SA Global Sukuk Ltd. | 0.946% | 6/17/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2177 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;SA Global Sukuk Ltd. | 0.946% | 6/17/24 | &nbsp;&nbsp;&nbsp;&nbsp;23000 | &nbsp;&nbsp;&nbsp; 21615 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Shell International Finance BV | 3.250% | 5/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4500 | &nbsp;&nbsp;&nbsp; 4362 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Shell International Finance BV | 2.500% | 3/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2117 | &nbsp;&nbsp;&nbsp; 2197 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**85268** |
| **Financials (13.5%)** | **Financials (13.5%)** | **Financials (13.5%)** | **Financials (13.5%)** | **Financials (13.5%)** | **Financials (13.5%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;American Express Co. | 3.400% | 2/22/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3039 | &nbsp;&nbsp;&nbsp; 2985 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;American Express Co. | 3.375% | 5/3/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8424 | &nbsp;&nbsp;&nbsp; 8257 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;American Express Co. | 2.250% | 3/4/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4900 | &nbsp;&nbsp;&nbsp; 4629 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;American Express Co. | 3.950% | 8/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;22500 | &nbsp;&nbsp;&nbsp; 22050 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Athene Global Funding | 0.950% | 1/8/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4445 | &nbsp;&nbsp;&nbsp; 4231 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Athene Global Funding | 0.914% | 8/19/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1440 | &nbsp;&nbsp;&nbsp; 1321 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Australia & New Zealand Banking Group Ltd. | 5.088% | 12/8/25 | &nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp; 10035 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Banco Santander SA | 2.706% | 6/27/24 | &nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp; 9599 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 4.125% | 1/22/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp; 7928 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 1.843% | 2/4/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20116 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 0.976% | 4/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18746 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 3.875% | 8/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4868 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 1.530% | 12/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9225 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 2.015% | 2/13/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9043 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 3.384% | 4/2/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13844 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 1.319% | 6/19/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4763 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4290 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 4.827% | 7/22/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33619 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. | 1.734% | 7/22/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6136 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Montreal | 3.300% | 2/5/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5234 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5136 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Montreal | 2.150% | 3/8/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24163 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Montreal | 0.625% | 7/9/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12642 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Montreal | 3.700% | 6/7/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2911 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of New York Mellon | 5.224% | 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10341 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of New York Mellon Corp. | 4.414% | 7/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14094 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Bank of New York Mellon Corp. | 3.250% | 5/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3217 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Nova Scotia | 0.650% | 7/31/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3813 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Nova Scotia | 5.250% | 12/6/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5005 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Nova Scotia | 1.450% | 1/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5956 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Nova Scotia | 3.450% | 4/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15612 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bank of Nova Scotia | 1.350% | 6/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7208 |
| <sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Berkshire Hathaway Inc. | 0.000% | 3/12/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2378 |
| <sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Berkshire Hathaway Inc. | 1.125% | 3/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;BNP Paribas SA | 3.800% | 1/10/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4914 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;BPCE SA | 4.000% | 4/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6135 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Canadian Imperial Bank of Commerce | 3.945% | 8/4/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2933 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Canadian Imperial Bank of Commerce | 3.450% | 4/7/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5828 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Charles Schwab Corp. | 1.150% | 5/13/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8890 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Inc. | 3.352% | 4/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5899 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Inc. | 4.140% | 5/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2954 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Inc. | 1.281% | 11/3/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1842 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Citigroup Inc. | 2.014% | 1/25/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4607 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Cooperatieve Rabobank UA | 0.625% | 2/27/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3219 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Cooperatieve Rabobank UA | 3.875% | 8/22/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;830 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Corebridge Global Funding | 0.650% | 6/17/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6537 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Credit Suisse AG | 1.500% | 4/10/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2218 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Danske Bank A/S | 0.976% | 9/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3062 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;F&G Global Funding | 0.900% | 9/20/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2054 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;F&G Global Funding | 1.750% | 6/30/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2361 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2105 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Five Corners Funding Trust | 4.419% | 11/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4506 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4463 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Group Inc. | 2.875% | 6/3/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1405 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;HSBC Holdings plc | 0.976% | 5/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9251 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;HSBC Holdings plc | 2.999% | 3/10/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5019 |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;HSBC Holdings plc | 1.645% | 4/18/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2385 | &nbsp;&nbsp;&nbsp; 2154 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;HSBC Holdings plc | 7.336% | 11/3/26 | &nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp; 10401 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;HSBC Holdings plc | 7.390% | 11/3/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5425 | &nbsp;&nbsp;&nbsp; 5694 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Intercontinental Exchange Inc. | 3.650% | 5/23/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7800 | &nbsp;&nbsp;&nbsp; 7634 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Intercontinental Exchange Inc. | 4.000% | 9/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp; 4830 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 3.559% | 4/23/24 | &nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp; 19872 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 0.563% | 2/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3375 | &nbsp;&nbsp;&nbsp; 3183 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 3.220% | 3/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;38468 | &nbsp;&nbsp;&nbsp; 37388 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 0.824% | 6/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5720 | &nbsp;&nbsp;&nbsp; 5335 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 0.969% | 6/23/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7500 | &nbsp;&nbsp;&nbsp; 6994 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 3.900% | 7/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp; 9785 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 2.301% | 10/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2767 | &nbsp;&nbsp;&nbsp; 2605 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 1.561% | 12/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp; 13879 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 2.083% | 4/22/26 | &nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp; 9279 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 4.080% | 4/26/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8264 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 4.851% | 7/25/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6568 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;KeyBank NA | 4.150% | 8/8/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3227 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Kookmin Bank | 2.125% | 2/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23377 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Legg Mason Inc. | 3.950% | 7/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4906 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;LSEGA Financing plc | 0.650% | 4/6/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3884 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Macquarie Group Ltd. | 1.201% | 10/14/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32106 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Manufacturers & Traders Trust Co. | 5.400% | 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4679 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Metropolitan Life Global Funding I | 0.400% | 1/7/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4014 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group Inc. | 2.193% | 2/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2711 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2538 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group Inc. | 1.412% | 7/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4812 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4370 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group Inc. | 4.788% | 7/18/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3462 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group Inc. | 0.953% | 7/19/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11074 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group Inc. | 5.063% | 9/12/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9936 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group Inc. | 0.962% | 10/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3586 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 0.791% | 1/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21308 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 3.620% | 4/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9754 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 0.790% | 5/30/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15467 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 2.720% | 7/22/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2730 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 1.164% | 10/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9201 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 2.188% | 4/28/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13920 |
| <sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 2.103% | 5/8/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1360 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 4.679% | 7/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5903 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley | 6.138% | 10/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8181 |
| <sup>4,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley, SOFR + 0.466% | 4.766% | 11/10/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30510 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;National Securities Clearing Corp. | 0.750% | 12/7/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8871 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;NongHyup Bank | 0.875% | 7/28/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18664 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Northern Trust Corp. | 4.000% | 5/10/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4201 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;PNC Financial Services Group Inc. | 3.500% | 1/23/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2038 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;PNC Financial Services Group Inc. | 5.671% | 10/28/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5061 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Progressive Corp. | 2.500% | 3/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1926 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 2.550% | 7/16/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1872 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 3.970% | 7/26/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15041 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 0.750% | 10/7/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6190 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 1.600% | 1/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7482 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 3.375% | 4/14/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7359 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 1.150% | 6/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9163 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 4.784% | 12/12/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24797 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 1.200% | 4/27/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4415 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 1.150% | 7/14/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4713 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | 3.625% | 5/4/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1999 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Security Benefit Global Funding | 1.250% | 5/17/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13520 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Skandinaviska Enskilda Banken AB | 0.650% | 9/9/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13875 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;State Street Corp. | 2.901% | 3/30/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14519 |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Sumitomo Mitsui Financial Group Inc. | 0.508% | 1/12/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp; 856 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Sumitomo Mitsui Financial Group Inc. | 2.448% | 9/27/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7892 | &nbsp;&nbsp;&nbsp; 7503 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Sumitomo Mitsui Financial Group Inc. | 1.474% | 7/8/25 | &nbsp;&nbsp;&nbsp;&nbsp;12147 | &nbsp;&nbsp;&nbsp; 11069 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Sumitomo Mitsui Trust Bank Ltd. | 2.550% | 3/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3450 | &nbsp;&nbsp;&nbsp; 3254 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Svenska Handelsbanken AB | 0.550% | 6/11/24 | &nbsp;&nbsp;&nbsp;&nbsp;28500 | &nbsp;&nbsp;&nbsp; 26704 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank | 0.550% | 3/4/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4730 | &nbsp;&nbsp;&nbsp; 4492 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank | 2.350% | 3/8/24 | &nbsp;&nbsp;&nbsp;&nbsp;18672 | &nbsp;&nbsp;&nbsp; 18108 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank | 0.375% | 4/25/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865 | &nbsp;&nbsp;&nbsp; 891 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank | 2.650% | 6/12/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1225 | &nbsp;&nbsp;&nbsp; 1186 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank | 0.700% | 9/10/24 | &nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp; 9307 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank | 4.285% | 9/13/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp; 7902 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank | 3.766% | 6/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;10770 | &nbsp;&nbsp;&nbsp; 10452 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank | 1.250% | 9/10/26 | &nbsp;&nbsp;&nbsp;&nbsp;24300 | &nbsp;&nbsp;&nbsp; 21242 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Truist Bank | 1.500% | 3/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;440 | &nbsp;&nbsp;&nbsp; 408 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Truist Financial Corp. | 2.500% | 8/1/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10769 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Truist Financial Corp. | 4.260% | 7/28/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9837 |
| <sup>4,7,9</sup> | &nbsp;&nbsp;&nbsp;&nbsp;UBS AG, 3M Australian Bank Bill Rate + 0.870% | 3.956% | 7/30/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10181 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;US Bancorp | 0.850% | 6/7/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4431 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;US Bancorp | 5.727% | 10/21/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8490 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;US Bancorp | 4.548% | 7/22/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19006 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Visa Inc. | 3.150% | 12/14/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25336 |
| <sup>8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Visa Inc. | 1.500% | 6/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2877 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. | 3.750% | 1/24/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8736 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. | 0.500% | 4/26/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4144 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. | 0.805% | 5/19/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2575 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. | 3.550% | 9/29/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3644 |
| <sup>4,8</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Westpac Securities NZ Ltd. | 0.427% | 12/14/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1951 |
|  |  |  |  |  | &nbsp;&nbsp;**1172843** |
| **Health Care (0.9%)** | **Health Care (0.9%)** | **Health Care (0.9%)** | **Health Care (0.9%)** | **Health Care (0.9%)** | **Health Care (0.9%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Bristol-Myers Squibb Co. | 2.900% | 7/26/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4858 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Merck & Co. Inc. | 2.750% | 2/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30702 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Roche Holdings Inc. | 1.882% | 3/8/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19297 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Roche Holdings Inc. | 2.132% | 3/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9391 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;UnitedHealth Group Inc. | 0.550% | 5/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4531 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;UnitedHealth Group Inc. | 3.750% | 7/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9788 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;UnitedHealth Group Inc. | 1.150% | 5/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1650 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**80217** |
| **Industrials (2.2%)** | **Industrials (2.2%)** | **Industrials (2.2%)** | **Industrials (2.2%)** | **Industrials (2.2%)** | **Industrials (2.2%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;3M Co. | 2.650% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;860 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Caterpillar Financial Services Corp. | 2.150% | 11/8/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5835 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Caterpillar Financial Services Corp. | 4.900% | 1/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10016 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Caterpillar Financial Services Corp. | 3.400% | 5/13/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19450 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Caterpillar Financial Services Corp. | 1.450% | 5/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4645 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Deere & Co. | 2.750% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19214 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;General Dynamics Corp. | 3.250% | 4/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;873 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Honeywell International Inc. | 1.350% | 6/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9251 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;John Deere Capital Corp. | 1.250% | 1/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;936 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;John Deere Capital Corp. | 2.125% | 3/7/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12838 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;John Deere Capital Corp. | 3.400% | 6/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8076 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Lockheed Martin Corp. | 4.950% | 10/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4311 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Lockheed Martin Corp. | 3.550% | 1/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11841 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;PACCAR Financial Corp. | 3.150% | 6/13/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13016 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;PACCAR Financial Corp. | 3.550% | 8/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9734 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Rockwell Automation Inc. | 2.875% | 3/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19215 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Siemens Financieringsmaatschappij NV | 0.650% | 3/11/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8973 |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Siemens Financieringsmaatschappij NV | 3.250% | 5/27/25 | &nbsp;&nbsp;&nbsp;&nbsp;31218 | &nbsp;&nbsp;&nbsp; 30129 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;United Parcel Service Inc. | 3.900% | 4/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp; 887 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**190100** |
| **Materials (0.2%)** | **Materials (0.2%)** | **Materials (0.2%)** | **Materials (0.2%)** | **Materials (0.2%)** | **Materials (0.2%)** |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Georgia-Pacific LLC | 0.625% | 5/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;15265 | &nbsp;&nbsp;&nbsp; 14348 |
| **Real Estate (0.8%)** | **Real Estate (0.8%)** | **Real Estate (0.8%)** | **Real Estate (0.8%)** | **Real Estate (0.8%)** | **Real Estate (0.8%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Camden Property Trust | 4.250% | 1/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3890 | &nbsp;&nbsp;&nbsp; 3839 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Public Storage | 1.500% | 11/9/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2200 | &nbsp;&nbsp;&nbsp; 1960 |
| <sup>7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Public Storage, SOFR + 0.470% | 4.800% | 4/23/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6465 | &nbsp;&nbsp;&nbsp; 6417 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Realty Income Corp. | 4.600% | 2/6/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp; 2483 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Realty Income Corp. | 3.875% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp; 9778 |
| <sup>4,10</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Realty Income Corp. | 1.875% | 1/14/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;697 | &nbsp;&nbsp;&nbsp; 727 |
| <sup>10</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Realty Income Corp. | 1.125% | 7/13/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1300 | &nbsp;&nbsp;&nbsp; 1286 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Simon Property Group LP | 3.750% | 2/1/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9346 | &nbsp;&nbsp;&nbsp; 9209 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Simon Property Group LP | 2.000% | 9/13/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5838 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Simon Property Group LP | 3.375% | 10/1/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16254 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Simon Property Group LP | 3.500% | 9/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9591 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**67382** |
| **Technology (1.4%)** | **Technology (1.4%)** | **Technology (1.4%)** | **Technology (1.4%)** | **Technology (1.4%)** | **Technology (1.4%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Analog Devices Inc. | 2.950% | 4/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4802 |
| <sup>7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Analog Devices Inc., SOFR + 0.250% | 4.588% | 10/1/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24624 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Apple Inc. | 1.125% | 5/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9215 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Intel Corp. | 3.400% | 3/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4868 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Intuit Inc. | 0.950% | 7/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4553 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Microsoft Corp. | 2.700% | 2/12/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9619 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;NVIDIA Corp. | 0.584% | 6/14/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61166 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;PayPal Holdings Inc. | 2.400% | 10/1/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5843 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**124690** |
| **Utilities (0.5%)** | **Utilities (0.5%)** | **Utilities (0.5%)** | **Utilities (0.5%)** | **Utilities (0.5%)** | **Utilities (0.5%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Atlantic City Electric Co. | 3.375% | 9/1/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14459 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Berkshire Hathaway Energy Co. | 4.050% | 4/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2528 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Duke Energy Carolinas NC Storm Funding LLC | 1.679% | 7/1/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4337 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Florida Power & Light Co. | 2.850% | 4/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;862 |
| <sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Korea East-West Power Co. Ltd. | 3.600% | 5/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3409 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;National Rural Utilities Cooperative Finance Corp. | 1.875% | 2/7/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9383 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;PG&E Recovery Funding LLC | 5.045% | 7/15/32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8022 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Southern California Gas Co. | 3.150% | 9/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1071 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Wisconsin Public Service Corp. | 5.350% | 11/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2021 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**46092** |
| **Total Corporate Bonds (Cost $2,288,994)** | **Total Corporate Bonds (Cost $2,288,994)** | **Total Corporate Bonds (Cost $2,288,994)** | **Total Corporate Bonds (Cost $2,288,994)** | **Total Corporate Bonds (Cost $2,288,994)** | **2194190** |
| **Sovereign Bonds (4.6%)** | **Sovereign Bonds (4.6%)** | **Sovereign Bonds (4.6%)** | **Sovereign Bonds (4.6%)** | **Sovereign Bonds (4.6%)** | **Sovereign Bonds (4.6%)** |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Abu Dhabi National Energy Co. PJSC | 3.625% | 1/12/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;542 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Arab Petroleum Investments Corp. | 4.125% | 9/18/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5843 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;CDP Financial Inc. | 3.150% | 7/24/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1706 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Corp. Andina de Fomento | 2.375% | 5/12/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9890 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Corp. Andina de Fomento | 1.250% | 10/26/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22292 |
| <sup>4,6,11</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Dexia Credit Local SA | 3.250% | 9/26/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49362 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Equinor ASA | 2.650% | 1/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1952 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Equinor ASA | 1.750% | 1/22/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4573 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Export-Import Bank of Korea | 4.000% | 9/15/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32773 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Export-Import Bank of Korea | 1.250% | 1/18/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74176 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Export-Import Bank of Korea | 3.250% | 11/10/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23773 |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | Coupon | Maturity<br> Date | &nbsp;&nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4,12</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Japan Bank for International Cooperation | 2.500% | 5/23/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp; 4837 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Korea Development Bank | 0.500% | 10/27/23 | &nbsp;&nbsp;&nbsp;&nbsp;24000 | &nbsp;&nbsp;&nbsp; 23189 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Korea Development Bank | 3.750% | 1/22/24 | &nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp; 9877 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Korea Development Bank | 1.750% | 2/18/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp; 6540 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Korea Development Bank | 2.000% | 2/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp; 18785 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Korea Electric Power Corp. | 3.625% | 6/14/25 | &nbsp;&nbsp;&nbsp;&nbsp;18667 | &nbsp;&nbsp;&nbsp; 17963 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Korea National Oil Corp. | 1.750% | 4/18/25 | &nbsp;&nbsp;&nbsp;&nbsp;24000 | &nbsp;&nbsp;&nbsp; 22150 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Korea National Oil Corp. | 0.875% | 10/5/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp; 4429 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;QatarEnergy Trading LLC | 1.375% | 9/12/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7798 | &nbsp;&nbsp;&nbsp; 6922 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Republic of Chile | 2.750% | 1/31/27 | &nbsp;&nbsp;&nbsp;&nbsp;13569 | &nbsp;&nbsp;&nbsp; 12489 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Republic of Poland | 5.500% | 11/16/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp; 2568 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Saudi Arabian Oil Co. | 1.250% | 11/24/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp; 2886 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Saudi Arabian Oil Co. | 2.875% | 4/16/24 | &nbsp;&nbsp;&nbsp;&nbsp;14850 | &nbsp;&nbsp;&nbsp; 14393 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Temasek Financial I Ltd. | 2.375% | 1/23/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp; 4994 |
| <sup>4,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Tokyo Metropolitan Government | 0.750% | 7/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18907 |
| **Total Sovereign Bonds (Cost $419,977)** | **Total Sovereign Bonds (Cost $419,977)** | **Total Sovereign Bonds (Cost $419,977)** | **Total Sovereign Bonds (Cost $419,977)** | **Total Sovereign Bonds (Cost $419,977)** | &nbsp;&nbsp;&nbsp;**397811** |
| **Taxable Municipal Bonds (0.9%)** | **Taxable Municipal Bonds (0.9%)** | **Taxable Municipal Bonds (0.9%)** | **Taxable Municipal Bonds (0.9%)** | **Taxable Municipal Bonds (0.9%)** | **Taxable Municipal Bonds (0.9%)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Florida State Board of Administration Finance Corp. Revenue | 1.258% | 7/1/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52105 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;University of California Revenue | 0.883% | 5/15/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24763 |
| **Total Taxable Municipal Bonds (Cost $83,750)** | **Total Taxable Municipal Bonds (Cost $83,750)** | **Total Taxable Municipal Bonds (Cost $83,750)** | **Total Taxable Municipal Bonds (Cost $83,750)** | **Total Taxable Municipal Bonds (Cost $83,750)** | &nbsp;&nbsp;&nbsp;&nbsp;**76868** |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | Coupon | &nbsp;&nbsp;&nbsp;Shares | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** |
| **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** |
| <sup>13</sup> | &nbsp;&nbsp;&nbsp;&nbsp;Vanguard Market Liquidity Fund<br> **(Cost $387,203)** | 4.334% | 3872500 | &nbsp;&nbsp;&nbsp; **387211** |
| **Total Investments (103.4%) (Cost $9,315,488)** | **Total Investments (103.4%) (Cost $9,315,488)** | **Total Investments (103.4%) (Cost $9,315,488)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**9005190** |
| **Other Assets and Liabilities—Net (-3.4%)** | **Other Assets and Liabilities—Net (-3.4%)** | **Other Assets and Liabilities—Net (-3.4%)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(298080)** |
| **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**8707110** |

---

Cost is in $000.

---

| | |
|:---|:---|
| 1 | Securities with a value of $5,912,000 have been segregated as initial margin for open futures contracts. |
| 2 | Securities with a value of $1,265,000 have been segregated as collateral for open forward currency contracts and over-the-counter swap contracts. |
| 3 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2022. |
| 4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 5 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 6 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the aggregate value was $1,175,311,000, representing 13.5% of net assets. |
| 7 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 8 | Face amount denominated in euro. |
| 9 | Face amount denominated in Australian dollars. |
| 10 | Face amount denominated in British pounds. |
| 11 | Guaranteed by multiple countries. |
| 12 | Guaranteed by the Government of Japan. |
| 13 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |

---

---

| |
|:---|
| 1M—1-month. |
| 3M—3-month. |
| LIBOR—London Interbank Offered Rate. |
| REMICS—Real Estate Mortgage Investment Conduits. |
| SOFR—Secured Overnight Financing Rate. |
| USD—U.S. dollar. |

---

------

#### Derivative Financial Instruments Outstanding as of Period End

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| Futures Contracts | Futures Contracts | Futures Contracts | Futures Contracts | Futures Contracts |
|  |  |  | ($000) | ($000) |
|  | Expiration | Number of<br> Long (Short)<br> Contracts | Notional<br> Amount | &nbsp;&nbsp;Value and<br> Unrealized<br> Appreciation<br> (Depreciation) |
| Long Futures Contracts | Long Futures Contracts | Long Futures Contracts | Long Futures Contracts | Long Futures Contracts |
| 2-Year U.S. Treasury Note | March 2023 | 2174 | 445840 | &nbsp;&nbsp;&nbsp;&nbsp;(925) |
| Short Futures Contracts | Short Futures Contracts | Short Futures Contracts | Short Futures Contracts | Short Futures Contracts |
| 5-Year U.S. Treasury Note | March 2023 | &nbsp;&nbsp;&nbsp;(248) | &nbsp;&nbsp;(26767) | &nbsp;&nbsp;&nbsp;&nbsp;292 |
| 10-Year U.S. Treasury Note | March 2023 | &nbsp;&nbsp;&nbsp;(305) | &nbsp;&nbsp;(34250) | &nbsp;&nbsp;&nbsp;&nbsp;418 |
| Euro-Bobl | March 2023 | &nbsp;&nbsp;&nbsp;(150) | &nbsp;&nbsp;(18586) | &nbsp;&nbsp;&nbsp;&nbsp;573 |
| Euro-Schatz | March 2023 | &nbsp;&nbsp;&nbsp;(121) | &nbsp;&nbsp;(13654) | &nbsp;&nbsp;&nbsp;&nbsp;146 |
| Long Gilt | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp;&nbsp;&nbsp;(1087) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 |
| Long U.S. Treasury Bond | March 2023 | &nbsp;&nbsp;&nbsp;(154) | &nbsp;&nbsp;(19303) | &nbsp;&nbsp;&nbsp;&nbsp;186 |
| Ultra 10-Year U.S. Treasury Note | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;(91) | &nbsp;&nbsp;(10764) | &nbsp;&nbsp;&nbsp;&nbsp;162 |
| Ultra Long U.S. Treasury Bond | March 2023 | &nbsp;&nbsp;&nbsp;(205) | &nbsp;&nbsp;&nbsp;(27534) | &nbsp;&nbsp;&nbsp;&nbsp;923 |
|  |  |  |  | &nbsp;&nbsp;2760 |
|  |  |  |  | &nbsp;&nbsp;1835 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts | Forward Currency Contracts |
|  | Contract<br> Settlement<br> Date | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Contract Amount (000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> (Depreciation)<br> ($000) |
| Counterparty | Contract<br> Settlement<br> Date |  | &nbsp;&nbsp;&nbsp;Receive |  | &nbsp;&nbsp;&nbsp;Deliver | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> (Depreciation)<br> ($000) |
| Morgan Stanley Capital Services LLC | 1/31/23 | &nbsp;&nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;106535 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;73238 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(618) |
| Bank of Montreal | 1/31/23 | &nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;957 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1020 | &nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Standard Chartered Bank | 1/31/23 | &nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;957 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1013 | &nbsp;&nbsp;&nbsp;13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Royal Bank of Canada | 1/31/23 | &nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;426 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;454 | &nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Morgan Stanley Capital Services LLC | 1/31/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;84610 | &nbsp;&nbsp;&nbsp;AUD | &nbsp;&nbsp;&nbsp;125109 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(671) |
| Bank of Montreal | 1/31/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;24097 | &nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;22589 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(131) |
| Standard Chartered Bank | 1/31/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;23906 | &nbsp;&nbsp;&nbsp;EUR | &nbsp;&nbsp;&nbsp;&nbsp;22589 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(322) |
| State Street Bank & Trust Co. | 1/31/23 | &nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2811 | &nbsp;&nbsp;&nbsp;GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2297 | &nbsp;&nbsp;&nbsp;32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;54 | &nbsp;&nbsp;&nbsp;(1742) |

---

---

| |
|:---|
| AUD—Australian dollar. |
| EUR—euro. |
| GBP—British pound. |
| USD—U.S. dollar. |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps | Over-the-Counter Credit Default Swaps |
| Reference<br> Entity | Termination<br> Date | Counterparty | Notional<br> Amount<br> ($000) | Periodic<br> Premium<br> Received<br> (Paid)<sup>1</sup><br> (%) | Value<br> ($000) | Remaining<br> Up-Front<br> Premium<br> Paid<br> (Received)<br> ($000) | Unrealized<br> Appreciation<br> ($000) | Unrealized<br> (Depreciation)<br> ($000) |
| Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating | Credit Protection Sold/Moody's Rating |  |  |  |  |  |  |
| Republic of Chile/A2 | 12/20/27 | MSCS | 1920 | 1.000 | (7) | (41) | 34 |  |

---

1 Periodic premium received/paid quarterly. <br> MSCS—Morgan Stanley Capital Services LLC.

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.

------

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities' primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.

At December 31, 2022, counterparties had deposited in segregated accounts cash of $251,000 in connection with TBA transactions.

D. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in

------

mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

E. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).

F. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. Fluctuations in the value of the contracts are recorded as an asset (liability).

G. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a

------

periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty's default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

H. Various inputs may be used to determine the value of the fund's investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

#### Level 1 —Quoted prices in active markets for identical securities.

#### Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
**Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.**

------

The following table summarizes the market value of the fund's investments and derivatives as of December 31, 2022, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Level 1<br> ($000) | &nbsp;&nbsp;&nbsp;Level 2<br> ($000) | &nbsp;&nbsp;&nbsp;Level 3<br> ($000) | &nbsp;&nbsp;&nbsp;Total<br> ($000) |
| **Investments** |  |  |  |  |
| Assets |  |  |  |  |
| U.S. Government and Agency Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;3045230 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;3045230 |
| Asset-Backed/Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2903880 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2903880 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2194190 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2194190 |
| Sovereign Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;397811 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;397811 |
| Taxable Municipal Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76868 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76868 |
| Temporary Cash Investments | 387211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;387211 |
| Total | 387211 | &nbsp;&nbsp;&nbsp;&nbsp;8617979 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;9005190 |
| **Derivative Financial Instruments** |  |  |  |  |
| Assets |  |  |  |  |
| Futures Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2760 |
| Forward Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54 |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 |
| Total | &nbsp;&nbsp;&nbsp;&nbsp;2760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2848 |
| Liabilities |  |  |  |  |
| Futures Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;925 |
| Forward Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1742 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1742 |
| Total | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1742 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2667 |

---

1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VANGUARD MALVERN FUNDS

- **b. Investment Company Act file number:** 811-05628

- **c. CIK number of Registrant:** 0000836906

- **d. LEI of Registrant:** 549300EW16IGZDA38J20

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

  - **Street Address 1:** 100 Vanguard Boulevard

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

  - **Telephone number:** 610-669-1000

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

- **a. Name of Series:** VANGUARD INSTITUTIONAL SHORT-TERM BOND FUND

- **b. EDGAR series identifier (if any):** S000049659

- **c. LEI of Series:** 549300VRQLVE63JP0O95

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

- **a. Date of fiscal year-end:** 2023-09-30

- **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:** $9046013382.18

**Total Liabilities:** $339434473.84

**Net Assets:** $8706578908.34

**Cash Not Reported:** $363661822.93

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -14489.69600038 | **1-Year:** -562277.92939795 | **5-Year:** -342195.87328642 | **10-Year:** -12920.21028085 | **30-Year:** -11587.21827186

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000157009 | -0.33%               | 0.75%                | 0.39%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-58121116.78            | $16545429.77                               |
| Month 2  | $-7029309.48             | $64560346.87                               |
| Month 3  | $-26096775.94            | $33486211.42                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Government/Credit 1-3 Year Excluding Baa Index

- **Index Identifier:** I03603US

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MMAF EQUIPMENT FINANCE LLC MMAF_18-A                              | MMAF 2018-A A5                 | CUSIP: 60700DAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3550000 | PA      | $3440153.42   | 0.04%             | 2042-03-10      | Fixed         | 3.61%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41750000 | PA      | $40432265.63  | 0.46%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9162990.40   | 0.11%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_19-A                       | HDMOT 2019-A A4                | CUSIP: 41284WAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1785672 | PA      | $1784590.34   | 0.02%             | 2026-11-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6728000 | PA      | $6568415.41   | 0.08%             | 2028-07-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp                        | FLORIDA ST BRD OF ADM          | CUSIP: 341271AD6<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |  56750000 | PA      | $52105143.03  | 0.60%             | 2025-07-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST ARIFL_22-A                                  | ARIFL 2022-A A2                | CUSIP: 00217QAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7510000 | PA      | $7376174.80   | 0.08%             | 2031-01-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CEH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 431025000 | PA      | $414659497.98 | 4.76%             | 2025-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                            | UNITEDHEALTH GRP               | CUSIP: 91324PEC2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1845000 | PA      | $1649774.07   | 0.02%             | 2026-05-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                | MITSUB UFJ FIN                 | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  11915000 | PA      | $11073680.30  | 0.13%             | 2025-07-19      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                         | TORONTO DOM BANK               | CUSIP: 89114TZR6<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  18672000 | PA      | $18107533.68  | 0.21%             | 2024-03-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_22-A                | HALST 2022-A A4                | CUSIP: 44891WAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20330000 | PA      | $19380926.48  | 0.22%             | 2025-12-15      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  16600000 | PA      | $15467354.78  | 0.18%             | 2025-05-30      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_22-B                     | TAOT 2022-B A3                 | CUSIP: 89238FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  27030000 | PA      | $26150041.05  | 0.30%             | 2026-09-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates      | FHMS K045 A2                   | CUSIP: 3137BHXJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15495357 | PA      | $14957654.33  | 0.17%             | 2025-01-25      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_22-2                  | GMALT 2022-2 A4                | CUSIP: 36266FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13420000 | PA      | $13014793.84  | 0.15%             | 2026-05-20      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Roche Holdings Inc                                                | ROCHE HLDGS INC                | CUSIP: 771196BT8<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   9925000 | PA      | $9390854.17   | 0.11%             | 2025-03-10      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC HERTZ_22-3                        | HERTZ 2022-3A A                | CUSIP: 42806MAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16790000 | PA      | $16366626.72  | 0.19%             | 2025-03-25      | Fixed         | 3.37%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                 | HSBC HOLDINGS                  | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2385000 | PA      | $2153565.63   | 0.02%             | 2026-04-18      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                  | WELLS FARGO CO                 | CUSIP: 94974BGP9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3788000 | PA      | $3643829.14   | 0.04%             | 2025-09-29      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5600000 | PA      | $5269250.00   | 0.06%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                    | PUBLIC STORAGE                 | CUSIP: 74460DAG4<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1960165.17   | 0.02%             | 2026-11-09      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                      | COMCAST CORP                   | CUSIP: 20030NDZ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8108866.88   | 0.09%             | 2025-11-07      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST SMB_18-B                         | SMB 2018-B A2A                 | CUSIP: 78449LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    642009 | PA      | $617088.69    | 0.01%             | 2037-01-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_22-B                | HALST 2022-B A4                | CUSIP: 44934LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13220000 | PA      | $12793323.18  | 0.15%             | 2026-04-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC34                            | GSMS 2015-GC34 A3              | CUSIP: 36250VAC6<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |   3882319 | PA      | $3682868.77   | 0.04%             | 2048-10-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_21-D                     | TAOT 2021-D A4                 | CUSIP: 89238JAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6900000 | PA      | $6199863.21   | 0.07%             | 2027-03-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| GOLDEN CREDIT CARD TRUST GCCT_2021-1A                             | GCCT 2021-1A A                 | CUSIP: 380881FB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12890000 | PA      | $11297508.82  | 0.13%             | 2028-08-15      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| American Express Co                                               | AMERICAN EXPRESS               | CUSIP: 025816CC1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3039000 | PA      | $2984856.81   | 0.03%             | 2024-02-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                | BANCO SANTANDER                | CUSIP: 05971KAD1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  10000000 | PA      | $9599245.00   | 0.11%             | 2024-06-27      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CCN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 160900000 | PA      | $156651242.42 | 1.80%             | 2023-07-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                          | FLORIDA POWER &                | CUSIP: 341081FZ5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    900000 | PA      | $862378.14    | 0.01%             | 2025-04-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                     | INTERCONTINENT                 | CUSIP: 45866FAT1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   7800000 | PA      | $7633574.99   | 0.09%             | 2025-05-23      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| John Deere Capital Corp                                           | JOHN DEERE CAP                 | CUSIP: 24422EVY2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $936537.57    | 0.01%             | 2025-01-10      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  21000000 | PA      | $20116345.41  | 0.23%             | 2025-02-04      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                   | PHILIP MORRIS IN               | CUSIP: 718172CT4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |  25440000 | PA      | $25461664.45  | 0.29%             | 2024-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2016-BNK2                          | MSC 2016-BNK2 A3               | CUSIP: 61690YBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $951996.76    | 0.01%             | 2049-11-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I 2017-HR2                                 | MSC 2017-HR2 ASB               | CUSIP: 61691NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179318 | PA      | $171389.02    | 0.00%             | 2050-12-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11    | JPMCC 2013-LC11 A5             | CUSIP: 46639YAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    637928 | PA      | $634336.69    | 0.01%             | 2046-04-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2019-GC42                            | GSMS 2019-GC42 A4              | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $427115.55    | 0.00%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3 | BACM 2017-BNK3 A4              | CUSIP: 06427DAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $149566.62    | 0.00%             | 2050-02-15      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Korea Development Bank/The                                        | KOREA DEV BANK                 | CUSIP: 500630CC0<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |  10000000 | PA      | $9876807.10   | 0.11%             | 2024-01-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      2037 | NC      | $-928975.88   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Realty Income Corp                                                | REALTY INCOME                  | CUSIP: 756109AV6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9777832.50   | 0.11%             | 2025-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24       | MSBAM 2015-C24 A3              | CUSIP: 61765LAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4098308 | PA      | $3891487.13   | 0.04%             | 2048-05-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C41                    | WFCM 2017-C41 A4               | CUSIP: 95001ABD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1314772.17   | 0.02%             | 2050-11-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_22-A                           | FORDO 2022-A A4                | CUSIP: 345286AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18150000 | PA      | $16448608.11  | 0.19%             | 2027-05-15      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp                                       | AMERICAN HONDA F               | CUSIP: 02665WCT6<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1479390.93   | 0.02%             | 2024-01-12      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C40                    | WFCM 2017-C40 A3               | CUSIP: 95000YAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $546672.60    | 0.01%             | 2050-10-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | LONG GILT FUTURE  Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -9 | NC      | $59879.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Visa Inc                                                          | VISA INC                       | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |  26270000 | PA      | $25336456.41  | 0.29%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_20-1                    | GFORT 2020-1 A                 | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9540000 | PA      | $9265094.41   | 0.11%             | 2025-08-15      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| Korea Development Bank/The                                        | KOREA DEV BANK                 | CUSIP: 500630DD7<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |  24000000 | PA      | $23188739.04  | 0.27%             | 2023-10-27      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST HPEFS_22-2                                  | HPEFS 2022-2A A3               | CUSIP: 40441TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9510000 | PA      | $9306485.05   | 0.11%             | 2029-09-20      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-214 CZ                | CUSIP: 38383FCA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3807136 | PA      | $2871461.88   | 0.03%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-3                 | SDART 2022-3 A3                | CUSIP: 80285UAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9060000 | PA      | $8903425.99   | 0.10%             | 2026-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78013XZU5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1940000 | PA      | $1872122.76   | 0.02%             | 2024-07-16      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST KCOT_22-1A                              | KCOT 2022-1A A4                | CUSIP: 50117EAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10320000 | PA      | $9626253.48   | 0.11%             | 2028-02-15      | Fixed         | 2.78%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-225 GZ                | CUSIP: 38383FUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1269594 | PA      | $971039.77    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-1 ZQ                  | CUSIP: 38382MV55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543107 | PA      | $457573.98    | 0.01%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Inc                                            | BERKSHIRE HATHWY               | CUSIP: 084670BN7<br>LEI: 5493000C01ZX7D35SD85 | Long             | DBT              | CORP              | US        |    900000 | PA      | $865160.91    | 0.01%             | 2027-03-16      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST HAROT_21-3                     | HAROT 2021-4 A3                | CUSIP: 43815GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10130000 | PA      | $9613824.84   | 0.11%             | 2026-01-21      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59400000 | PA      | $59353596.72  | 0.68%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| State Street Corp                                                 | STATE STREET CRP               | CUSIP: 857477BM4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |  15273000 | PA      | $14518903.87  | 0.17%             | 2026-03-30      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                           | COMET 2019-A3 A3               | CUSIP: 14041NFV8<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |  37820000 | PA      | $34496820.89  | 0.40%             | 2028-08-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EUR/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $13432.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST_22-A1                               | SYNIT 2022-A1 A                | CUSIP: 87166PAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  38480000 | PA      | $37051437.70  | 0.43%             | 2028-04-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corp                                               | KIMBERLY-CLARK                 | CUSIP: 494368BR3<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |   7920000 | PA      | $7609456.64   | 0.09%             | 2025-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK9                                                    | BANK 2017-BNK9 A4              | CUSIP: 06540RAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4438303.20   | 0.05%             | 2054-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_22-A                           | FORDO 2022-A A3                | CUSIP: 345286AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15560000 | PA      | $14802673.02  | 0.17%             | 2026-06-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST WOART_22-D                       | WOART 2022-D A4                | CUSIP: 98163VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8200000 | PA      | $8437964.00   | 0.10%             | 2029-02-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                 | HSBC HOLDINGS                  | CUSIP: 404280DA4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5340000 | PA      | $5018626.62   | 0.06%             | 2026-03-10      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CHEASAPEAKE FUNDING II LLC CFII_19-2                              | CFII 2019-2A A1                | CUSIP: 165183CD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    478245 | PA      | $477990.14    | 0.01%             | 2031-09-15      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Tokyo Metropolitan Government                                     | TOKYO METRO GOVT               | CUSIP: 59173LAD2<br>LEI: 353800FABE4GGB1BMO18 | Long             | DBT              | NUSS              | JP        |  21000000 | PA      | $18906870.99  | 0.22%             | 2025-07-16      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The                              | PNC FINANCIAL                  | CUSIP: 693475AV7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $2037998.59   | 0.02%             | 2024-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Korea Electric Power Corp                                         | KOREA ELEC PWR                 | CUSIP: 500631AV8<br>LEI: 988400QG33WS7JEIV602 | Long             | DBT              | NUSS              | KR        |  18667000 | PA      | $17963319.62  | 0.21%             | 2025-06-14      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Atlantic City Electric Co                                         | ATLANTIC CITY EL               | CUSIP: 048303CF6<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $14458633.80  | 0.17%             | 2024-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B21 Mortgage Trust                                 | BMARK 2020-B21 AAB             | CUSIP: 08163LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $507368.10    | 0.01%             | 2053-12-17      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| PepsiCo Inc                                                       | PEPSICO INC                    | CUSIP: 713448FL7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   3760000 | PA      | $3611673.08   | 0.04%             | 2028-02-18      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GBP/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $27349.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Korea National Oil Corp                                           | KOREA NATL OIL                 | CUSIP: 50066PAR1<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | NUSS              | KR        |  24000000 | PA      | $22149907.44  | 0.25%             | 2025-04-18      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                         | TORONTO DOM BANK               | CUSIP: 89115A2A9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  10770000 | PA      | $10452271.11  | 0.12%             | 2025-06-06      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing PLC                                               | LSEGA FIN PLC                  | CUSIP: 50220PAA1<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   4135000 | PA      | $3883718.53   | 0.04%             | 2024-04-06      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| UBS-BAMLL Trust                                                   | UBSBM 2012-WRM A               | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74915 | PA      | $70465.38     | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Corp Andina de Fomento                                            | CORP ANDINA FOM                | CUSIP: 219868CE4<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | N/A       |  24000000 | PA      | $22291780.80  | 0.26%             | 2024-10-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| DLL FINANCE LLC DLLAD_21-1                                        | DLLAD 2021-1A A3               | CUSIP: 233262AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7550000 | PA      | $7035277.24   | 0.08%             | 2026-09-21      | Fixed         | 0.64%                 | Yes           |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                           | CSAIL 2017-C8 A4               | CUSIP: 12595BAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1130911.00   | 0.01%             | 2050-06-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK6                                                    | BANK 2017-BNK6 A4              | CUSIP: 060352AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $406115.73    | 0.00%             | 2060-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                | MITSUB UFJ FIN                 | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   4812000 | PA      | $4370058.41   | 0.05%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC30                            | GSMS 2015-GC30 A4              | CUSIP: 36250GAP0<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |      5000 | PA      | $4730.55      | 0.00%             | 2050-05-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 Mortgage Trust                                        | CD 2017-CD5 AS                 | CUSIP: 12515HBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4708207 | PA      | $4209941.22   | 0.05%             | 2050-08-15      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING GALC_20-1               | GALC 2020-1 A3                 | CUSIP: 39154TBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3136456 | PA      | $3129421.72   | 0.04%             | 2023-08-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C39                    | WFCM 2017-C39 A4               | CUSIP: 95000XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $173422.25    | 0.00%             | 2050-09-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACER AUTO RECEIVABLES TRUST CPART_20-1A                 | CPART 2020-1A A4               | CUSIP: 13645YAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |   2150000 | PA      | $2087866.08   | 0.02%             | 2025-03-19      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C26               | JPMBB 2014-C26 A4              | CUSIP: 46643TBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1653700 | PA      | $1583561.13   | 0.02%             | 2048-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5239844.00   | 0.06%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                | REALTY INCOME                  | CUSIP: N/A<br>LEI: 549300CUWDAUZSH43859       | Long             | DBT              | CORP              | US        |    697000 | PA      | $726751.14    | 0.01%             | 2027-01-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC MMAF_19-A                              | MMAF 2019-A A5                 | CUSIP: 60700FAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4320000 | PA      | $4141662.19   | 0.05%             | 2041-11-12      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                         | TORONTO DOM BANK               | CUSIP: 89114TZE5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9306589.20   | 0.11%             | 2024-09-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC MMAF_20-A                              | MMAF 2020-A A2                 | CUSIP: 60700MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2189708 | PA      | $2168302.84   | 0.02%             | 2024-04-09      | Fixed         | 0.74%                 | Yes           |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM SOFI_17-D                          | SOFI 2017-D A2FX               | CUSIP: 78471CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    106770 | PA      | $102184.53    | 0.00%             | 2040-09-25      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PCZ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $8263970.73   | 0.09%             | 2026-04-26      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Co/The                                                  | COCA-COLA CO/THE               | CUSIP: 191216BK5<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1576245.26   | 0.02%             | 2026-09-22      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_20-B                | HALST 2020-B A4                | CUSIP: 44891PAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4230000 | PA      | $4218106.93   | 0.05%             | 2024-06-17      | Fixed         | 0.58%                 | Yes           |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST                              | TALNT 2019-1A A                | CUSIP: 89231XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $868058.82    | 0.01%             | 2031-11-25      | Fixed         | 2.56%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                               | EUR/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-130689.88   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Equinor ASA                                                       | STATOIL ASA                    | CUSIP: 85771PAK8<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |   2000000 | PA      | $1951769.92   | 0.02%             | 2024-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                | BX 2019-OC11 A                 | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $635057.67    | 0.01%             | 2041-12-09      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-C                      | WOART 2020-C A4                | CUSIP: 98163CAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16350000 | PA      | $15195533.04  | 0.17%             | 2026-10-15      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK17                                                   | BANK 2019-BN17 ASB             | CUSIP: 065403BA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181000 | PA      | $169872.59    | 0.00%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NOTE TRUST DCENT_21-1                     | DCENT 2021-A2 A2               | CUSIP: 254683CQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6730000 | PA      | $5868343.97   | 0.07%             | 2028-09-15      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                      | COMCAST CORP                   | CUSIP: 20030NDX6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3839000 | PA      | $3585859.65   | 0.04%             | 2026-09-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                          | TOYOTA MTR CRED                | CUSIP: 89236TKF1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |  26150000 | PA      | $25434649.75  | 0.29%             | 2025-08-18      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_22-1                                | CARMX 2022-1 A4                | CUSIP: 14317CAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18560000 | PA      | $16872348.48  | 0.19%             | 2027-08-16      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                                           | CHARLES SCHWAB                 | CUSIP: 808513BR5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8889809.70   | 0.10%             | 2026-05-13      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PCK0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6993542.63   | 0.08%             | 2025-06-23      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                  | BANK OF MONTREAL               | CUSIP: 06368D3S1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $2911324.71   | 0.03%             | 2025-06-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_19-3                                | CARMX 2019-3 A4                | CUSIP: 14315PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5400000 | PA      | $5299374.78   | 0.06%             | 2025-04-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                                    | BANK 2017-BNK8 A4              | CUSIP: 06650AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1031397.92   | 0.01%             | 2050-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST_20-A                            | SRT 2020-B A4                  | CUSIP: 80286RAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7950000 | PA      | $7667683.58   | 0.09%             | 2024-12-20      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| Caterpillar Financial Services Corp                               | CATERPILLAR FINL               | CUSIP: 14913R2C0<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4644737.30   | 0.05%             | 2025-05-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                 | FNR 2021-84 KZ                 | CUSIP: 3136BKSN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1819493 | PA      | $1337339.18   | 0.02%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC MMAF_17-A                              | MMAF 2017-AA A5                | CUSIP: 55315XAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    919427 | PA      | $913678.79    | 0.01%             | 2027-07-16      | Fixed         | 2.68%                 | Yes           |                  2 | On Loan: No      |
| CARDS II TRUST CARD2_21-1A                                        | CARD2 2021-1A A                | CUSIP: 14161GBY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |  38910000 | PA      | $36733689.77  | 0.42%             | 2027-04-15      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78016EYM3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   8000000 | PA      | $7481655.28   | 0.09%             | 2025-01-21      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EUR/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5534.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2013-C12               | JPMBB 2013-C12 AS              | CUSIP: 46639NAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1834512 | PA      | $1815796.31   | 0.02%             | 2045-07-15      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EUR/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3163.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST TESLA_20-A                                 | TESLA 2020-A A4                | CUSIP: 88167HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1230000 | PA      | $1226619.47   | 0.01%             | 2023-12-20      | Fixed         | 0.78%                 | Yes           |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST KCOT_22-1A                              | KCOT 2022-1A A3                | CUSIP: 50117EAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18060000 | PA      | $17116401.12  | 0.20%             | 2026-10-15      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| COMM 2015-CCRE27 Mortgage Trust                                   | COMM 2015-CR27 A4              | CUSIP: 12635QBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $905956.01    | 0.01%             | 2048-10-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GHY8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9753000 | PA      | $9043123.12   | 0.10%             | 2026-02-13      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 169400000 | PA      | $168526539.72 | 1.94%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                          | TOYOTA MTR CRED                | CUSIP: 89236TJH9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |  50000000 | PA      | $46911946.00  | 0.54%             | 2024-06-18      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_21-4                                | CARMX 2021-4 A3                | CUSIP: 14317JAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14320000 | PA      | $13544219.73  | 0.16%             | 2026-09-15      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-E                        | SOFI 2017-E A2B                | CUSIP: 83404KAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21857 | PA      | $21694.00     | 0.00%             | 2040-11-26      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_21-1                    | VALET 2021-1 A3                | CUSIP: 92868KAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14210000 | PA      | $13486493.59  | 0.15%             | 2026-06-22      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_22-C                     | TAOT 2022-C A4                 | CUSIP: 89231CAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10960000 | PA      | $10599535.46  | 0.12%             | 2028-02-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_19-B                          | HART 2019-B A4                 | CUSIP: 44891JAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9247531 | PA      | $9153768.79   | 0.11%             | 2025-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST ALLYA_22-1                            | ALLYA 2022-1 A3                | CUSIP: 02008JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12080000 | PA      | $11745904.65  | 0.13%             | 2026-11-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL_16-6A                            | NAVSL 2016-6A A2               | CUSIP: 63940LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1939400 | PA      | $1938843.54   | 0.02%             | 2066-03-25      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_20-2               | AMCAR 2020-2 A3                | CUSIP: 03066EAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    821036 | PA      | $818431.54    | 0.01%             | 2024-12-18      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |   1333000 | PA      | $1359711.39   | 0.02%             | 2026-05-08      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A                       | HDMOT 2020-A A3                | CUSIP: 41284UAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    855602 | PA      | $854202.19    | 0.01%             | 2024-10-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-C30                    | WFCM 2015-C30 A4               | CUSIP: 94989NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $664656.93    | 0.01%             | 2058-09-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                  | BANK OF MONTREAL               | CUSIP: 06368FAG4<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  25000000 | PA      | $24162696.50  | 0.28%             | 2024-03-08      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST VZMT_22-6                                    | VZMT 2022-6 A                  | CUSIP: 92348KAZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16200000 | PA      | $15653081.52  | 0.18%             | 2029-01-22      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                   | PHILIP MORRIS IN               | CUSIP: 718172BQ1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5281418.56   | 0.06%             | 2025-08-11      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United Parcel Service Inc                                         | UNITED PARCEL                  | CUSIP: 911312BX3<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    900000 | PA      | $886648.55    | 0.01%             | 2025-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                       | EQUINOR ASA                    | CUSIP: 29446MAJ1<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |   5000000 | PA      | $4572925.05   | 0.05%             | 2026-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2018-C8                | JPMDB 2018-C8 A4               | CUSIP: 46591ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $216157.17    | 0.00%             | 2051-06-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C4 Commercial Mortgage Trust                           | CSAIL 2015-C4 A4               | CUSIP: 12635RAX6<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1426590.00   | 0.02%             | 2048-11-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST AMXCA_22-2           | AMXCA 2022-2 A                 | CUSIP: 02582JJT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  35880000 | PA      | $34830362.89  | 0.40%             | 2027-05-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| SA Global Sukuk Ltd                                               | SA GLOBAL SUKU                 | CUSIP: 78397PAA9<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |   2316000 | PA      | $2177371.60   | 0.03%             | 2024-06-17      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_20-P1                        | CRVNA 2020-P1 A4               | CUSIP: 14687AAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4850000 | PA      | $4496773.53   | 0.05%             | 2026-10-08      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| John Deere Capital Corp                                           | JOHN DEERE CAP                 | CUSIP: 24422EWB1<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |  13570000 | PA      | $12837895.11  | 0.15%             | 2025-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CD 2016-CD1 Mortgage Trust                                        | CD 2016-CD1 AM                 | CUSIP: 12514MBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4248391.68   | 0.05%             | 2049-08-10      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-114 TZ                | CUSIP: 38382URV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3032779 | PA      | $2305433.70   | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST CNH_22-A                                      | CNH 2022-A A4                  | CUSIP: 12660DAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9390000 | PA      | $8769016.76   | 0.10%             | 2029-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust 2016-C4                           | CFCRE 2016-C4 A4               | CUSIP: 12531YAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472000 | PA      | $437299.41    | 0.01%             | 2058-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC EFF_21-3                           | EFF 2021-3 A2                  | CUSIP: 29373MAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8094685 | PA      | $7737987.43   | 0.09%             | 2027-08-20      | Fixed         | 0.77%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GLA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  34000000 | PA      | $33618867.82  | 0.39%             | 2026-07-22      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                 | HSBC HOLDINGS                  | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $9250773.40   | 0.11%             | 2025-05-24      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_21-A                       | HDMOT 2021-A A3                | CUSIP: 41284NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6986992 | PA      | $6829500.56   | 0.08%             | 2026-04-15      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 912810PX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8200000 | PA      | $8711219.16   | 0.10%             | 2038-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13       | MSBAM 2013-C13 A4              | CUSIP: 61763BAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $147066.90    | 0.00%             | 2046-11-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP_19-2A                        | AESOP 2019-2A A                | CUSIP: 05377RDL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12150000 | PA      | $11731047.35  | 0.13%             | 2025-09-22      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group Inc                               | SUMITOMO MITSUI                | CUSIP: 86562MBT6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   7892000 | PA      | $7503316.40   | 0.09%             | 2024-09-27      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-175 DZ                | CUSIP: 38383CC40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149097 | PA      | $103018.22    | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DE LAGE LANDEN FINANCIAL SERVICES INC DLLMT_21-1                  | DLLMT 2021-1A A3               | CUSIP: 23345FAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7330000 | PA      | $6984830.30   | 0.08%             | 2025-07-21      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Home Depot Inc/The                                                | HOME DEPOT INC                 | CUSIP: 437076CR1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   4555000 | PA      | $4497788.11   | 0.05%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET_22-A2               | COMET 2022-A2 A                | CUSIP: 14041NGA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  56140000 | PA      | $54598816.65  | 0.63%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16     | JPMCC 2013-C16 A3              | CUSIP: 46641BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125509 | PA      | $124151.07    | 0.00%             | 2046-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_21-D                      | WOART 2021-D A3                | CUSIP: 98163KAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11160000 | PA      | $10610476.02  | 0.12%             | 2026-10-15      | Fixed         | 0.81%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78016EZD2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   2100000 | PA      | $1999477.03   | 0.02%             | 2027-05-04      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                        | US BANCORP                     | CUSIP: 91159HJH4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   8330000 | PA      | $8489488.10   | 0.10%             | 2026-10-21      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                 | HSBC HOLDINGS                  | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10400547.60  | 0.12%             | 2026-11-03      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co                                        | SOUTHERN CAL GAS               | CUSIP: 842434CM2<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1070589.95   | 0.01%             | 2024-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-B                    | NAROT 2019-B A4                | CUSIP: 65479HAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1033418 | PA      | $1024978.30   | 0.01%             | 2025-12-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST CNH_20-A                                      | CNH 2020-A A4                  | CUSIP: 12597PAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2310000 | PA      | $2205292.55   | 0.03%             | 2027-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Korea National Oil Corp                                           | KOREA NATL OIL                 | CUSIP: 50066RAM8<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | NUSS              | KR        |   5000000 | PA      | $4429475.60   | 0.05%             | 2025-10-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Comm 2013-CCRE13 Mortgage Trust                                   | COMM 2013-CR13 A4              | CUSIP: 12630BBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    837011 | PA      | $825557.76    | 0.01%             | 2046-11-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                        | US BANCORP                     | CUSIP: 91159HJF8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |  19400000 | PA      | $19005918.10  | 0.22%             | 2028-07-22      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CREDIT CARD TRUST EVGRN_21-1                            | EVGRN 2021-1 A                 | CUSIP: 30023JBS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |  14410000 | PA      | $13375833.21  | 0.15%             | 2026-10-15      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-2                 | SDART 2022-2 A3                | CUSIP: 80286MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17240000 | PA      | $16898677.31  | 0.19%             | 2026-10-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_21-B                          | HART 2021-B A4                 | CUSIP: 44934KAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11800000 | PA      | $10697856.40  | 0.12%             | 2027-02-16      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACER AUTO RECEIVABLES TRUST CPART_20-1A                 | CPART 2020-1A A3               | CUSIP: 13645YAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |   2326947 | PA      | $2305971.35   | 0.03%             | 2024-07-19      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                | FHR 5171 NZ                    | CUSIP: 3137H4Q52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    726035 | PA      | $534846.51    | 0.01%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_19-B                          | HART 2020-A A4                 | CUSIP: 44891LAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10777000 | PA      | $10357750.99  | 0.12%             | 2026-06-15      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Sky Ltd                                                           | BRIT SKY BROADCA               | CUSIP: N/A<br>LEI: 2138003TS48MQKF4BZ29       | Long             | DBT              | CORP              | GB        |   2570000 | PA      | $2636072.24   | 0.03%             | 2026-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HARLEY DAVIDSON MOTORCYCLE TRUST HDMOT_22-A                       | HDMOT 2022-A A4                | CUSIP: 41284YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11160000 | PA      | $10575645.66  | 0.12%             | 2030-01-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20       | MSBAM 2015-C20 A4              | CUSIP: 61764RBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1690000 | PA      | $1606870.59   | 0.02%             | 2048-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                              | LOCKHEED MARTIN                | CUSIP: 539830BH1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |  12190000 | PA      | $11840625.58  | 0.14%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CD 2018-CD7 Mortgage Trust                                        | CD 2018-CD7 A4                 | CUSIP: 12512JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $848235.78    | 0.01%             | 2051-08-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-F                        | SOFI 2017-F A2FX               | CUSIP: 83401BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    122468 | PA      | $117745.42    | 0.00%             | 2041-01-25      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| Visa Inc                                                          | VISA INC                       | CUSIP: 92826CAR3<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |   2865000 | PA      | $2877046.07   | 0.03%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST WOART_22-B                       | WOART 2022-B A4                | CUSIP: 98163QAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14430000 | PA      | $13774038.17  | 0.16%             | 2028-03-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-199 ZA                | CUSIP: 38383DJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120112 | PA      | $87148.40     | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                         | TORONTO DOM BANK               | CUSIP: 89114QCA4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1225000 | PA      | $1186292.61   | 0.01%             | 2024-06-12      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Legg Mason Inc                                                    | LEGG MASON INC                 | CUSIP: 524901AT2<br>LEI: OWUNCC6U1ZJXMZKFBJ36 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4905743.90   | 0.06%             | 2024-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_22-1     | GMCAR 2022-1 A4                | CUSIP: 380146AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13020000 | PA      | $11810930.25  | 0.14%             | 2028-04-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 Mortgage Trust                                        | CD 2017-CD6 AM                 | CUSIP: 125039AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $579620.54    | 0.01%             | 2050-11-13      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group Inc                               | SUMITOMO MITSUI                | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  12147000 | PA      | $11069172.40  | 0.13%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-A                     | TAOT 2020-A A4                 | CUSIP: 89232HAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8300000 | PA      | $8071291.84   | 0.09%             | 2025-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Benchmark 2018-B8 Mortgage Trust                                  | BMARK 2018-B8 A4               | CUSIP: 08162UAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $373599.28    | 0.00%             | 2052-01-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Security Benefit Global Funding                                   | SECURITY BENEFIT               | CUSIP: 81412DAA1<br>LEI: 5493003C0JW6BY7YFF93 | Long             | DBT              | CORP              | US        |  14420000 | PA      | $13519805.40  | 0.16%             | 2024-05-17      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-B                      | WOART 2020-B A4                | CUSIP: 98163WAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7420000 | PA      | $7002091.50   | 0.08%             | 2026-01-15      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                         | TORONTO DOM BANK               | CUSIP: 89115A2J0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   8000000 | PA      | $7902136.16   | 0.09%             | 2024-09-13      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| HARLEY DAVIDSON MOTORCYCLE TRUST HDMOT_22-A                       | HDMOT 2022-A A3                | CUSIP: 41284YAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15870000 | PA      | $15427150.82  | 0.18%             | 2027-02-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd                                               | MACQUARIE GROUP                | CUSIP: 55608JBA5<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  35000000 | PA      | $32105945.20  | 0.37%             | 2025-10-14      | Variable      | 1.20%                 | Yes           |                  2 | On Loan: No      |
| Export-Import Bank of Korea                                       | EXP-IMP BK KOREA               | CUSIP: 302154BY4<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |  25000000 | PA      | $23772928.75  | 0.27%             | 2025-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Benchmark 2018-B2 Mortgage Trust                                  | BMARK 2018-B2 A5               | CUSIP: 08161CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $546411.45    | 0.01%             | 2051-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST AMXCA_22-4           | AMXCA 2022-4 A                 | CUSIP: 02582JJX9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19700000 | PA      | $19836568.28  | 0.23%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                         | TORONTO DOM BANK               | CUSIP: 89114QCQ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   4730000 | PA      | $4492217.51   | 0.05%             | 2024-03-04      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Caterpillar Financial Services Corp                               | CATERPILLAR FINL               | CUSIP: 14913R2Y2<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10016119.20  | 0.12%             | 2025-01-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp                                       | AMERICAN HONDA F               | CUSIP: 02665WEA5<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $936137.21    | 0.01%             | 2025-01-13      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Manufacturers & Traders Trust Co                                  | MANUF & TRADERS                | CUSIP: 55279HAT7<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |   4650000 | PA      | $4679381.44   | 0.05%             | 2025-11-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_20-1                   | TALNT 2021-1A A                | CUSIP: 89237MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  32040000 | PA      | $28415391.70  | 0.33%             | 2034-02-27      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST                          | FORDF 2018-4 A                 | CUSIP: 34528PAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4950000 | PA      | $4640476.01   | 0.05%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 780082AM5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  24900000 | PA      | $24797107.72  | 0.28%             | 2025-12-12      | Fixed         | 4.78%                 | Yes           |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_20-2                    | GFORT 2020-2 A                 | CUSIP: 361886CM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9760000 | PA      | $9408437.97   | 0.11%             | 2025-10-15      | Fixed         | 0.69%                 | Yes           |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_19-2                    | GFORT 2019-2 A                 | CUSIP: 361886CD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8400000 | PA      | $8124012.96   | 0.09%             | 2026-04-15      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_22-A        | WOLS 2022-A A4                 | CUSIP: 98163NAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6420000 | PA      | $6170880.25   | 0.07%             | 2027-06-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60660000 | PA      | $58830724.91  | 0.68%             | 2024-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pepper Residential Securities Trust No. 22                        | PEPAU 22A A1U                  | CUSIP: 71338AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    815556 | PA      | $812760.71    | 0.01%             | 2060-06-20      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2018-C44                    | WFCM 2018-C44 A5               | CUSIP: 95001JAX5<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $501527.34    | 0.01%             | 2051-05-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Resimac MBS Trust                                                 | RESI 2018-2A A1A               | CUSIP: 76119TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    362407 | PA      | $361961.70    | 0.00%             | 2050-04-10      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C38                    | WFCM 2017-C38 A5               | CUSIP: 95001MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $479374.27    | 0.01%             | 2050-07-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CREDIT CARD TRUST BACCT_21-A1                     | BACCT 2021-A1 A1               | CUSIP: 05522RDD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8540000 | PA      | $8035223.66   | 0.09%             | 2026-09-15      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PBF2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2767000 | PA      | $2604703.28   | 0.03%             | 2025-10-15      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| CD 2016-CD1 Mortgage Trust                                        | CD 2016-CD1 A4                 | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $489898.42    | 0.01%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2019-GC40                            | GSMS 2019-GC40 A4              | CUSIP: 36257HBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $123106.42    | 0.00%             | 2052-07-10      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE9 Mortgage Trust                                    | COMM 2013-CR9 A4               | CUSIP: 12625UBF9<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |    586781 | PA      | $583168.47    | 0.01%             | 2045-07-10      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                         | TORONTO DOM BANK               | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | Long             | DBT              | CORP              | CA        |    865000 | PA      | $890613.93    | 0.01%             | 2024-04-25      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Five Corners Funding Trust                                        | FIVE COR FND TRS               | CUSIP: 33829TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4506000 | PA      | $4463090.67   | 0.05%             | 2023-11-15      | Fixed         | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                   | DANSKE BANK A/S                | CUSIP: 23636ABA8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3360000 | PA      | $3062297.01   | 0.04%             | 2025-09-10      | Variable      | 0.98%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                               | EUR/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-321891.82   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Truist Bank                                                       | TRUIST BANK                    | CUSIP: 89788JAA7<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    440000 | PA      | $408437.27    | 0.00%             | 2025-03-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                                    | SHELL INTL FIN                 | CUSIP: N/A<br>LEI: 213800ITMMKU4Z7I4F78       | Long             | DBT              | CORP              | NL        |   2117000 | PA      | $2196972.04   | 0.03%             | 2026-03-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9753975.30   | 0.11%             | 2025-04-17      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                  | NTT FINANCE                    | CUSIP: 62954WAC9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |  18891000 | PA      | $16718945.50  | 0.19%             | 2026-04-03      | Fixed         | 1.16%                 | Yes           |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST KCOT_20-2                               | KCOT 2020-2A A4                | CUSIP: 50116YAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4950000 | PA      | $4678737.03   | 0.05%             | 2026-06-15      | Fixed         | 0.73%                 | Yes           |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_22-A        | WOLS 2022-A A3                 | CUSIP: 98163NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3920000 | PA      | $3817145.86   | 0.04%             | 2025-02-18      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Svenska Handelsbanken AB                                          | SVENSKA HNDLSBKN               | CUSIP: 86959LAG8<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |  28500000 | PA      | $26704439.30  | 0.31%             | 2024-06-11      | Fixed         | 0.55%                 | Yes           |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_21-A        | WOLS 2021-A A4                 | CUSIP: 98163JAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7190000 | PA      | $6838639.80   | 0.08%             | 2026-11-16      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE9 Mortgage Trust                                    | COMM 2013-CR9 AM               | CUSIP: 12625UAC7<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |   3169000 | PA      | $3126212.80   | 0.04%             | 2045-07-10      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Honda Motor Co Ltd                                                | HONDA MOTOR CO                 | CUSIP: 438127AA0<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | JP        |  10715000 | PA      | $10146201.30  | 0.12%             | 2025-03-10      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C21               | JPMBB 2014-C21 A4              | CUSIP: 46642EAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139353 | PA      | $135227.93    | 0.00%             | 2047-08-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST TMUST_22-1                                      | TMUST 2022-1A A                | CUSIP: 87267WAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23280000 | PA      | $23193705.70  | 0.27%             | 2028-05-22      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_21-B                        | SRT 2021-B A3                  | CUSIP: 80286DAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14540000 | PA      | $14069184.62  | 0.16%             | 2024-08-20      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust 2017-C7                             | UBSCM 2017-C7 A4               | CUSIP: 90276WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1495000 | PA      | $1377762.10   | 0.02%             | 2050-12-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| MASTER CREDIT CARD TRUST MSTCCT_20-1                              | MCCT 2020-1A A                 | CUSIP: 576339CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |   5680000 | PA      | $5646004.63   | 0.06%             | 2024-09-21      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-142 ZY                | CUSIP: 38382XPT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83817 | PA      | $58360.20     | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                      | COMCAST CORP                   | CUSIP: 20030NBL4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $969996.19    | 0.01%             | 2025-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $283359360.00 | 3.25%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C21                          | WFRBS 2014-C21 A4              | CUSIP: 92939FAT6<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    139059 | PA      | $134306.80    | 0.00%             | 2047-08-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2018-C46                    | WFCM 2018-C46 A4               | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $221339.14    | 0.00%             | 2051-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Rockwell Automation Inc                                           | ROCKWELL AUTOMAT               | CUSIP: 773903AG4<br>LEI: VH3R4HHBHH12O0EXZJ88 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19214637.40  | 0.22%             | 2025-03-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-3                     | HAROT 2020-3 A4                | CUSIP: 43813KAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8970000 | PA      | $8568286.62   | 0.10%             | 2027-04-19      | Fixed         | 0.46%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-LC14                         | WFRBS 2014-LC14 A5             | CUSIP: 96221TAE7<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $489531.00    | 0.01%             | 2047-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                | MITSUB UFJ FIN                 | CUSIP: 606822CA0<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3900000 | PA      | $3585562.07   | 0.04%             | 2025-10-11      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates      | FHMS K046 A2                   | CUSIP: 3137BJP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22000000 | PA      | $21273007.80  | 0.24%             | 2025-03-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| COMET_21-A3                                                       | COMET 2021-A3 A3               | CUSIP: 14041NFY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28550000 | PA      | $26657449.05  | 0.31%             | 2026-11-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                                    | MICROSOFT CORP                 | CUSIP: 594918BB9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9618729.00   | 0.11%             | 2025-02-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C24               | JPMBB 2014-C24 A5              | CUSIP: 46643GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $480666.70    | 0.01%             | 2047-11-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA/NY                                       | COOP RAB UA/NY                 | CUSIP: 21688AAU6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    845000 | PA      | $830369.55    | 0.01%             | 2024-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Harvest Operations Corp                                           | HARVEST OPERATIO               | CUSIP: 41754WAS0<br>LEI: B1EEF6ML54YDWRC6ZK53 | Long             | DBT              | CORP              | CA        |   2000000 | PA      | $1992952.08   | 0.02%             | 2023-06-01      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| BANK 2018-BNK14                                                   | BANK 2018-BN14 A4              | CUSIP: 06035RAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $236917.28    | 0.00%             | 2060-09-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST ALLYA_22-1                            | ALLYA 2022-1 A4                | CUSIP: 02008JAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5930000 | PA      | $5699014.05   | 0.07%             | 2027-06-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -305 | NC      | $417730.88    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Export-Import Bank of Korea                                       | EXP-IMP BK KOREA               | CUSIP: 302154DL0<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |  80000000 | PA      | $74175914.40  | 0.85%             | 2025-01-18      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32       | MSBAM 2016-C32 A3              | CUSIP: 61691GAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284518 | PA      | $266017.18    | 0.00%             | 2049-12-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6135738.49   | 0.07%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2013-C12               | JPMBB 2013-C12 A5              | CUSIP: 46639NAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2043411 | PA      | $2026601.29   | 0.02%             | 2045-07-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Inc                                            | BERKSHIRE HATHWY               | CUSIP: 084670CH9<br>LEI: 5493000C01ZX7D35SD85 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2377523.49   | 0.03%             | 2025-03-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group Inc                               | SUMITOMO MITSUI                | CUSIP: 86562MCC2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    900000 | PA      | $856327.50    | 0.01%             | 2024-01-12      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78016EZH3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  15250000 | PA      | $15041265.47  | 0.17%             | 2024-07-26      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                           | BPCE                           | CUSIP: 05578DAG7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   6241000 | PA      | $6134704.41   | 0.07%             | 2024-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Corp Andina de Fomento                                            | CORP ANDINA FOM                | CUSIP: 219868CC8<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | N/A       |  10000000 | PA      | $9890352.20   | 0.11%             | 2023-05-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GFS3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4867859.45   | 0.06%             | 2025-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Colgate-Palmolive Co                                              | COLGATE-PALM CO                | CUSIP: 194162AM5<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |   4760000 | PA      | $4607052.87   | 0.05%             | 2025-08-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-156 Z                 | CUSIP: 38383ASL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444021 | PA      | $1123920.31   | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $272156250.00 | 3.13%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                                         | APPLE INC                      | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9214733.50   | 0.11%             | 2025-05-11      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2015-MS1                           | MSC 2015-MS1 A3                | CUSIP: 61765DAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4451984 | PA      | $4268541.54   | 0.05%             | 2048-05-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-C                     | TAOT 2020-C A4                 | CUSIP: 89237VAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7770000 | PA      | $7360252.16   | 0.08%             | 2025-10-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_21-1                   | MBART 2021-1 A3                | CUSIP: 58772WAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1720000 | PA      | $1633649.81   | 0.02%             | 2026-06-15      | Fixed         | 0.46%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp                                             | GENERAL DYNAMICS               | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    900000 | PA      | $872616.58    | 0.01%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                | REALTY INCOME                  | CUSIP: 756109BB9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1285875.14   | 0.01%             | 2027-07-13      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon/The                                       | BK OF NY MELLON                | CUSIP: 06405LAC5<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |  10350000 | PA      | $10341339.53  | 0.12%             | 2025-11-21      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                         | PG&E RECOV FND                 | CUSIP: 71710TAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8021949.76   | 0.09%             | 2034-07-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-197 QZ                | CUSIP: 38383DPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5193740 | PA      | $4502338.31   | 0.05%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Export-Import Bank of Korea                                       | EXP-IMP BK KOREA               | CUSIP: 302154DP1<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |  33333000 | PA      | $32773391.93  | 0.38%             | 2024-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp                 | NATL RURAL UTIL                | CUSIP: 63743HFC1<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9382455.00   | 0.11%             | 2025-02-07      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Analog Devices Inc                                                | ANALOG DEVICES                 | CUSIP: 032654AT2<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $24623833.50  | 0.28%             | 2024-10-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9201285.20   | 0.11%             | 2025-10-21      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                | CAN IMPERIAL BK                | CUSIP: 13607HR61<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   6200000 | PA      | $5828263.44   | 0.07%             | 2027-04-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| QatarEnergy Trading LLC                                           | QATAR ENERGY                   | CUSIP: 74730DAB9<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |   7798000 | PA      | $6922429.17   | 0.08%             | 2026-09-12      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                | FHR 5176 Z                     | CUSIP: 3137H4EX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3406417 | PA      | $2522087.22   | 0.03%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                   | BANK 2018-BN10 ASB             | CUSIP: 065404AZ8<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $361601.24    | 0.00%             | 2061-02-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK14                                                   | BANK 2018-BN14 ASB             | CUSIP: 06035RAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $428805.47    | 0.00%             | 2060-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2017-P8                       | CGCMT 2017-P8 AS               | CUSIP: 17326DAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $153474.64    | 0.00%             | 2050-09-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_20-B                          | HART 2020-B A4                 | CUSIP: 44933FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8430000 | PA      | $8074067.70   | 0.09%             | 2025-12-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Caterpillar Financial Services Corp                               | CATERPILLAR FINL               | CUSIP: 14913R2V8<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19450530.60  | 0.22%             | 2025-05-13      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2022-C16                                     | BBCMS 2022-C16 A1              | CUSIP: 05552YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863039 | PA      | $833976.88    | 0.01%             | 2055-06-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST WOART_22-A                       | WOART 2022-A A4                | CUSIP: 98164GAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13580000 | PA      | $12487457.77  | 0.14%             | 2028-03-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-209 ZL                | CUSIP: 38383DV70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737426 | PA      | $593867.88    | 0.01%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88972000 | PA      | $86761597.43  | 1.00%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST MBALT_20-B                         | MBALT 2020-B A4                | CUSIP: 58769EAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4680000 | PA      | $4641069.42   | 0.05%             | 2026-06-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp/The                                  | BANK OF NY MELLO               | CUSIP: 06406RBJ5<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  14300000 | PA      | $14093609.10  | 0.16%             | 2026-07-24      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                  | WELLS FARGO CO                 | CUSIP: 95000U2T9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2574713.76   | 0.03%             | 2025-05-19      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC34                            | GSMS 2015-GC34 A4              | CUSIP: 36250VAD4<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $724747.72    | 0.01%             | 2048-10-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia/The                                           | BANK NOVA SCOTIA               | CUSIP: 0641594A1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   8125000 | PA      | $7208426.47   | 0.08%             | 2026-06-24      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust 2017-C7                             | UBSCM 2017-C7 A3               | CUSIP: 90276WAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4457046 | PA      | $4092341.32   | 0.05%             | 2050-12-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                         | TORONTO DOM BANK               | CUSIP: 89114TZG0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  24300000 | PA      | $21242362.35  | 0.24%             | 2026-09-10      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PAH9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  38468000 | PA      | $37387963.20  | 0.43%             | 2025-03-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Kookmin Bank                                                      | KOOKMIN BANK                   | CUSIP: 50050GAQ1<br>LEI: 549300XXMOJSIW8P4769 | Long             | DBT              | CORP              | KR        |  25000000 | PA      | $23377022.50  | 0.27%             | 2025-02-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Target Corp                                                       | TARGET CORP                    | CUSIP: 87612EBD7<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $12744323.02  | 0.15%             | 2024-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust 2019-C16                            | UBSCM 2019-C16 ASB             | CUSIP: 90276YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214000 | PA      | $198077.44    | 0.00%             | 2052-04-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_20-1                    | VALET 2020-1 A4                | CUSIP: 92868JAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4010000 | PA      | $3868775.82   | 0.04%             | 2026-08-20      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C40                    | WFCM 2017-C40 A4               | CUSIP: 95000YAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160000 | PA      | $1073132.36   | 0.01%             | 2050-10-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                            | UNITEDHEALTH GRP               | CUSIP: 91324PEB4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   4800000 | PA      | $4530826.32   | 0.05%             | 2024-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                              | SIEMENS FINAN                  | CUSIP: 82620KAX1<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |   9445000 | PA      | $8973461.11   | 0.10%             | 2024-03-11      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34       | MSBAM 2017-C34 A4              | CUSIP: 61767EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $424252.53    | 0.00%             | 2052-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST VZMT_22-7                                    | VZMT 2022-7 A1A                | CUSIP: 92348KBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17700000 | PA      | $17778699.51  | 0.20%             | 2027-11-22      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-GC24                            | GSMS 2014-GC24 A5              | CUSIP: 36253GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $106173.60    | 0.00%             | 2047-09-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co                                           | BRISTOL-MYERS                  | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4858331.05   | 0.06%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                | MITSUB UFJ FIN                 | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3500000 | PA      | $3462184.88   | 0.04%             | 2025-07-18      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 Mortgage Trust                                   | COMM 2014-CR17 AM              | CUSIP: 12631DBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $336991.90    | 0.00%             | 2047-05-10      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                                        | INTEL CORP                     | CUSIP: 458140BP4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4867904.05   | 0.06%             | 2025-03-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTIASSET EXECUTION TRUST COMET_22-A1                | COMET 2022-A1 A1               | CUSIP: 14041NFZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28420000 | PA      | $27253972.87  | 0.31%             | 2027-03-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NOTE TRUST DCENT_22-A3                    | DCENT 2022-A3 A3               | CUSIP: 254683CW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  80810000 | PA      | $78322975.28  | 0.90%             | 2027-07-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                 | HSBC HOLDINGS                  | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5425000 | PA      | $5693690.16   | 0.07%             | 2028-11-03      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST PROG_22-SFR5                    | PROG 2022-SFR5 A               | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3939548 | PA      | $3720467.19   | 0.04%             | 2039-06-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Exxon Mobil Corp                                                  | EXXON MOBIL CORP               | CUSIP: N/A<br>LEI: J3WHBG0MTS7O8ZVMDC91       | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2245903.33   | 0.03%             | 2024-06-26      | Fixed         | 0.14%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC MMAF_18-A                              | MMAF 2018-A A4                 | CUSIP: 60700DAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2474315 | PA      | $2466901.76   | 0.03%             | 2025-01-10      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Aventura Mall Trust                                               | AVMT 2018-AVM A                | CUSIP: 05359AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $214474.03    | 0.00%             | 2040-07-05      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                                         | AIG GLOBAL FUNDI               | CUSIP: 00138CAS7<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6537044.99   | 0.08%             | 2024-06-17      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4763000 | PA      | $4290371.99   | 0.05%             | 2026-06-19      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-A                    | NAROT 2020-A A4                | CUSIP: 65479MAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7760000 | PA      | $7446538.68   | 0.09%             | 2027-05-17      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_20-3                                | CARMX 2020-3 A4                | CUSIP: 14315FAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4900000 | PA      | $4644110.24   | 0.05%             | 2026-03-16      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2013-C17               | JPMBB 2013-C17 A4              | CUSIP: 46640UAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2947240 | PA      | $2900322.59   | 0.03%             | 2047-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_19-A                          | HART 2019-A A4                 | CUSIP: 44932NAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    341528 | PA      | $341353.90    | 0.00%             | 2025-05-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-225 Z                 | CUSIP: 38383FWT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4712065 | PA      | $3821098.46   | 0.04%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_21-A        | WOLS 2021-A A3                 | CUSIP: 98163JAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9330000 | PA      | $9073154.43   | 0.10%             | 2024-08-15      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32       | MSBAM 2016-C32 A4              | CUSIP: 61691GAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $555842.46    | 0.01%             | 2049-12-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-GC24                            | GSMS 2014-GC24 AS              | CUSIP: 36253GAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $56981.14     | 0.00%             | 2047-09-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_21-2                  | GMALT 2021-2 A4                | CUSIP: 380144AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5110000 | PA      | $4921082.28   | 0.06%             | 2025-05-20      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C18               | JPMBB 2014-C18 A5              | CUSIP: 46641JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160000 | PA      | $1133778.78   | 0.01%             | 2047-02-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                           | SIMON PROP GP LP               | CUSIP: 828807CV7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9590535.10   | 0.11%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST JDOT_22-A                                  | JDOT 2022-A A4                 | CUSIP: 47787JAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26445000 | PA      | $24805010.68  | 0.28%             | 2029-01-16      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| CDP Financial Inc                                                 | CDP FINANCIAL                  | CUSIP: 125094AQ5<br>LEI: 549300OXMGVYFCBFV096 | Long             | DBT              | NUSS              | CA        |   1750000 | PA      | $1706140.15   | 0.02%             | 2024-07-24      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Harvest Operations Corp                                           | HARVEST OPERATIO               | CUSIP: N/A<br>LEI: B1EEF6ML54YDWRC6ZK53       | Long             | DBT              | CORP              | CA        |   4125000 | PA      | $3893393.63   | 0.04%             | 2024-04-26      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_21-A                          | HART 2021-A A4                 | CUSIP: 44933LAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17030000 | PA      | $15626939.17  | 0.18%             | 2027-05-17      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_22-A                          | HART 2022-A A4                 | CUSIP: 448977AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14750000 | PA      | $13689750.83  | 0.16%             | 2028-04-17      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 310000000 | PA      | $309079672.00 | 3.55%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-B                        | SOFI 2017-B A2FX               | CUSIP: 83403YAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     49240 | PA      | $48563.47     | 0.00%             | 2040-05-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY PHEAA_16-2A       | PHEAA 2016-2A A                | CUSIP: 69343VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4091986 | PA      | $3942313.02   | 0.05%             | 2065-11-25      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2016-UB11                          | MSC 2016-UB11 A4               | CUSIP: 61767FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $541577.10    | 0.01%             | 2049-08-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST HAROT_21-3                     | HAROT 2021-3 A4                | CUSIP: 43815EAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1890000 | PA      | $1727979.18   | 0.02%             | 2027-12-20      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Camden Property Trust                                             | CAMDEN PROP TRST               | CUSIP: 133131AU6<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              | CORP              | US        |   3890000 | PA      | $3839155.99   | 0.04%             | 2024-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-197 ZQ                | CUSIP: 38383DQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7538088 | PA      | $5975008.56   | 0.07%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIMAC Premier Series 2020-1                                     | RESI 2020-1A A1B               | CUSIP: 76120GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   1528089 | PA      | $1526926.84   | 0.02%             | 2052-02-07      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C32               | JPMBB 2015-C32 A4              | CUSIP: 46590JAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4628011.20   | 0.05%             | 2048-11-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Dexia Credit Local SA                                             | DEXIA CRED LOCAL               | CUSIP: 25214BAW4<br>LEI: F4G136OIPBYND1F41110 | Long             | DBT              | CORP              | FR        |  50000000 | PA      | $49361879.50  | 0.57%             | 2023-09-26      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                | FHR 5132 PZ                    | CUSIP: 3137H1TB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1582735 | PA      | $1166540.42   | 0.01%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACCAR Financial Corp                                             | PACCAR FINL CORP               | CUSIP: 69371RR99<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9734455.00   | 0.11%             | 2025-08-11      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK7                                                    | BANK 2017-BNK7 A5              | CUSIP: 06541XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $258281.49    | 0.00%             | 2060-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST ALLYA_22-3                            | ALLYA 2022-3 A3                | CUSIP: 02008DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13780000 | PA      | $13827587.85  | 0.16%             | 2027-04-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_20-A                           | FORDO 2020-A A4                | CUSIP: 34528GAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2660000 | PA      | $2570074.71   | 0.03%             | 2025-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-4   | GMCAR 2019-4 A4                | CUSIP: 36258MAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3810000 | PA      | $3761265.53   | 0.04%             | 2025-01-16      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| DLLST LLC                                                         | DLLST 2022-1A A4               | CUSIP: 23292GAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3060000 | PA      | $2931910.24   | 0.03%             | 2028-09-20      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_21-1               | COPAR 2021-1 A4                | CUSIP: 14044CAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7670000 | PA      | $6977677.42   | 0.08%             | 2027-04-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $13920033.60  | 0.16%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_22-2   | GMCAR 2022-2 A3                | CUSIP: 362585AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14810000 | PA      | $14361890.87  | 0.16%             | 2027-02-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_22-2               | COPAR 2022-2 A4                | CUSIP: 14043GAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14330000 | PA      | $13708671.26  | 0.16%             | 2027-12-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C31               | JPMBB 2015-C31 A3              | CUSIP: 46644YAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    798679 | PA      | $761750.10    | 0.01%             | 2048-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST HAROT_21-2                     | HAROT 2021-2 A4                | CUSIP: 43811JAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10300000 | PA      | $9492213.23   | 0.11%             | 2027-08-16      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-A                        | SOFI 2017-A A1                 | CUSIP: 83404FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    148465 | PA      | $148110.45    | 0.00%             | 2040-03-26      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                               | GBP/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4358.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_22-A                     | TAOT 2022-A A4                 | CUSIP: 89239KAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14960000 | PA      | $13685034.00  | 0.16%             | 2027-05-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2013-LC12                   | WFCM 2013-LC12 AS              | CUSIP: 94988QAN1<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $344624.14    | 0.00%             | 2046-07-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST VZMT_22-2                                    | VZMT 2022-2 A                  | CUSIP: 92348KAH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28530000 | PA      | $26576011.68  | 0.31%             | 2028-07-20      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 6174468T9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  30630000 | PA      | $30510450.80  | 0.35%             | 2023-11-10      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C21                          | WFRBS 2014-C21 A5              | CUSIP: 92939FAU3<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   1583900 | PA      | $1528155.11   | 0.02%             | 2047-08-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Chevron Corp                                                      | CHEVRON CORP                   | CUSIP: 166764BD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9673029.30   | 0.11%             | 2025-11-17      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                              | LOCKHEED MARTIN                | CUSIP: 539830BU2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   4280000 | PA      | $4311590.89   | 0.05%             | 2025-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_22-1                           | FORDR 2022-1 A                 | CUSIP: 34528EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17480000 | PA      | $16703125.87  | 0.19%             | 2034-11-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Benchmark 2018-B1 Mortgage Trust                                  | BMARK 2018-B1 AM               | CUSIP: 08162PAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $53986.42     | 0.00%             | 2051-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 61747YEX9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8181403.12   | 0.09%             | 2026-10-16      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp                                               | NORTHERN TRST CO               | CUSIP: 665859AW4<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4201002.52   | 0.05%             | 2027-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_22-2   | GMCAR 2022-2 A4                | CUSIP: 362585AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13910000 | PA      | $13263861.03  | 0.15%             | 2028-04-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| National Securities Clearing Corp                                 | NATIONAL SECS CL               | CUSIP: 637639AE5<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8870683.50   | 0.10%             | 2025-12-07      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST SMB_16-A                         | SMB 2016-A A2A                 | CUSIP: 78449FAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    112135 | PA      | $108114.31    | 0.00%             | 2031-05-15      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NOTE TRUST DCENT_22-A2                    | DCENT 2022-A2 A                | CUSIP: 254683CS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  52450000 | PA      | $50585864.06  | 0.58%             | 2027-05-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $18745653.40  | 0.22%             | 2025-04-22      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                | REALTY INCOME                  | CUSIP: 756109BD5<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2483207.75   | 0.03%             | 2024-02-06      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST JDOT_20-B                                  | JDOT 2020-B A4                 | CUSIP: 47787NAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4020000 | PA      | $3821682.95   | 0.04%             | 2027-06-15      | Fixed         | 0.72%                 | No            |                  2 | On Loan: No      |
| SYNIT_22-A2                                                       | SYNIT 2022-A2 A                | CUSIP: 87166PAH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  28500000 | PA      | $27786798.90  | 0.32%             | 2028-07-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2015-GC35                     | CGCMT 2015-GC35 A3             | CUSIP: 17324KAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4564609.44   | 0.05%             | 2048-11-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                     | CITIGROUP INC                  | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2954174.58   | 0.03%             | 2025-05-24      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund                 | Vanguard Market Liquidity Fund | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78       | Long             | STIV             | CORP              | US        |    335790 | NS      | $33575654.40  | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd/New York NY             | AUST & NZ BK NY                | CUSIP: 05254JAA8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |  10000000 | PA      | $10034637.30  | 0.12%             | 2025-12-08      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| American Express Co                                               | AMERICAN EXPRESS               | CUSIP: 025816CQ0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   4900000 | PA      | $4629144.81   | 0.05%             | 2025-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-121 ZT                | CUSIP: 38382VMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3874972 | PA      | $2940301.74   | 0.03%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-RC1                    | WFCM 2017-RC1 A4               | CUSIP: 95001FAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246000 | PA      | $229398.05    | 0.00%             | 2060-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING LLC WFLF_22-1A                         | WFLF 2022-1A A                 | CUSIP: 96328GAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16248532 | PA      | $15830812.90  | 0.18%             | 2036-10-18      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -154 | NC      | $185837.89    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-B                    | NAROT 2020-B A4                | CUSIP: 65479CAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5030000 | PA      | $4849317.37   | 0.06%             | 2027-02-16      | Fixed         | 0.71%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST SMB_17-B                         | SMB 2017-B A2A                 | CUSIP: 83189DAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    297811 | PA      | $283830.10    | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                             | ATHENE GLOBAL FU               | CUSIP: 04685A3A7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1320615.58   | 0.02%             | 2024-08-19      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_22-B                           | FORDO 2022-B A3                | CUSIP: 34534LAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22300000 | PA      | $21720179.93  | 0.25%             | 2026-09-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C3 Mortgage Trust                                      | DBJPM 2016-C3 A4               | CUSIP: 23312VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $816458.76    | 0.01%             | 2049-08-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Hudson Yards 2019-30HY Mortgage Trust                             | HY 2019-30HY A                 | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $815887.46    | 0.01%             | 2039-07-10      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| CANADIAN PACER AUTO RECEIVABLES TRUST CPART_19-1                  | CPART 2019-1A A4               | CUSIP: 13646BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |   1196771 | PA      | $1193370.01   | 0.01%             | 2024-06-19      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The                              | PNC FINANCIAL                  | CUSIP: 693475BH7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5061243.25   | 0.06%             | 2025-10-28      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_22-B                     | TAOT 2022-B A4                 | CUSIP: 89238FAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12010000 | PA      | $11355158.35  | 0.13%             | 2027-08-16      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_20-1                   | TALNT 2020-1A A                | CUSIP: 89237JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13400000 | PA      | $12235341.68  | 0.14%             | 2033-05-25      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3     | JPMCC 2016-JP3 A5              | CUSIP: 46590RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $819624.51    | 0.01%             | 2049-08-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_22-C                     | TAOT 2022-C A3                 | CUSIP: 89231CAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20290000 | PA      | $19708790.92  | 0.23%             | 2027-04-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-2   | GMCAR 2019-2 A4                | CUSIP: 36257FAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3597833 | PA      | $3591143.07   | 0.04%             | 2024-08-16      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2017-C7                | JPMDB 2017-C7 AS               | CUSIP: 46648KAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $634410.42    | 0.01%             | 2050-10-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                  | WELLS FARGO CO                 | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8850000 | PA      | $8736037.05   | 0.10%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C58                    | WFCM 2020-C58 ASB              | CUSIP: 95002UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1177681.82   | 0.01%             | 2053-07-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_19-A                           | FORDO 2019-A A4                | CUSIP: 34533FAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7837475 | PA      | $7821708.85   | 0.09%             | 2024-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE OWNER TRUST BMWOT_20-A                                | BMWOT 2020-A A4                | CUSIP: 09661RAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4550000 | PA      | $4331534.03   | 0.05%             | 2027-04-26      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_21-D                      | WOART 2021-D A4                | CUSIP: 98163KAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8060000 | PA      | $7318417.94   | 0.08%             | 2027-11-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST VZMT_21-1                                    | VZMT 2021-1 A                  | CUSIP: 92348KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  40190000 | PA      | $37788044.65  | 0.43%             | 2027-05-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                                    | SHELL INTL FIN                 | CUSIP: 822582BD3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   4500000 | PA      | $4361540.85   | 0.05%             | 2025-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK30                                                   | BANK 2020-BN30 ASB             | CUSIP: 06541UBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $586737.90    | 0.01%             | 2053-12-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_20-1               | COPAR 2022-2 A3                | CUSIP: 14043GAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15660000 | PA      | $15299484.88  | 0.18%             | 2027-05-17      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| KeyBank NA/Cleveland OH                                           | KEY BANK NA                    | CUSIP: 49327M3E2<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3227050.13   | 0.04%             | 2025-08-08      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2015-UBS8                          | MSC 2015-UBS8 A4               | CUSIP: 61691ABL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1880328.80   | 0.02%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_22-D                           | FORDO 2022-D A4                | CUSIP: 345295AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8570000 | PA      | $8647168.57   | 0.10%             | 2028-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                          | TOYOTA MTR CRED                | CUSIP: 89236TKG9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |  11150000 | PA      | $11056223.37  | 0.13%             | 2024-09-20      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                | MITSUB UFJ FIN                 | CUSIP: 606822CQ5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  10000000 | PA      | $9936340.00   | 0.11%             | 2025-09-12      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| CD 2018-CD7 Mortgage Trust                                        | CD 2018-CD7 A3                 | CUSIP: 12512JAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $748197.52    | 0.01%             | 2051-08-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST PROG_22-SFR3                    | PROG 2022-SFR3 A               | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4060000 | PA      | $3655926.06   | 0.04%             | 2039-04-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_20-1               | FORDF 2020-1 A1                | CUSIP: 34528QHK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16380000 | PA      | $15851211.01  | 0.18%             | 2025-09-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | AUD/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-617762.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust 2013-C6                    | UBSBB 2013-C6 AS               | CUSIP: 90349GBH7<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $59500.28     | 0.00%             | 2046-04-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp II                                    | GSMS 2018-GS10 A5              | CUSIP: 36250SAE9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $234168.55    | 0.00%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| PepsiCo Inc                                                       | PEPSICO INC                    | CUSIP: 713448CP1<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   2117000 | PA      | $2215948.04   | 0.03%             | 2026-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4080000.00   | 0.05%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST WOART_22-C                       | WOART 2022-C A4                | CUSIP: 98163TAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11930000 | PA      | $11427074.15  | 0.13%             | 2028-09-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C7 Commercial Mortgage Trust                           | CSAIL 2016-C7 A5               | CUSIP: 12637UAW9<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $834217.83    | 0.01%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                                                | HOME DEPOT INC                 | CUSIP: 437076CM2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4791324.70   | 0.06%             | 2025-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC VFET_20-1                           | VFET 2020-1A A3                | CUSIP: 92888EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11438159 | PA      | $11217626.46  | 0.13%             | 2024-10-15      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| Exxon Mobil Corp                                                  | EXXON MOBIL CORP               | CUSIP: 30231GAF9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $14352068.70  | 0.16%             | 2025-03-06      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-161 ZQ                | CUSIP: 38383A6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2076327 | PA      | $1542416.54   | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-B                     | TAOT 2020-B A4                 | CUSIP: 89239RAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5220000 | PA      | $5042927.68   | 0.06%             | 2025-09-15      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Wisconsin Public Service Corp                                     | WISCONSIN PUBLIC               | CUSIP: 976843BP6<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2021351.10   | 0.02%             | 2025-11-10      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-197 BZ                | CUSIP: 38383DPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000825 | PA      | $1286755.71   | 0.01%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Westpac Securities NZ Ltd/London                                  | WESTPAC SEC NZ                 | CUSIP: N/A<br>LEI: 549300W0N3O6Q4RCKE25       | Long             | DBT              | CORP              | NZ        |   2100000 | PA      | $1950528.84   | 0.02%             | 2026-12-14      | Fixed         | 0.43%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_20-C                           | FORDO 2020-C A4                | CUSIP: 34533YAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18530000 | PA      | $17085340.05  | 0.20%             | 2026-08-15      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25       | MSBAM 2015-C25 A5              | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $189773.04    | 0.00%             | 2048-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_19-A                      | WOART 2019-A A4                | CUSIP: 98162YAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5337675 | PA      | $5328943.21   | 0.06%             | 2025-06-16      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GKE8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9224941.50   | 0.11%             | 2025-12-06      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                     | INTERCONTINENT                 | CUSIP: 45866FAU8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4830070.40   | 0.06%             | 2027-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_22-1                                | CARMX 2022-1 A3                | CUSIP: 14317CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23660000 | PA      | $22470959.60  | 0.26%             | 2026-12-15      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_21-4   | GMCAR 2021-4 A3                | CUSIP: 362554AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14120000 | PA      | $13294803.20  | 0.15%             | 2026-09-16      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-158 PZ                | CUSIP: 38382XU52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3447560 | PA      | $2638455.77   | 0.03%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRAZOS HIGHER EDUCATION AUTHORITY INC BRHEA_11-1                  | BRHEA 2011-1 A2                | CUSIP: 10620NCG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    248958 | PA      | $248725.24    | 0.00%             | 2030-02-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                           | SIMON PROP GP LP               | CUSIP: 828807DG9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   6140000 | PA      | $5838248.35   | 0.07%             | 2024-09-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pepper Residential Securities Trust                               | PEPAU 21A A1U                  | CUSIP: 71336WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     87121 | PA      | $86959.81     | 0.00%             | 2060-01-16      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Korea Development Bank/The                                        | KOREA DEV BANK                 | CUSIP: 500630DB1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |   7000000 | PA      | $6540351.86   | 0.08%             | 2025-02-18      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                           | SIMON PROP GP LP               | CUSIP: 828807CS4<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |  16740000 | PA      | $16254016.37  | 0.19%             | 2024-10-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CREDIT CARD TRUST BACCT_22-A2                     | BACCT 2022-A2 A2               | CUSIP: 05522RDF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16760000 | PA      | $16902161.67  | 0.19%             | 2028-04-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_21-1                    | VALET 2021-1 A4                | CUSIP: 92868KAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9200000 | PA      | $8391826.00   | 0.10%             | 2028-10-20      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 340000000 | PA      | $338831250.00 | 3.89%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp                                       | AMERICAN HONDA F               | CUSIP: 02665WDY4<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   9925000 | PA      | $9283622.98   | 0.11%             | 2024-08-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2014-GC25                     | CGCMT 2014-GC25 A4             | CUSIP: 17322YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2165278.95   | 0.02%             | 2047-10-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_22-P1                        | CRVNA 2022-P1 A3               | CUSIP: 14688DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15500000 | PA      | $14889772.75  | 0.17%             | 2027-02-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2016-UBS9                          | MSC 2016-UBS9 A4               | CUSIP: 61766CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $847286.55    | 0.01%             | 2049-03-15      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp/The                                  | BANK OF NY MELLO               | CUSIP: 06406RAD9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   3420000 | PA      | $3217361.20   | 0.04%             | 2027-05-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co                                              | SAUDI ARAB OIL                 | CUSIP: N/A<br>LEI: 5586006WD91QHB7J4X50       | Long             | DBT              | CORP              | SA        |  14850000 | PA      | $14392713.56  | 0.17%             | 2024-04-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78016EZX8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   6656000 | PA      | $6190215.98   | 0.07%             | 2024-10-07      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NOTE TRUST DCENT_22-4                     | DCENT 2022-A4 A                | CUSIP: 254683CX1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18620000 | PA      | $18798969.85  | 0.22%             | 2027-10-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Caterpillar Financial Services Corp                               | CATERPILLAR FINL               | CUSIP: 14913Q3B3<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   6120000 | PA      | $5835277.16   | 0.07%             | 2024-11-08      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 Mortgage Trust                                   | COMM 2014-CR17 A5              | CUSIP: 12631DBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $486797.65    | 0.01%             | 2047-05-10      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-216 Z                 | CUSIP: 38383D6H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1150456 | PA      | $889605.04    | 0.01%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_20-1                           | FORDR 2020-1 A                 | CUSIP: 34531NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7390000 | PA      | $6936497.87   | 0.08%             | 2031-08-15      | Fixed         | 2.04%                 | Yes           |                  2 | On Loan: No      |
| WHEELS SPV LLC WHLS_20-1                                          | WHLS 2020-1A A3                | CUSIP: 96328DBU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2884107.90   | 0.03%             | 2029-08-20      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-2                     | HAROT 2020-2 A4                | CUSIP: 43813DAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4970000 | PA      | $4812069.30   | 0.06%             | 2026-10-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_22-1                   | TALNT 2022-1A A                | CUSIP: 89231EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25700000 | PA      | $24138478.28  | 0.28%             | 2035-04-25      | Fixed         | 3.82%                 | Yes           |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST FORDL_22-A                           | FORDL 2022-A A4                | CUSIP: 34528LAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9330000 | PA      | $9056278.33   | 0.10%             | 2025-07-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                          | COOPERATIEVE RAB               | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |   3100000 | PA      | $3218545.82   | 0.04%             | 2024-02-27      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| PayPal Holdings Inc                                               | PAYPAL HOLDING                 | CUSIP: 70450YAC7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   6100000 | PA      | $5843602.67   | 0.07%             | 2024-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Arab Petroleum Investments Corp                                   | ARAB PETROLEUM                 | CUSIP: N/A<br>LEI: 213800A54KIUYH5YD185       | Long             | DBT              | CORP              | N/A       |   5882000 | PA      | $5843086.45   | 0.07%             | 2023-09-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-2     | GMCAR 2021-2 A4                | CUSIP: 380149AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8690000 | PA      | $8019082.47   | 0.09%             | 2026-10-16      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BOBL FUTURE  Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -150 | NC      | $573638.03    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co                                                  | WELLS FARGO CO                 | CUSIP: N/A<br>LEI: PBLD0EJDB5FWOLXP3B76       | Long             | DBT              | CORP              | US        |   4025000 | PA      | $4143658.82   | 0.05%             | 2024-04-26      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                                 | EOG RESOURCES IN               | CUSIP: 26875PAM3<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9649071.00   | 0.11%             | 2025-04-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_21-P3                        | CRVNA 2021-P3 A4               | CUSIP: 14687JAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5590000 | PA      | $4855740.64   | 0.06%             | 2027-06-10      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| SA Global Sukuk Ltd                                               | SA GLOBAL SUKU                 | CUSIP: N/A<br>LEI: 5493007DFAVKU7UOGR47       | Long             | DBT              | CORP              | KY        |  23000000 | PA      | $21615360.90  | 0.25%             | 2024-06-17      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET_22-A3               | COMET 2022-A3 A                | CUSIP: 14041NGB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21780000 | PA      | $21922528.32  | 0.25%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2016-BNK2                          | MSC 2016-BNK2 A4               | CUSIP: 61690YBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $136892.28    | 0.00%             | 2049-11-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd                                    | SUMITOMO TR&BK                 | CUSIP: 86563VAZ2<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   3450000 | PA      | $3253618.34   | 0.04%             | 2025-03-10      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C18               | JPMBB 2014-C18 AS              | CUSIP: 46641JBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $679053.13    | 0.01%             | 2047-02-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| MASTER CREDIT CARD TRUST MCCT_22-1A                               | MCCT 2022-1A A                 | CUSIP: 576339CM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |  15820000 | PA      | $14786669.24  | 0.17%             | 2026-07-21      | Fixed         | 1.66%                 | Yes           |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                          | TOYOTA MTR CRED                | CUSIP: 89236TJT3<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   7085000 | PA      | $6636289.10   | 0.08%             | 2025-01-13      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK17                                                   | BANK 2019-BN17 A4              | CUSIP: 065403BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576000 | PA      | $529015.56    | 0.01%             | 2052-04-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Benchmark 2019-B10 Mortgage Trust                                 | BMARK 2019-B10 ASB             | CUSIP: 08162VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194000 | PA      | $182206.16    | 0.00%             | 2062-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| RESIMAC Bastille Trust Series 2018-1NC                            | RESI 2018-1NCA A1              | CUSIP: 76118VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    131569 | PA      | $131387.68    | 0.00%             | 2059-12-05      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_21-C                          | HART 2021-C A4                 | CUSIP: 44935FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1790000 | PA      | $1619182.45   | 0.02%             | 2027-12-15      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13     | JPMCC 2013-C13 A4              | CUSIP: 46640JAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465949 | PA      | $463369.11    | 0.01%             | 2046-01-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST                                    | HART 2021-C A3                 | CUSIP: 44935FAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5140000 | PA      | $4843518.63   | 0.06%             | 2026-05-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| American Express Co                                               | AMERICAN EXPRESS               | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  22500000 | PA      | $22049960.40  | 0.25%             | 2025-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-A                      | WOART 2020-A A3                | CUSIP: 98163MAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    325427 | PA      | $320552.13    | 0.00%             | 2025-04-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2017-C4                       | CGCMT 2017-C4 A4               | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $475324.46    | 0.01%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_19-4                                | CARMX 2019-4 A4                | CUSIP: 14315WAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3830000 | PA      | $3732595.06   | 0.04%             | 2025-07-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-6                 | SDART 2022-6 A3                | CUSIP: 802918AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19650000 | PA      | $19260305.13  | 0.22%             | 2026-11-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp                                       | AMERICAN HONDA F               | CUSIP: 02665WDS7<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   9070000 | PA      | $8480904.04   | 0.10%             | 2024-07-12      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                | MET LIFE GLOB                  | CUSIP: 59217GGV5<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   4210000 | PA      | $4013849.95   | 0.05%             | 2024-01-07      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS3                             | GSMS 2016-GS3 A4               | CUSIP: 36251PAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $527008.47    | 0.01%             | 2049-10-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST KCOT_20-2                               | KCOT 2020-2A A3                | CUSIP: 50116YAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11087834 | PA      | $10847148.25  | 0.12%             | 2024-10-15      | Fixed         | 0.59%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-GC36                     | CGCMT 2016-GC36 A4             | CUSIP: 17324TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570000 | PA      | $537181.62    | 0.01%             | 2049-02-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C32               | JPMBB 2015-C32 A5              | CUSIP: 46590JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $565971.78    | 0.01%             | 2048-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-5                 | SDART 2022-5 A3                | CUSIP: 80287HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26770000 | PA      | $26211634.02  | 0.30%             | 2026-08-17      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2013-C15                          | WFRBS 2013-C15 A4              | CUSIP: 92938CAD9<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    526000 | PA      | $517156.89    | 0.01%             | 2046-08-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_21-B                | HALST 2021-B A3                | CUSIP: 44891VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5470000 | PA      | $5387423.79   | 0.06%             | 2024-06-17      | Fixed         | 0.33%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                | FHR 5171 Z                     | CUSIP: 3137H4KJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350632 | PA      | $232418.08    | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Co                                      | BERKSHIRE HATHAW               | CUSIP: 084659AT8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   2565000 | PA      | $2528113.61   | 0.03%             | 2025-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                 | FNR 2021-82 ZW                 | CUSIP: 3136BKFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2333001 | PA      | $1730241.21   | 0.02%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp                                             | TRUIST FINANCIAL               | CUSIP: 89788MAH5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9837366.10   | 0.11%             | 2026-07-28      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Abu Dhabi National Energy Co PJSC                                 | TAQA ABU DHABI                 | CUSIP: N/A<br>LEI: 213800UNJSVQFNUYYW03       | Long             | DBT              | CORP              | AE        |    543000 | PA      | $542015.81    | 0.01%             | 2023-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST DEFT_20-2                            | DEFT 2020-2 A3                 | CUSIP: 24704GAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8411908 | PA      | $8332281.26   | 0.10%             | 2023-10-23      | Fixed         | 0.57%                 | Yes           |                  2 | On Loan: No      |
| GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_20-3   | GMCAR 2020-3 A4                | CUSIP: 362590AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13500000 | PA      | $12765828.15  | 0.15%             | 2026-01-16      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC EFF_22-1                           | EFF 2022-1 A2                  | CUSIP: 29375JAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14819759 | PA      | $14439022.08  | 0.17%             | 2028-01-20      | Fixed         | 3.03%                 | Yes           |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST CNH_22-B                                      | CNH 2022-B A4                  | CUSIP: 12663JAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5460000 | PA      | $5226635.78   | 0.06%             | 2028-03-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15       | MSBAM 2014-C15 A3              | CUSIP: 61763KAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451360 | PA      | $447814.36    | 0.01%             | 2047-04-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2016-C37                    | WFCM 2016-C37 A4               | CUSIP: 95000PAD6<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $243336.26    | 0.00%             | 2049-12-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2020-GSA2                            | GSMS 2020-GSA2 A5              | CUSIP: 36264KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1360000 | PA      | $1056246.58   | 0.01%             | 2053-12-12      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Deere & Co                                                        | DEERE & CO                     | CUSIP: 244199BH7<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19213750.00  | 0.22%             | 2025-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_21-C                        | SRT 2021-C A4                  | CUSIP: 80286CAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5340000 | PA      | $5045441.86   | 0.06%             | 2026-03-20      | Fixed         | 0.59%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14       | MSBAM 2014-C14 AS              | CUSIP: 61690GAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $243325.68    | 0.00%             | 2047-02-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2018-C5                       | CGCMT 2018-C5 A4               | CUSIP: 17291DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $217789.62    | 0.00%             | 2051-06-10      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2016-C32                    | WFCM 2016-C32 A4               | CUSIP: 94989YAZ6<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $843522.39    | 0.01%             | 2059-01-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-193 Z                 | CUSIP: 38383DRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1341507 | PA      | $1004236.07   | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5902524.48   | 0.07%             | 2026-07-17      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 Mortgage Trust                                        | CD 2017-CD6 A5                 | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1129538 | PA      | $1031629.19   | 0.01%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| VERIZON OWNER TRUST VZOT_20-1A                                    | VZMT 2021-2 A                  | CUSIP: 92348KAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11230000 | PA      | $10472306.29  | 0.12%             | 2028-04-20      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| WHEELS SPV LLC WHLS_20-1                                          | WHLS 2020-1A A2                | CUSIP: 96328DBT0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1911280 | PA      | $1888190.17   | 0.02%             | 2029-08-20      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| CK Hutchison Europe Finance 18 Ltd                                | CK HUTCHISON E F               | CUSIP: N/A<br>LEI: 2549003J58N9TB141B68       | Long             | DBT              | CORP              | KY        |   2790000 | PA      | $2798066.52   | 0.03%             | 2025-04-13      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23       | MSBAM 2015-C23 A4              | CUSIP: 61690QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1374192.12   | 0.02%             | 2050-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_22-B                        | SRT 2022-B A4                  | CUSIP: 80287UAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14630000 | PA      | $14037008.06  | 0.16%             | 2026-10-20      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST KCOT_20-1                               | KCOT 2020-1A A3                | CUSIP: 50117WAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2242710 | PA      | $2229177.18   | 0.03%             | 2024-03-15      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-122 BZ                | CUSIP: 38382WAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289373 | PA      | $246122.40    | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK6                                                    | BANK 2017-BNK6 A5              | CUSIP: 060352AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $389580.49    | 0.00%             | 2060-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_21-1               | COPAR 2021-1 A3                | CUSIP: 14044CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10630000 | PA      | $9999747.30   | 0.11%             | 2026-09-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 206000000 | PA      | $198178427.20 | 2.28%             | 2023-11-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                | MITSUB UFJ FIN                 | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2711000 | PA      | $2538195.68   | 0.03%             | 2025-02-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CR14 Mortgage Trust                                     | COMM 2014-CR14 A3              | CUSIP: 12630DAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20000 | PA      | $19686.55     | 0.00%             | 2047-02-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_22-4     | GMCAR 2022-4 A4                | CUSIP: 36265QAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  24810000 | PA      | $24710906.38  | 0.28%             | 2028-08-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Honeywell International Inc                                       | HONEYWELL INTL                 | CUSIP: 438516CB0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9251212.20   | 0.11%             | 2025-06-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_22-2                                | CARMX 2022-2 A3                | CUSIP: 14317HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11460000 | PA      | $11144804.16  | 0.13%             | 2027-02-16      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -205 | NC      | $922695.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_22-D                     | TAOT 2022-D A4                 | CUSIP: 89239HAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13400000 | PA      | $13613211.42  | 0.16%             | 2028-04-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG/London                                           | CREDIT SUISSE LD               | CUSIP: N/A<br>LEI: ANGGYXNX0JLX3X63JN86       | Long             | DBT              | CORP              | CH        |   2400000 | PA      | $2218102.57   | 0.03%             | 2026-04-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE OWNER TRUST BMWOT_22-A                                | BMWOT 2022-A A4                | CUSIP: 05602RAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14200000 | PA      | $13611732.34  | 0.16%             | 2028-12-26      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| University of California                                          | UNIV OF CALIFORNIA-BG          | CUSIP: 91412HGE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  27000000 | PA      | $24762177.90  | 0.28%             | 2025-05-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CDR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 127000000 | PA      | $122098587.40 | 1.40%             | 2023-12-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Intuit Inc                                                        | INTUIT INC                     | CUSIP: 46124HAB2<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4553331.80   | 0.05%             | 2025-07-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST HAROT_21-3                     | HAROT 2021-4 A4                | CUSIP: 43815GAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5420000 | PA      | $4963934.64   | 0.06%             | 2028-06-21      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia/The                                           | BANK NOVA SCOTIA               | CUSIP: 06417XAB7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   6400000 | PA      | $5956443.46   | 0.07%             | 2025-01-10      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| NongHyup Bank                                                     | NONGHYUP BANK                  | CUSIP: 65540JAF5<br>LEI: 988400GSDJCW3LKJBD20 | Long             | DBT              | CORP              | KR        |  20000000 | PA      | $18663478.00  | 0.21%             | 2024-07-28      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                               | EURO-SCHATZ FUT   Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -121 | NC      | $146219.56    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| 3M Co                                                             | 3M CO                          | CUSIP: 88579YBM2<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    900000 | PA      | $859781.93    | 0.01%             | 2025-04-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_21-A                | HALST 2021-A A4                | CUSIP: 44891TAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4730000 | PA      | $4653829.50   | 0.05%             | 2024-12-16      | Fixed         | 0.42%                 | Yes           |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST ALLYA_19-3                            | ALLYA 2019-3 A3                | CUSIP: 02007RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    446330 | PA      | $445898.99    | 0.01%             | 2024-05-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SCDS: (CHILE)                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -1920000 | NC      | $-7542.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC MMAF_20-A                              | MMAF 2020-A A3                 | CUSIP: 60700MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20500000 | PA      | $18981899.15  | 0.22%             | 2027-04-09      | Fixed         | 0.97%                 | Yes           |                  2 | On Loan: No      |
| American Express Co                                               | AMERICAN EXPRESS               | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   8424000 | PA      | $8256620.43   | 0.09%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST ARIFL_22-A                                  | ARIFL 2022-A A3                | CUSIP: 00217QAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4150000 | PA      | $3967187.94   | 0.05%             | 2031-01-15      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Carolinas NC Storm Funding LLC                        | DUKE ENERGY CAR                | CUSIP: 26443KAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5364964 | PA      | $4337182.01   | 0.05%             | 2033-07-01      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| John Deere Capital Corp                                           | JOHN DEERE CAP                 | CUSIP: 24422EWF2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   8315000 | PA      | $8076199.19   | 0.09%             | 2025-06-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                                    | AMAZON.COM INC                 | CUSIP: 023135CM6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |  40000000 | PA      | $39982361.20  | 0.46%             | 2024-11-29      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A                       | HDMOT 2020-A A4                | CUSIP: 41284UAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3640000 | PA      | $3586603.02   | 0.04%             | 2027-04-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_22-B                           | FORDO 2022-B A4                | CUSIP: 34534LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8900000 | PA      | $8571789.36   | 0.10%             | 2027-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                     | CITIGROUP INC                  | CUSIP: 172967ND9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1842465.24   | 0.02%             | 2025-11-03      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                  | BANK OF MONTREAL               | CUSIP: 06367TQW3<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  13530000 | PA      | $12642262.33  | 0.15%             | 2024-07-09      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                                | F&G GLOBAL FUND                | CUSIP: 30321L2B7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   2244000 | PA      | $2053908.45   | 0.02%             | 2024-09-20      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC EFF_21-2                           | EFF 2021-2 A2                  | CUSIP: 29374YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7734234 | PA      | $7403324.09   | 0.09%             | 2027-05-20      | Fixed         | 0.48%                 | Yes           |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST WOART_22-C                       | WOART 2022-C A3                | CUSIP: 98163TAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11060000 | PA      | $10702756.47  | 0.12%             | 2027-10-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST TESLA_21-B                                 | TESLA 2021-B A4                | CUSIP: 88161KAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4620000 | PA      | $4329640.85   | 0.05%             | 2025-09-22      | Fixed         | 0.63%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                | FHR 4604 DB                    | CUSIP: 3137BRMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.04         | 0.00%             | 2046-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK12                                                   | BANK 2018-BN12 A4              | CUSIP: 06541KBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $238223.50    | 0.00%             | 2061-05-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Korea Development Bank/The                                        | KOREA DEV BANK                 | CUSIP: 500630DQ8<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |  20000000 | PA      | $18784496.80  | 0.22%             | 2025-02-24      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_22-1                   | MBART 2022-1 A4                | CUSIP: 58768PAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26130000 | PA      | $26029140.81  | 0.30%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_21-3               | AMCAR 2021-3 A3                | CUSIP: 03066JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8010000 | PA      | $7618764.37   | 0.09%             | 2026-08-18      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC EFF_19-3                           | EFF 2019-3 A2                  | CUSIP: 29374WAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250248 | PA      | $249848.22    | 0.00%             | 2025-05-20      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5720000 | PA      | $5335198.04   | 0.06%             | 2025-06-01      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PCT1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $13879087.50  | 0.16%             | 2025-12-10      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Unilever Finance Netherlands BV                                   | UNILEVER FINANCE               | CUSIP: N/A<br>LEI: 549300SWJ4YK4LLNT176       | Long             | DBT              | CORP              | NL        |   2400000 | PA      | $2456398.35   | 0.03%             | 2025-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_21-C                     | TAOT 2021-C A4                 | CUSIP: 89239BAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15170000 | PA      | $13667558.65  | 0.16%             | 2027-01-15      | Fixed         | 0.72%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_21-1               | AMCAR 2021-1 A3                | CUSIP: 03063FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12468216 | PA      | $12196467.79  | 0.14%             | 2025-08-18      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| Pepper Residential Securities Trust No. 23                        | PEPAU 23A A1U                  | CUSIP: 71338BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    465064 | PA      | $463151.00    | 0.01%             | 2060-08-18      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Public Storage                                                    | PUBLIC STORAGE                 | CUSIP: 74460WAB3<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   6465000 | PA      | $6417473.39   | 0.07%             | 2024-04-23      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_21-B                        | SRT 2021-B A4                  | CUSIP: 80286DAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7460000 | PA      | $7051887.27   | 0.08%             | 2025-06-20      | Fixed         | 0.54%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates      | FHMS K044 A2                   | CUSIP: 3137BHCY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19469118 | PA      | $18729533.34  | 0.22%             | 2025-01-25      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                 | FNR 2021-92 Z                  | CUSIP: 3136BKF72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2326485 | PA      | $1742102.01   | 0.02%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Roche Holdings Inc                                                | ROCHE HLDGS INC                | CUSIP: 771196BU5<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19297185.60  | 0.22%             | 2024-03-08      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2014-GC23                     | CGCMT 2014-GC23 AS             | CUSIP: 17322VAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $243366.21    | 0.00%             | 2047-07-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                  | BANK OF MONTREAL               | CUSIP: 06367WHH9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   5234000 | PA      | $5136409.71   | 0.06%             | 2024-02-05      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACER AUTO RECEIVABLES TRUST CPART_21-1                  | CPART 2021-1A A3               | CUSIP: 13646CAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |  10290126 | PA      | $9914681.95   | 0.11%             | 2025-10-20      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                                | F&G GLOBAL FUND                | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   2361000 | PA      | $2104535.55   | 0.02%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 6174468J1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2854000 | PA      | $2730263.20   | 0.03%             | 2025-07-22      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Progressive Corp/The                                              | PROGRESSIVE CORP               | CUSIP: 743315AY9<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1926099.80   | 0.02%             | 2027-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16       | MSBAM 2014-C16 AS              | CUSIP: 61763MAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465000 | PA      | $446648.82    | 0.01%             | 2047-06-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27       | MSBAM 2015-C27 A3              | CUSIP: 61690AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4608562 | PA      | $4427715.48   | 0.05%             | 2047-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                   | PHILIP MORRIS IN               | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |  20175000 | PA      | $20278175.56  | 0.23%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2013-GCJ12                           | GSMS 2013-GC12 A4              | CUSIP: 36197XAK0<br>LEI: 549300SSCQUZ3RRV2T53 | Long             | ABS-MBS          | CORP              | US        |   1175512 | PA      | $1165460.55   | 0.01%             | 2046-06-10      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | AUD/USD FWD 20230131           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-671122.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                 | FNR 2021-83 DZ                 | CUSIP: 3136BKGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    848196 | PA      | $631854.96    | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-154 DZ                | CUSIP: 38383AHJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    651335 | PA      | $451223.44    | 0.01%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 116100000 | PA      | $112707697.32 | 1.29%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_21-2                                | CARMX 2021-2 A4                | CUSIP: 14314QAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7160000 | PA      | $6551679.24   | 0.08%             | 2026-12-15      | Fixed         | 0.81%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_22-1               | AMCAR 2022-1 A3                | CUSIP: 03066TAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  29820000 | PA      | $28672726.19  | 0.33%             | 2026-11-18      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2016-C4                | JPMDB 2016-C4 A3               | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $73054.26     | 0.00%             | 2049-12-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates      | FHMS K041 A2                   | CUSIP: 3137BFE98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34000000 | PA      | $33033349.40  | 0.38%             | 2024-10-25      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     -1319 | NC      | $1722823.48   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com Inc                                                    | AMAZON.COM INC                 | CUSIP: 023135CN4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |  40000000 | PA      | $39950322.40  | 0.46%             | 2025-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                                    | MERCK & CO INC                 | CUSIP: 58933YAR6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |  32027000 | PA      | $30702364.88  | 0.35%             | 2025-02-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-205 ZL                | CUSIP: 38383C3L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762900 | PA      | $428804.06    | 0.00%             | 2051-11-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST TESLA_21-B                                 | TESLA 2021-B A3                | CUSIP: 88161KAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8970000 | PA      | $8446186.09   | 0.10%             | 2025-09-22      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                       | GOLDMAN SACHS GP               | CUSIP: N/A<br>LEI: 784F5XWPLTWKTBV3E584       | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1405144.21   | 0.02%             | 2026-06-03      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B19 Mortgage Trust                                 | BMARK 2020-B19 AAB             | CUSIP: 08162WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $845562.60    | 0.01%             | 2053-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DE LAGE LANDEN FINANCIAL SERVICES INC DLLMT_21-1                  | DLLMT 2021-1A A4               | CUSIP: 23345FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4890000 | PA      | $4499953.06   | 0.05%             | 2029-06-20      | Fixed         | 1.24%                 | Yes           |                  2 | On Loan: No      |
| Bank 2019-BNK19                                                   | BANK 2019-BN19 A3              | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $414151.40    | 0.00%             | 2061-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| EDSOUTH INDENTURE NO 5 LLC EDUSA_15-1                             | EDUSA 2015-1 A                 | CUSIP: 281378AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    280435 | PA      | $277299.23    | 0.00%             | 2056-10-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                    | MORGAN STANLEY                 | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  22500000 | PA      | $21308265.68  | 0.24%             | 2025-01-22      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| MASTER CREDIT CARD TRUST MCCT_21-1A                               | MCCT 2021-1A A                 | CUSIP: 576339CJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |  36840000 | PA      | $34602618.38  | 0.40%             | 2025-11-21      | Fixed         | 0.53%                 | Yes           |                  2 | On Loan: No      |
| Walmart Inc                                                       | WALMART INC                    | CUSIP: 931142EW9<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9853420.80   | 0.11%             | 2025-09-09      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Toyota Finance Australia Ltd                                      | TOYOTA FIN AUSTR               | CUSIP: N/A<br>LEI: 3UKPTDP5PGQRH8AUK042       | Long             | DBT              | CORP              | AU        |   2400000 | PA      | $2398080.24   | 0.03%             | 2025-01-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46625HMN7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9784941.30   | 0.11%             | 2025-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_21-4   | GMCAR 2021-4 A4                | CUSIP: 362554AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7000000 | PA      | $6369778.80   | 0.07%             | 2027-10-18      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-C49                    | WFCM 2019-C49 ASB              | CUSIP: 95001WAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $218584.78    | 0.00%             | 2052-03-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-C29                    | WFCM 2015-C29 A4               | CUSIP: 94989KAV5<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1187694.38   | 0.01%             | 2048-06-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| DBJPM 2017-C6 Mortgage Trust                                      | DBJPM 2017-C6 A5               | CUSIP: 23312JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $676501.64    | 0.01%             | 2050-06-10      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2014-GC21                     | CGCMT 2014-GC21 A5             | CUSIP: 17322MAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054100 | PA      | $1025488.67   | 0.01%             | 2047-05-10      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_19-A                     | TAOT 2019-A A4                 | CUSIP: 89239AAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2193735 | PA      | $2191117.09   | 0.03%             | 2024-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DLLAA_21-1                                                        | DLLAA 2021-1A A3               | CUSIP: 23291YAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22900000 | PA      | $21694942.46  | 0.25%             | 2026-04-17      | Fixed         | 0.67%                 | Yes           |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_19-1               | COPAR 2019-1 A4                | CUSIP: 14042WAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3498928 | PA      | $3496361.82   | 0.04%             | 2024-10-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-3                  | GMALT 2020-3 A4                | CUSIP: 362569AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2450892 | PA      | $2444038.14   | 0.03%             | 2024-10-21      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14500000 | PA      | $13844249.97  | 0.16%             | 2026-04-02      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bond                  | REP OF POLAND                  | CUSIP: 857524AD4<br>LEI: N/A                  | Long             | DBT              | NUSS              | PL        |   2500000 | PA      | $2568184.28   | 0.03%             | 2027-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C3 Commercial Mortgage Trust                           | CSAIL 2015-C3 A3               | CUSIP: 12635FAS3<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |   1261288 | PA      | $1194236.16   | 0.01%             | 2048-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                              | BANK OF AMER CRP               | CUSIP: 06051GFB0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7928467.60   | 0.09%             | 2024-01-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19871569.20  | 0.23%             | 2024-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                | META PLATFORMS                 | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |  10964000 | PA      | $10218449.32  | 0.12%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST ALLYA_22-3                            | ALLYA 2022-3 A4                | CUSIP: 02008DAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4130000 | PA      | $4158959.97   | 0.05%             | 2031-06-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST HAROT_22-2                     | HAROT 2022-2 A3                | CUSIP: 43815PAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14470000 | PA      | $14148692.20  | 0.16%             | 2026-07-20      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2015-GC31                     | CGCMT 2015-GC31 A4             | CUSIP: 17323YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $807850.29    | 0.01%             | 2048-06-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Benchmark 2018-B1 Mortgage Trust                                  | BMARK 2018-B1 A5               | CUSIP: 08162PAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $494848.02    | 0.01%             | 2051-01-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co                                              | SAUDI ARAB OIL                 | CUSIP: 80414L2G9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |   3000000 | PA      | $2886252.93   | 0.03%             | 2023-11-24      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_21-C                     | TAOT 2021-C A3                 | CUSIP: 89239BAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19620000 | PA      | $18607086.11  | 0.21%             | 2026-01-15      | Fixed         | 0.43%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                           | SIMON PROP GP LP               | CUSIP: 828807CR6<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   9346000 | PA      | $9209287.55   | 0.11%             | 2024-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST CNH_22-A                                      | CNH 2022-A A3                  | CUSIP: 12660DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10960000 | PA      | $10492121.98  | 0.12%             | 2027-07-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_21-P3                        | CRVNA 2021-P3 A3               | CUSIP: 14687JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11650000 | PA      | $10845111.99  | 0.12%             | 2026-11-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST CNH_22-B                                      | CNH 2022-B A3                  | CUSIP: 12663JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10540000 | PA      | $10154308.73  | 0.12%             | 2027-08-16      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_20-2               | FORDF 2020-2 A                 | CUSIP: 34528QHQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22350000 | PA      | $20122013.43  | 0.23%             | 2027-09-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9279266.40   | 0.11%             | 2026-04-22      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GS1                             | GSMS 2015-GS1 A2               | CUSIP: 36252AAB2<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4501330.54   | 0.05%             | 2048-11-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC EFF_20-2                           | EFF 2020-2 A2                  | CUSIP: 29375MAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7111552 | PA      | $6935422.73   | 0.08%             | 2026-07-20      | Fixed         | 0.61%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24824220.00  | 0.29%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-LC14                         | WFRBS 2014-LC14 A4             | CUSIP: 96221TAD9<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |     39855 | PA      | $39124.68     | 0.00%             | 2047-03-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST HAROT_22-2                     | HAROT 2022-2 A4                | CUSIP: 43815PAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6080000 | PA      | $5872701.18   | 0.07%             | 2028-12-18      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC VFET_20-1                           | VFET 2020-1A A4                | CUSIP: 92888EAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3765850.80   | 0.04%             | 2028-03-15      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_21-C                      | WOART 2021-C A3                | CUSIP: 98164CAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13360000 | PA      | $12773793.93  | 0.15%             | 2026-08-17      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CREDIT CARD TRUST BACCT_22-A1                     | BACCT 2022-A1 A1               | CUSIP: 05522RDE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18130000 | PA      | $17626805.48  | 0.20%             | 2027-11-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK6                                                    | BANK 2017-BNK6 AS              | CUSIP: 060352AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $26919.30     | 0.00%             | 2060-07-15      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                  | NTT FINANCE                    | CUSIP: 62954WAB1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   9045000 | PA      | $8578931.95   | 0.10%             | 2024-03-01      | Fixed         | 0.58%                 | Yes           |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST NALT_20-B                                 | NALT 2020-B A4                 | CUSIP: 65480EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5800000 | PA      | $5776627.74   | 0.07%             | 2026-01-15      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                            | UNITEDHEALTH GRP               | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9787587.90   | 0.11%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-A                        | SOFI 2017-A A2B                | CUSIP: 83404FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    125211 | PA      | $123970.59    | 0.00%             | 2040-03-26      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| Chile Government International Bond                               | CHILE                          | CUSIP: 168863DX3<br>LEI: N/A                  | Long             | DBT              | NUSS              | CL        |  13569000 | PA      | $12488523.73  | 0.14%             | 2027-01-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Analog Devices Inc                                                | ANALOG DEVICES                 | CUSIP: 032654AS4<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4802122.25   | 0.06%             | 2025-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK20                                                   | BANK 2019-BN20 A3              | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $87251.18     | 0.00%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                              | SIEMENS FINAN                  | CUSIP: 82620KAE3<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |  31218000 | PA      | $30128682.23  | 0.35%             | 2025-05-27      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia/The                                           | BANK NOVA SCOTIA               | CUSIP: 06417XAL5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $5005132.10   | 0.06%             | 2024-12-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Nestle Holdings Inc                                               | NESTLE HOLDINGS                | CUSIP: 641062BA1<br>LEI: 549300EAEU8YV8MQXP30 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9859116.50   | 0.11%             | 2025-09-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                  | US TREASURY N/B                | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 334000000 | PA      | $327111250.00 | 3.76%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II  LLC CFII_20-1                              | CFII 2020-1A A1                | CUSIP: 165183CJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6494102 | PA      | $6433762.16   | 0.07%             | 2032-08-16      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc                                                     | CITIGROUP INC                  | CUSIP: 17327CAN3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4975000 | PA      | $4606758.21   | 0.05%             | 2026-01-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2016-BNK1                   | WFCM 2016-BNK1 A3              | CUSIP: 95000GAY0<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $252933.86    | 0.00%             | 2049-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PACCAR Financial Corp                                             | PACCAR FINL CORP               | CUSIP: 69371RR81<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |  13335000 | PA      | $13015676.49  | 0.15%             | 2024-06-13      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                             | ATHENE GLOBAL FU               | CUSIP: 04685A2S9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   4445000 | PA      | $4230860.44   | 0.05%             | 2024-01-08      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST AMXCA_22-3           | AMXCA 2022-3 A                 | CUSIP: 02582JJV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  83250000 | PA      | $81304322.63  | 0.93%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                     | CITIGROUP INC                  | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6085000 | PA      | $5899199.03   | 0.07%             | 2025-04-24      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Temasek Financial I Ltd                                           | TEMASEK FINL I                 | CUSIP: 87973PAC8<br>LEI: 549300XMGMDF3VRJMF12 | Long             | DBT              | CORP              | SG        |   5000000 | PA      | $4994297.85   | 0.06%             | 2023-01-23      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Ooredoo International Finance Ltd                                 | QTEL INTL FIN                  | CUSIP: N/A<br>LEI: 549300BHXCDJ03WU7N77       | Long             | DBT              | CORP              | BM        |  15790000 | PA      | $15753041.93  | 0.18%             | 2023-02-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_22-2                                | CARMX 2022-2 A4                | CUSIP: 14317HAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11400000 | PA      | $10964936.10  | 0.13%             | 2027-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC HERTZ_22-1                        | HERTZ 2022-1A A                | CUSIP: 42806MAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12330000 | PA      | $11360167.82  | 0.13%             | 2026-06-25      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp                                             | BB&T CORPORATION               | CUSIP: 05531FBH5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |  11215000 | PA      | $10768825.36  | 0.12%             | 2024-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Japan Bank for International Cooperation                          | JAPAN BANK COOP                | CUSIP: 471048BY3<br>LEI: 549300TJ3QFYVCTSCJ29 | Long             | DBT              | NUSS              | JP        |   5000000 | PA      | $4836599.85   | 0.06%             | 2024-05-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                                                  | EXXON MOBIL CORP               | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |  13600000 | PA      | $13109931.21  | 0.15%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                  | SKANDINAV ENSKIL               | CUSIP: 83051GAS7<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |  15000000 | PA      | $13874922.90  | 0.16%             | 2024-09-09      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                          | TOYOTA MTR CRED                | CUSIP: 89236TJX4<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |  26300000 | PA      | $25522958.35  | 0.29%             | 2024-03-22      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Korea East-West Power Co Ltd                                      | KOREA E-W POWER                | CUSIP: 5006EPAL5<br>LEI: 549300VDRGYGX9NBTB52 | Long             | DBT              | CORP              | KR        |   3565000 | PA      | $3408920.98   | 0.04%             | 2025-05-06      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_21-2                                | CARMX 2021-2 A3                | CUSIP: 14314QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17935486 | PA      | $17263283.69  | 0.20%             | 2026-02-17      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-197 ZN                | CUSIP: 38383DQY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1936204 | PA      | $1496012.82   | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                    | BNP PARIBAS                    | CUSIP: 05581KAB7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   5000000 | PA      | $4914107.85   | 0.06%             | 2024-01-10      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2018-C48                    | WFCM 2018-C48 ASB              | CUSIP: 95001RAV1<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $270500.24    | 0.00%             | 2052-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC MMAF_20-B                              | MMAF 2020-BA A5                | CUSIP: 60700KAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8340000 | PA      | $7559260.07   | 0.09%             | 2042-04-14      | Fixed         | 0.85%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia/The                                           | BANK NOVA SCOTIA               | CUSIP: 06417XAH4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  16200000 | PA      | $15611562.05  | 0.18%             | 2025-04-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia/The                                           | BANK NOVA SCOTIA               | CUSIP: 0641596E1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   4090000 | PA      | $3812622.05   | 0.04%             | 2024-07-31      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST SMB_18-C                         | SMB 2018-C A2A                 | CUSIP: 78449QAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1250318 | PA      | $1168715.56   | 0.01%             | 2035-11-15      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                | CAN IMPERIAL BK                | CUSIP: 13607H6M9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $2933235.90   | 0.03%             | 2025-08-04      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2017-P8                       | CGCMT 2017-P8 A3               | CUSIP: 17326DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $726652.32    | 0.01%             | 2050-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-209 ZV                | CUSIP: 38383DW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3518075 | PA      | $2656185.62   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78016EZ59<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   7600000 | PA      | $7358759.66   | 0.08%             | 2025-04-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10yr Ultra Fut Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -91 | NC      | $161925.92    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TRAFIGURA SECURITISATION FINANCE PLC TRFIG_21-1                   | TRFIG 2021-1A A2               | CUSIP: 892725AS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |  15430000 | PA      | $14103271.51  | 0.16%             | 2025-01-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| NVIDIA Corp                                                       | NVIDIA CORP                    | CUSIP: 67066GAL8<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |  64836000 | PA      | $61165611.35  | 0.70%             | 2024-06-14      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                          | TOYOTA MTR CRED                | CUSIP: 89236TJN6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    880000 | PA      | $819193.26    | 0.01%             | 2024-09-13      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_22-B                        | SRT 2022-B A3                  | CUSIP: 80287UAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  27920000 | PA      | $27129774.66  | 0.31%             | 2025-11-20      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| US Bancorp                                                        | US BANCORP                     | CUSIP: 902973BB1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   4292000 | PA      | $4431409.05   | 0.05%             | 2024-06-07      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29       | MSBAM 2016-C29 A4              | CUSIP: 61766EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $836055.90    | 0.01%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15       | MSBAM 2014-C15 A4              | CUSIP: 61763KBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065000 | PA      | $1043945.59   | 0.01%             | 2047-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-3     | GMCAR 2021-3 A4                | CUSIP: 380140AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9190000 | PA      | $8318385.48   | 0.10%             | 2027-08-16      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST TESLA_20-A                                 | TESLA 2020-A A3                | CUSIP: 88167HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    355736 | PA      | $354561.62    | 0.00%             | 2023-12-20      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78016EZQ3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   4960000 | PA      | $4414820.86   | 0.05%             | 2026-04-27      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_21-B                       | HDMOT 2021-B A3                | CUSIP: 41285AAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15460618 | PA      | $14916714.85  | 0.17%             | 2026-11-16      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST JDOT_20-B                                  | JDOT 2020-B A3                 | CUSIP: 47787NAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5804779 | PA      | $5714700.78   | 0.07%             | 2024-11-15      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| UBS AG/Australia                                                  | UBS AG AUSTRALIA               | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | Long             | DBT              | CORP              | CH        |  15000000 | PA      | $10180537.96  | 0.12%             | 2025-07-30      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Georgia-Pacific LLC                                               | GEORGIA-PACIFIC                | CUSIP: 37331NAM3<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |  15265000 | PA      | $14347562.36  | 0.16%             | 2024-05-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                          | GNR 2021-206 Z                 | CUSIP: 38383DXW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33624 | PA      | $19847.82     | 0.00%             | 2051-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                              | ROYAL BK CANADA                | CUSIP: 78016EZT7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   5350000 | PA      | $4713145.79   | 0.05%             | 2026-07-14      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                               | JPMORGAN CHASE                 | CUSIP: 46647PBY1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3375000 | PA      | $3183388.86   | 0.04%             | 2025-02-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-1     | GMCAR 2021-1 A4                | CUSIP: 36261LAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7910000 | PA      | $7300790.78   | 0.08%             | 2027-05-17      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** VANGUARD MALVERN FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer