# EDGAR Filing Document

**Accession Number:** 0001131042
**File Stem:** 0001145549-23-011425
**Filing Date:** 2023-2
**Character Count:** 485517
**Document Hash:** 407412b20850c504453dcb13dff1eec0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-011425.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-011425

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GPS Funds I
- **CENTRAL INDEX KEY:** 0001131042
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10267
- **FILM NUMBER:** 23674356

**BUSINESS ADDRESS:**
- **STREET 1:** 1655 GRANT STREET
- **STREET 2:** 10TH FLOOR
- **CITY:** CONCORD
- **STATE:** CA
- **ZIP:** 94520
- **BUSINESS PHONE:** 800-664-5345

**MAIL ADDRESS:**
- **STREET 1:** 1655 GRANT STREET
- **STREET 2:** 10TH FLOOR
- **CITY:** CONCORD
- **STATE:** CA
- **ZIP:** 94520

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ASSETMARK FUNDS
- **DATE OF NAME CHANGE:** 20010102

## Series and Classes Contracts Data

### GuideMark(R) Core Fixed Income Fund (Series ID: S000006189)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000017037 | Service Shares       | GMCOX           |
| C000096251 | Institutional Shares | GICFX           |

## Nport-Ex

---

| | | |
|:---|:---|:---|
| **GuideMark® Core Fixed Income Fund** | **GuideMark® Core Fixed Income Fund** | |
| **Schedule of Investments (Unaudited)** | **Schedule of Investments (Unaudited)** | |
| **December 31, 2022** | **December 31, 2022** | |
| **Principal Amount** |  | **Value** |
| | **ASSET BACKED SECURITIES - 7.76%** | |
|  | Affirm Asset Securitization Trust |  |
| 11078 | &nbsp;&nbsp;&nbsp; Series 2020-Z1A, 3.460%, 10/15/2024 (c)(g) | $10989 |
| 35490 | &nbsp;&nbsp;&nbsp; Series 2020-Z2A, 1.900%, 01/15/2025 (c)(g) | 34533 |
| 25000 | American Credit Acceptance Receivables Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2022-3, 4.550%, 10/13/2026 (c) | 24520 |
| 150000 | AmeriCredit Automobile Receivables Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-3D, 2.580%, 09/18/2025 | 144267 |
| 105000 | Amur Equipment Finance Receivables XI LLC |  |
|  | &nbsp;&nbsp;&nbsp; Series 2022-2 A-2, 5.300%, 06/21/2028 (c) | 103962 |
| 160000 | Avant Loans Funding Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-REV1 A, 1.210%, 07/15/2030 (c)(g) | 152465 |
| 450000 | Bain Capital Credit CLO Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2017-2A AR2, 5.538% (3 Month LIBOR USD + 1.180%, 1.180% Floor), 07/25/2034 (a)(c) | 439093 |
| 54402 | BHG Securitization Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-B A, 0.900%, 10/17/2034 (c)(g) | 51243 |
| 260000 | BlueMountain CLO, Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-24A AR, 5.343% (3 Month LIBOR USD + 1.100%, 1.100% Floor), 04/20/2034 (a)(c) | 252732 |
| 380000 | Buckhorn Park CLO Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-1R A-R, 5.314% (3 Month LIBOR USD + 1.120%, 1.120% Floor), 07/18/2034 (a)(c) | 371505 |
| 380000 | Carvana Auto Receivables Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2022-P2, 4.130%, 04/10/2027 | 373783 |
| 88839 | CF Hippolyta Issuer LLC |  |
|  | &nbsp;&nbsp;&nbsp; Series 2020-1A2, 1.990%, 07/15/2060 (c) | 73579 |
| 608850 | DB Master Finance LLC |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-1A A23, 2.791%, 11/20/2051 (c) | 470600 |
|  | Domino's Pizza Master Issuer LLC |  |
| 182400 | &nbsp;&nbsp;&nbsp; Series 2018-1, 4.116%, 07/25/2048 (c)(g) | 173308 |
| 72938 | &nbsp;&nbsp;&nbsp; Series 2019-1, 3.668%, 10/25/2049 (c)(g) | 63199 |
| 187150 | &nbsp;&nbsp;&nbsp; Series 2021-1A A2I, 2.662%, 04/25/2051 (c)(g) | 156133 |
| 117187 | Drive Auto Receivables Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-4, 2.700%, 02/16/2027 | 115427 |
|  | Exeter Automobile Receivables Trust |  |
| 242512 | &nbsp;&nbsp;&nbsp; Series 2019-4, 2.580%, 09/15/2025 (c) | 238478 |
| 89268 | &nbsp;&nbsp;&nbsp; Series 2020-1, 2.730%, 12/15/2025 (c) | 87479 |
| 120000 | &nbsp;&nbsp;&nbsp; Series 2022-4, 4.570%, 01/15/2027 | 117824 |
| 62000 | &nbsp;&nbsp;&nbsp; Series 2022-6, 6.030%, 08/16/2027 | 62149 |
| 204000 | Flagship Credit Auto Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2022-3, 4.690%, 07/17/2028 (c) | 199446 |
| 591054 | Galaxy XXIII CLO Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2017-23A AR, 5.195% (3 Month LIBOR USD + 0.870%, 0.870% Floor), 04/24/2029 (a)(c) | 583359 |
| 40000 | GLS Auto Receivables Issuer Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2022-3, 4.920%, 01/15/2027 (c) | 39214 |
| 300000 | GTP Acquisition Partners I LLC |  |
|  | &nbsp;&nbsp;&nbsp; Series 2015-2, 3.482%, 06/15/2050 (c) | 280017 |
| 605000 | Harriman Park CLO Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2020-1A A1R, 5.363% (3 Month LIBOR USD + 1.120%, 1.120% Floor), 04/20/2034 (a)(c) | 593407 |
| 70971 | LCM XX LP |  |
|  | &nbsp;&nbsp;&nbsp; Series 2015-20R, 5.283% (3 Month LIBOR USD + 1.040%, 0.000% Floor), 10/20/2027 (a)(c) | 70635 |
| 465000 | Madison Park Funding Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-38A A, 5.199% (3 Month LIBOR USD + 1.120%, 1.120% Floor), 07/17/2034 (a)(c) | 454227 |
| 334595 | Madison Park Funding XLI Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2015-12R, 5.155% (3 Month LIBOR USD + 0.830%, 1.120% Floor), 04/22/2027 (a)(c) | 331395 |
| 120000 | Mercury Financial Credit Card Master Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-1A, 1.540%, 03/20/2026 (c)(g) | 114525 |
| 122655 | Navient Private Education Refi Loan Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-E A, 0.970%, 12/16/2069 (c) | 103005 |
| 465000 | Neuberger Berman CLO XX Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2015-20RR A-RR, 5.239% (3 Month LIBOR USD + 1.160%, 1.160% Floor), 07/17/2034 (a)(c) | 453820 |
| 182294 | OZLM VII, Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2014-7R, 5.089% (3 Month LIBOR USD + 1.010%, 1.010% Floor), 07/17/2029 (a)(c) | 180315 |
| 420000 | Regatta VI Funding Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2016-1A AR2, 5.403% (3 Month LIBOR USD + 1.160%, 1.160% Floor), 04/20/2034 (a)(c) | 409056 |
|  | RR Ltd. |  |
| 480000 | &nbsp;&nbsp;&nbsp; Series 2017-1A A1AB, 5.229% (3 Month LIBOR USD + 1.150%, 1.150% Floor), 07/16/2035 (a)(c) | 469909 |
| 330000 | &nbsp;&nbsp;&nbsp; Series 2021-16A A1, 5.189% (3 Month LIBOR USD + 1.110%), 07/15/2036 (a)(c) | 322974 |
|  | Santander Drive Auto Receivables Trust |  |
| 100236 | &nbsp;&nbsp;&nbsp; Series 2019-3, 2.680%, 10/15/2025 | 99776 |
| 95000 | &nbsp;&nbsp;&nbsp; Series 2022-5, 4.430%, 03/15/2027 | 92486 |
| 65000 | &nbsp;&nbsp;&nbsp; Series 2022-6, 4.720%, 06/15/2027 | 63424 |
| 305000 | &nbsp;&nbsp;&nbsp; Series 2022-4, 4.420%, 11/15/2027 | 295514 |
| 255000 | &nbsp;&nbsp;&nbsp; Series 2022-7, 5.950%, 01/18/2028 | 257890 |
|  | Sound Point CLO, Ltd. |  |
| 280232 | &nbsp;&nbsp;&nbsp; Series 2018-3, 5.029% (3 Month LIBOR USD + 0.950%, 0.000% Floor), 04/16/2029 (a)(c) | 277300 |
| 410000 | &nbsp;&nbsp;&nbsp; Series 2021-1A A, 5.428% (3 Month LIBOR USD + 1.070%, 1.070% Floor), 04/25/2034 (a)(c) | 395109 |
| 100000 | Summit Issuer LLC |  |
|  | &nbsp;&nbsp;&nbsp; Series 2020-1, 2.290%, 12/20/2050 (c) | 87789 |
| 730620 | Taco Bell Funding LLC |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-1A A2II, 2.294%, 08/25/2051 (c) | 588739 |
| 405000 | THL Credit Wind River CLO Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2020-1A, 5.673% (3 Month LIBOR USD + 1.430%, 1.430% Floor), 10/20/2033 (a)(c) | 395267 |
| 122320 | TICP CLO, Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2018-3, 5.083% (3 Month LIBOR USD + 0.840%, 0.840% Floor), 04/20/2028 (a)(c) | 121852 |
|  | Upstart Securitization Trust |  |
| 42353 | &nbsp;&nbsp;&nbsp; Series 2021-3, 0.830%, 07/20/2031 (c) | 41485 |
| 106753 | &nbsp;&nbsp;&nbsp; Series 2021-4, 0.840%, 09/20/2031 (c) | 103364 |
|  | Venture CLO, Ltd. |  |
| 410000 | &nbsp;&nbsp;&nbsp; Series 2021-42A A1A, 5.209% (3 Month LIBOR USD + 1.130%, 1.130% Florr), 04/17/2034 (a)(c) | 397162 |
| 180000 | &nbsp;&nbsp;&nbsp; Series 2021-43A A1, 5.319% (3 Month LIBOR USD + 1.240%, 1.1240% Floor), 04/17/2034 (a)(c) | 174816 |
| 317129 | Voya CLO, Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2015-1, 5.094% (3 Month LIBOR USD + 0.900%, 0.900% Floor), 01/18/2029 (a)(c) | 314281 |
| 370000 | Wellfleet CLO X Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-XA A1R, 5.413% (3 Month LIBOR USD + 1.170%, 0.000% Floor), 07/20/2032 (a)(c) | 361178 |
|  | Wendy's Funding LLC |  |
| 76000 | &nbsp;&nbsp;&nbsp; Series 2018-1, 3.884%, 03/15/2048 (c)(g) | 68693 |
| 241325 | &nbsp;&nbsp;&nbsp; Series 2021-1A A2I, 2.370%, 06/15/2051 (c)(g) | 195496 |
|  | Westlake Automobile Receivables Trust |  |
| 145599 | &nbsp;&nbsp;&nbsp; Series 2019-3, 2.720%, 11/15/2024 (c) | 144660 |
| 225000 | &nbsp;&nbsp;&nbsp; Series 2022-2, 4.310%, 09/15/2027 (c) | 219218 |
| 99000 | Wingstop Funding LLC |  |
|  | &nbsp;&nbsp;&nbsp; Series 2020-1, 2.841%, 12/05/2050 (c)(g) | 84010 |
|  | **Total Asset Backed Securities (Cost $13,317,238)** | **12902081** |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS - 16.16%** |  |
| 276095 | 510 Asset Backed Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-NPL2 A-1, 2.116%, 06/25/2061 (c)(k) | 249092 |
| 93606 | Ajax Mortgage Loan Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-C A, 2.115%, 01/25/2061 (c)(k) | 87206 |
|  | Angel Oak Mortgage Trust |  |
| 1192 | &nbsp;&nbsp;&nbsp; Series 2018-3, 3.649%, 09/25/2048 (b)(c) | 1187 |
| 7574 | &nbsp;&nbsp;&nbsp; Series 2019-4, 2.993%, 07/25/2049 (b)(c) | 7529 |
| 87744 | &nbsp;&nbsp;&nbsp; Series 2020-R1, 0.990%, 04/25/2053 (b)(c) | 82045 |
| 161758 | &nbsp;&nbsp;&nbsp; Series 2021-4 A1, 1.035%, 01/20/2065 (b)(c) | 128246 |
| 31495 | &nbsp;&nbsp;&nbsp; Series 2020-6 TR, 1.261%, 05/25/2065 (b)(c) | 27149 |
| 111032 | &nbsp;&nbsp;&nbsp; Series 2021-1, 0.909%, 01/25/2066 (b)(c) | 91323 |
| 101230 | &nbsp;&nbsp;&nbsp; Series 2021-2 A1, 0.985%, 04/25/2066 (b)(c) | 83705 |
| 202640 | &nbsp;&nbsp;&nbsp; Series 2021-3 A1, 1.068%, 05/25/2066 (b)(c) | 167651 |
| 258918 | &nbsp;&nbsp;&nbsp; Series 2021-5 A1, 0.951%, 07/25/2066 (b)(c) | 212780 |
| 186316 | &nbsp;&nbsp;&nbsp; Series 2021-8, 1.820%, 11/25/2066 (b)(c) | 155017 |
| 449460 | &nbsp;&nbsp;&nbsp; Series 2022-1, 2.881%, 12/25/2066 (c)(k) | 395460 |
| 100000 | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-FL2 A, 5.418% (1 Month LIBOR USD + 1.100%, 1.100% Floor), 05/15/2036 (a)(c) | 97311 |
|  | Arroyo Mortgage Trust |  |
| 65241 | &nbsp;&nbsp;&nbsp; Series 2019-3, 2.962%, 10/25/2048 (b)(c) | 59940 |
| 71730 | &nbsp;&nbsp;&nbsp; Series 2019-2, 3.347%, 04/25/2049 (b)(c) | 66722 |
|  | BANK |  |
| 2136272 | &nbsp;&nbsp;&nbsp; Series 2019-BNK23, 0.693%, 12/17/2052 (b)(j) | 79251 |
| 983309 | &nbsp;&nbsp;&nbsp; Series 2019-BNK18, 0.892%, 05/17/2062 (b)(j) | 42353 |
| 1159610 | &nbsp;&nbsp;&nbsp; Series 2019-BNK20, 0.814%, 09/15/2062 (b)(j) | 48287 |
| 1309431 | &nbsp;&nbsp;&nbsp; Series 2019-BNK22, 0.595%, 11/17/2062 (b)(j) | 42054 |
| 985922 | &nbsp;&nbsp;&nbsp; Series 2019-BNK24, 0.640%, 11/17/2062 (b)(j) | 34652 |
| 983846 | &nbsp;&nbsp;&nbsp; Series 2020-BNK26, 1.225%, 03/16/2063 (b)(j) | 60771 |
| 1527751 | &nbsp;&nbsp;&nbsp; Series 2020-BNK28, 1.778%, 03/16/2063 (b)(j) | 151678 |
|  | BBCMS Mortgage Trust |  |
| 132000 | &nbsp;&nbsp;&nbsp; Series 2017-DELC, 5.293% (1 Month LIBOR USD + 0.975%, 1.100% Floor), 08/15/2036 (a)(c) | 129777 |
| 100000 | &nbsp;&nbsp;&nbsp; Series 2022-C16, 4.600%, 06/17/2055 (b) | 96742 |
| 125000 | &nbsp;&nbsp;&nbsp; Series 2022-C18 A4, 5.439%, 12/17/2055 (b) | 128960 |
| 40000 | &nbsp;&nbsp;&nbsp; Series 2022-C18 A5, 5.710%, 12/17/2055 (b) | 42092 |
|  | Benchmark Mortgage Trust |  |
| 234206 | &nbsp;&nbsp;&nbsp; Series 2019-B11, 3.410%, 05/17/2052 | 226441 |
| 970682 | &nbsp;&nbsp;&nbsp; Series 2019-B12, 1.033%, 08/16/2052 (b)(j) | 40430 |
| 393367 | &nbsp;&nbsp;&nbsp; Series 2020-B18, 1.789%, 07/17/2053 (b)(j) | 30954 |
| 750882 | &nbsp;&nbsp;&nbsp; Series 2020-B22, 1.516%, 01/15/2054 (b)(j) | 65238 |
| 1490893 | &nbsp;&nbsp;&nbsp; Series 2019-B10, 1.221%, 03/17/2062 (b)(j) | 77402 |
| 124804 | BINOM Securitization Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-INV1, 2.034%, 06/25/2056 (b)(c) | 110076 |
|  | BRAVO Residential Funding Trust |  |
| 74266 | &nbsp;&nbsp;&nbsp; Series 2021-NQM1 A1, 0.941%, 02/25/2049 (b)(c) | 61984 |
| 70844 | &nbsp;&nbsp;&nbsp; Series 2021-NQM2 A1, 0.970%, 03/25/2060 (b)(c) | 66671 |
| 309921 | &nbsp;&nbsp;&nbsp; Series 2021-C A1, 1.620%, 03/01/2061 (c)(k) | 279992 |
| 259667 | BX Commercial Mortgage Trust 2019-XL |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-XL, 5.370% (1 Month LIBOR USD + 1.034%, 1.034% Floor), 10/15/2036 (a)(c) | 256643 |
| 100000 | CAMB Commercial Mortgage Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-LIFE, 5.768% (1 Month LIBOR USD + 1.450%,1.450% Floor), 12/15/2037 (a)(c) | 97305 |
| 145000 | Century Plaza Towers |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-CPT, 2.865%, 11/16/2039 (c) | 116288 |
| 7163 | Chase Mortgage Finance Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2007-A1, 2.448%, 02/25/2037 (b) | 6838 |
|  | Citigroup Commercial Mortgage Trust |  |
| 376000 | &nbsp;&nbsp;&nbsp; Series 2014-GC19, 4.023%, 03/12/2047 | 368693 |
| 296312 | &nbsp;&nbsp;&nbsp; Series 2016-P3, 3.329%, 04/16/2049 | 276459 |
| 505000 | &nbsp;&nbsp;&nbsp; Series 2016-P4, 2.902%, 07/12/2049 | 464149 |
|  | Citigroup Mortgage Loan Trust, Inc. |  |
| 100038 | &nbsp;&nbsp;&nbsp; Series 2018-RP2, 2.659%, 02/25/2058 (b)(c) | 96028 |
| 43153 | &nbsp;&nbsp;&nbsp; Series 2018-RP1, 3.000%, 09/25/2064 (b)(c) | 41346 |
| 100999 | &nbsp;&nbsp;&nbsp; Series 2019-E, 6.228%, 11/25/2070 (c)(k) | 99688 |
|  | COLT Mortgage Loan Trust |  |
| 312761 | &nbsp;&nbsp;&nbsp; Series 2020-RPL1, 1.390%, 01/25/2065 (b)(c) | 267230 |
| 68715 | &nbsp;&nbsp;&nbsp; Series 2020-2R, 1.325%, 10/26/2065 (b)(c) | 61740 |
| 156574 | &nbsp;&nbsp;&nbsp; Series 2021-1 A1, 0.910%, 06/25/2066 (b)(c) | 127206 |
| 297396 | &nbsp;&nbsp;&nbsp; Series 2021-3 A1, 0.956%, 09/27/2066 (b)(c) | 231829 |
| 375751 | &nbsp;&nbsp;&nbsp; Series 2021-HX1 A1, 1.110%, 10/25/2066 (b)(c) | 302126 |
| 444021 | &nbsp;&nbsp;&nbsp; Series 2022-1, 2.284%, 12/27/2066 (b)(c) | 389234 |
| 93616 | &nbsp;&nbsp;&nbsp; Series 2022-4 A-1, 4.301%, 03/25/2067 (b)(c) | 90607 |
|  | COMM Mortgage Trust |  |
| 120000 | &nbsp;&nbsp;&nbsp; Series 2013-300P, 4.353%, 08/12/2030 (c) | 116112 |
| 100000 | &nbsp;&nbsp;&nbsp; Series A, 2.819%, 01/10/2039 (c) | 86120 |
| 100000 | &nbsp;&nbsp;&nbsp; Series C, 3.376%, 01/10/2039 (c) | 83822 |
| 55697 | Connecticut Avenue Securities Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2022-R08 1M-1, 6.478% (SOFR30A + 2.550%, 2.550% Floor), 07/25/2042 (a)(c) | 55911 |
|  | Countrywide Home Loans, Inc. |  |
| 4851 | &nbsp;&nbsp;&nbsp; Series 2004-HYB6, 3.866%, 11/20/2034 (b) | 4484 |
| 57206 | &nbsp;&nbsp;&nbsp; Series 2005-11, 4.989% (1 Month LIBOR USD + 0.600%, 0.600% Floor), 03/25/2035 (a) | 39633 |
| 238487 | CSAIL Commercial Mortgage Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2016-C6, 2.960%, 01/15/2049 | 229154 |
|  | CSMC Trust |  |
| 97732 | &nbsp;&nbsp;&nbsp; Series 2020-NET, 2.257%, 08/17/2037 (c) | 87498 |
| 24901 | &nbsp;&nbsp;&nbsp; Series 2017-FHA1, 3.250%, 04/25/2047 (b)(c) | 22263 |
| 211146 | &nbsp;&nbsp;&nbsp; Series 2020-RPL4, 2.000%, 01/25/2060 (b)(c) | 188486 |
| 107145 | &nbsp;&nbsp;&nbsp; Series 2021-RPL4 A1, 1.796%, 12/27/2060 (b)(c) | 98476 |
| 111734 | &nbsp;&nbsp;&nbsp; Series 2020-NQM1, 1.208%, 05/25/2065 (c)(k) | 101866 |
| 189384 | &nbsp;&nbsp;&nbsp; Series 2021-NQM2, 1.179%, 02/25/2066 (b)(c) | 157973 |
| 150973 | &nbsp;&nbsp;&nbsp; Series 2021-NQM5 A1, 0.938%, 05/25/2066 (b)(c) | 117438 |
| 376030 | &nbsp;&nbsp;&nbsp; Series 2021-NQM6 A1, 1.174%, 07/25/2066 (b)(c) | 294632 |
| 193231 | &nbsp;&nbsp;&nbsp; Series 2021-NQM8, 1.841%, 10/25/2066 (b)(c) | 165155 |
| 479064 | &nbsp;&nbsp;&nbsp; Series 2022-NQM1, 2.265%, 11/25/2066 (b)(c) | 414067 |
|  | DBGS Mortgage Trust |  |
| 215000 | &nbsp;&nbsp;&nbsp; Series 2018-C1, 4.466%, 10/17/2051 | 205650 |
| 11810482 | &nbsp;&nbsp;&nbsp; Series 2018-C1, 0.192%, 10/17/2051 (b)(j) | 97902 |
|  | DBJPM Mortgage Trust |  |
| 237642 | &nbsp;&nbsp;&nbsp; Series 2016-C1, 3.038%, 05/12/2049 | 227704 |
| 475000 | &nbsp;&nbsp;&nbsp; Series 2016-C3, 2.890%, 08/12/2049 | 435580 |
| 309666 | &nbsp;&nbsp;&nbsp; Series 2020-C9, 1.709%, 08/15/2053 (b)(j) | 21557 |
| 68689 | Deephaven Residential Mortgage Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-2 A1, 0.899%, 04/25/2066 (b)(c) | 58116 |
|  | Ellington Financial Mortgage Trust |  |
| 70603 | &nbsp;&nbsp;&nbsp; Series 2021-2 A1, 0.931%, 06/25/2066 (b)(c) | 54761 |
| 224550 | &nbsp;&nbsp;&nbsp; Series 2022-1, 2.206%, 01/25/2067 (b)(c) | 189247 |
|  | FirstKey Homes Trust |  |
| 114353 | &nbsp;&nbsp;&nbsp; Series 2022-SFR1, 4.145%, 05/19/2039 (c) | 107512 |
| 482273 | &nbsp;&nbsp;&nbsp; Series 2022-SFR2, 4.250%, 07/19/2039 (c) | 456795 |
|  | GCAT Trust |  |
| 123908 | &nbsp;&nbsp;&nbsp; Series 2021-NQM1, 0.874%, 01/25/2066 (b)(c) | 104736 |
| 142864 | &nbsp;&nbsp;&nbsp; Series 2021-NQM2 A1, 1.036%, 05/25/2066 (b)(c) | 111945 |
| 188129 | &nbsp;&nbsp;&nbsp; Series 2021-NQM3 A1, 1.091%, 05/25/2066 (b)(c) | 150801 |
| 260150 | &nbsp;&nbsp;&nbsp; Series 2021-NQM4, 1.093%, 08/25/2066 (b)(c) | 201236 |
| 146325 | &nbsp;&nbsp;&nbsp; Series 2021-NQM7, 1.915%, 08/25/2066 (b)(c) | 128996 |
|  | GS Mortgage Securities Trust |  |
| 145000 | &nbsp;&nbsp;&nbsp; Series 2012-BWTR, 2.954%, 11/07/2034 (c) | 127139 |
| 35000 | &nbsp;&nbsp;&nbsp; Series 2022-SHIP, 5.067% (TSFR1M + 0.731%, 0.731% Floor, 10.500% Cap), 08/15/2036 (a)(c) | 34536 |
| 35000 | &nbsp;&nbsp;&nbsp; Series 2015-GC34, 3.506%, 10/13/2048 | 33126 |
| 1442701 | &nbsp;&nbsp;&nbsp; Series 2020-GC45, 0.669%, 02/14/2053 (b)(j) | 47110 |
| 220000 | Hawaii Hotel Trust 2019-MAUI |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-MAUI, 5.468% (1 Month LIBOR USD + 1.150%, 1.150% Floor), 05/17/2038 (a)(c) | 214006 |
|  | Imperial Fund Mortgage Trust |  |
| 147022 | &nbsp;&nbsp;&nbsp; Series 2021-NQM2 A-1, 1.073%, 09/25/2056 (b)(c) | 118131 |
| 477618 | &nbsp;&nbsp;&nbsp; Series 2022-NQM2, 3.638%, 03/25/2067 (c)(k) | 443323 |
| 90000 | JPMBB Commercial Mortgage Securities Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2020-NNN, 2.812%, 01/16/2037 (c) | 81467 |
|  | Legacy Mortgage Asset Trust |  |
| 80738 | &nbsp;&nbsp;&nbsp; Series 2021-GS4 A1, 1.650%, 11/25/2060 (c)(k) | 72683 |
| 139862 | &nbsp;&nbsp;&nbsp; Series 2021-GS3 A1, 1.750%, 07/25/2061 (c)(k) | 127303 |
| 260000 | MF1 Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2022-FL8, 5.576% (SOFR30A + 1.750%, 1.750% Floor), 02/20/2037 (a)(c)(g) | 249091 |
|  | MFRA Trust |  |
| 107933 | &nbsp;&nbsp;&nbsp; Series 2021-NQM2, 1.029%, 11/25/2064 (b)(c) | 88290 |
| 25816 | &nbsp;&nbsp;&nbsp; Series 2020-NQM3 A1, 1.014%, 01/26/2065 (b)(c) | 23686 |
| 90822 | &nbsp;&nbsp;&nbsp; Series 2021-NQM1 A-1, 1.153%, 04/25/2065 (b)(c) | 78865 |
|  | Mill City Mortgage Loan Trust |  |
| 46663 | &nbsp;&nbsp;&nbsp; Series 2018-2, 3.500%, 05/25/2058 (b)(c) | 45818 |
| 194637 | &nbsp;&nbsp;&nbsp; Series 2019-GS1, 2.750%, 07/25/2059 (b)(c) | 181899 |
| 54263 | &nbsp;&nbsp;&nbsp; Series 2017-3, 2.750%, 01/25/2061 (b)(c) | 52511 |
| 49228 | &nbsp;&nbsp;&nbsp; Series 2018-1, 3.250%, 05/25/2062 (b)(c) | 47502 |
| 125547 | &nbsp;&nbsp;&nbsp; Series 2019-1, 3.250%, 10/25/2069 (b)(c) | 118723 |
| 79572 | Morgan Stanley ABS Capital I, Inc. Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2003-NC10, 5.409% (1 Month LIBOR USD + 1.020%, 1.020% Floor), 10/25/2033 (a) | 78063 |
| 175000 | Morgan Stanley Bank of America Merrill Lynch Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2016-C29, 3.325%, 05/17/2049 | 163475 |
|  | New Residential Mortgage Loan Trust |  |
| 35423 | &nbsp;&nbsp;&nbsp; Series 2016-2, 3.750%, 11/25/2035 (b)(c) | 32977 |
| 81305 | &nbsp;&nbsp;&nbsp; Series 2018-4, 5.139% (1 Month LIBOR USD + 0.750%, 0.750% Floor), 01/27/2048 (a)(c) | 78258 |
| 31845 | &nbsp;&nbsp;&nbsp; Series 2016-4, 3.750%, 11/25/2056 (b)(c) | 29249 |
| 302087 | &nbsp;&nbsp;&nbsp; Series 2021-NQM3 A1, 1.156%, 11/25/2056 (b)(c) | 250521 |
| 49694 | &nbsp;&nbsp;&nbsp; Series 2017-1, 4.000%, 02/25/2057 (b)(c) | 46967 |
| 44990 | &nbsp;&nbsp;&nbsp; Series 2017-2, 4.000%, 03/25/2057 (b)(c) | 42386 |
| 25139 | &nbsp;&nbsp;&nbsp; Series 2017-3, 4.000%, 04/25/2057 (b)(c) | 23863 |
| 23581 | &nbsp;&nbsp;&nbsp; Series 2017-4, 4.000%, 05/25/2057 (b)(c) | 22038 |
| 21940 | &nbsp;&nbsp;&nbsp; Series 2017-5, 5.889% (1 Month LIBOR USD + 1.500%, 1.500% Floor), 06/25/2057 (a)(c) | 21503 |
| 39102 | &nbsp;&nbsp;&nbsp; Series 2017-6, 4.000%, 08/25/2057 (b)(c) | 36746 |
| 85917 | &nbsp;&nbsp;&nbsp; Series 2018-1, 4.000%, 12/25/2057 (b)(c) | 81004 |
| 70900 | &nbsp;&nbsp;&nbsp; Series 2018-2, 4.500%, 02/25/2058 (b)(c) | 68376 |
| 181403 | &nbsp;&nbsp;&nbsp; Series 2018-3, 4.500%, 05/25/2058 (b)(c) | 170672 |
| 74900 | &nbsp;&nbsp;&nbsp; Series 2021-NQM2R A-1, 0.941%, 10/25/2058 (b)(c) | 65174 |
| 129701 | &nbsp;&nbsp;&nbsp; Series 2019-3, 3.750%, 11/25/2058 (b)(c) | 120653 |
| 94570 | &nbsp;&nbsp;&nbsp; Series 2019-5, 3.500%, 08/25/2059 (b)(c) | 87905 |
| 25913 | &nbsp;&nbsp;&nbsp; Series 2019-NQM4, 2.492%, 09/25/2059 (b)(c) | 23489 |
| 437749 | &nbsp;&nbsp;&nbsp; Series 2022-NQM1, 2.277%, 04/25/2061 (b)(c) | 379244 |
| 308599 | NMLT Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-INV1 A1, 1.185%, 05/25/2056 (b)(c) | 248043 |
|  | OBX Trust |  |
| 183147 | &nbsp;&nbsp;&nbsp; Series 2021-NQM3 A1, 1.054%, 07/25/2061 (b)(c) | 138871 |
| 394163 | &nbsp;&nbsp;&nbsp; Series 2022-NQM1, 2.305%, 11/25/2061 (b)(c) | 340183 |
| 175623 | &nbsp;&nbsp;&nbsp; Series 2021-NQM1, 1.072%, 02/25/2066 (b)(c) | 137718 |
|  | Pretium Mortgage Credit Partners LLC |  |
| 151387 | &nbsp;&nbsp;&nbsp; Series 2021-NPL3 A1, 1.868%, 07/25/2051 (c)(k) | 134537 |
| 146335 | &nbsp;&nbsp;&nbsp; Series 2021-RN2 A1, 1.744%, 07/25/2051 (c)(k) | 132966 |
| 179592 | &nbsp;&nbsp;&nbsp; Series 2021-NPL2 A-1, 1.992%, 06/29/2060 (c)(k) | 159437 |
| 295831 | &nbsp;&nbsp;&nbsp; Series 2021-RN1 A1, 1.992%, 02/25/2061 (c)(k) | 268513 |
|  | Progress Residential Trust |  |
| 373715 | &nbsp;&nbsp;&nbsp; Series 2021-SFR3, 1.637%, 05/17/2026 (c) | 327726 |
| 399222 | &nbsp;&nbsp;&nbsp; Series 2021-SFR1, 1.052%, 04/17/2038 (c) | 344819 |
| 329214 | &nbsp;&nbsp;&nbsp; Series 2021-SFR8, 1.510%, 10/19/2038 (c) | 281283 |
| 110000 | &nbsp;&nbsp;&nbsp; Series 2022-SFR3, 3.200%, 04/19/2039 (c) | 99956 |
| 99735 | &nbsp;&nbsp;&nbsp; Series 2022-SFR5, 4.451%, 06/17/2039 (c) | 93861 |
| 145000 | &nbsp;&nbsp;&nbsp; Series 2022-SFR7, 4.750%, 10/19/2039 (c) | 139916 |
| 299774 | &nbsp;&nbsp;&nbsp; Series 2022-SFR4, 4.438%, 05/17/2041 (c) | 279456 |
|  | PRPM Trust |  |
| 54457 | &nbsp;&nbsp;&nbsp; Series 2020-6, 2.363%, 11/25/2025 (c)(k) | 50553 |
| 143019 | &nbsp;&nbsp;&nbsp; Series 2021-3 A1, 1.867%, 04/25/2026 (c)(k) | 128392 |
| 193786 | &nbsp;&nbsp;&nbsp; Series 2021-4 A1, 1.867%, 04/25/2026 (c)(k) | 174746 |
| 188683 | &nbsp;&nbsp;&nbsp; Series 2021-5 A1, 1.793%, 06/25/2026 (c)(k) | 171603 |
| 176697 | &nbsp;&nbsp;&nbsp; Series 2021-6 A1, 1.793%, 07/25/2026 (c)(k) | 160566 |
| 279735 | &nbsp;&nbsp;&nbsp; Series 2021-7 A1, 1.867%, 08/25/2026 (c)(k) | 255248 |
| 359959 | &nbsp;&nbsp;&nbsp; Series 2021-9, 2.363%, 10/25/2026 (c)(k) | 326191 |
| 155000 | SBA Tower Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-1, 2.836%, 01/15/2025 (c) | 146277 |
| 65488 | Seasoned Credit Risk Transfer Trust Series |  |
|  | &nbsp;&nbsp;&nbsp; Series 2019-3, 3.500%, 10/25/2058 | 60070 |
|  | SG Commercial Mortgage Securities Trust |  |
| 355000 | &nbsp;&nbsp;&nbsp; Series 2020-COVE, 2.632%, 04/17/2037 (c) | 327344 |
| 75000 | &nbsp;&nbsp;&nbsp; Series 2016-C5, 3.055%, 10/13/2048 | 69223 |
| 253674 | SG Residential Mortgage Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-1 A-1, 1.160%, 07/25/2061 (b)(c) | 205637 |
|  | Starwood Mortgage Residential Trust |  |
| 21538 | &nbsp;&nbsp;&nbsp; Series 2020-3, 1.486%, 04/25/2065 (b)(c) | 19817 |
| 146491 | &nbsp;&nbsp;&nbsp; Series 2021-1, 1.219%, 05/25/2065 (b)(c) | 133116 |
| 57368 | &nbsp;&nbsp;&nbsp; Series 2021-2 A1, 0.943%, 05/25/2065 (b)(c) | 53238 |
| 295659 | &nbsp;&nbsp;&nbsp; Series 2021-6, 1.920%, 11/25/2066 (b)(c) | 246800 |
| 415000 | Thompson Park CLO, Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-1A A1, 5.079% (3 Month LIBOR USD + 1.000%, 1.000% Floor), 04/17/2034 (a)(c) | 403608 |
| 230000 | Toorak Mortgage Corp. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-1 A1, 2.240%, 06/25/2024 (c)(k) | 218491 |
|  | Towd Point Mortgage Trust |  |
| 138811 | &nbsp;&nbsp;&nbsp; Series 2022-EBO1, 2.161%, 01/25/2052 (b)(c) | 135994 |
| 60544 | &nbsp;&nbsp;&nbsp; Series 2017-1, 2.750%, 10/25/2056 (b)(c) | 59622 |
| 60483 | &nbsp;&nbsp;&nbsp; Series 2017-5, 4.989% (1 Month LIBOR USD + 0.600%, 0.000% Floor), 02/26/2057 (a)(c) | 59886 |
| 29302 | &nbsp;&nbsp;&nbsp; Series 2017-2, 2.750%, 04/25/2057 (b)(c) | 28960 |
| 12120 | &nbsp;&nbsp;&nbsp; Series 2017-3, 2.750%, 06/25/2057 (b)(c) | 11837 |
| 102165 | &nbsp;&nbsp;&nbsp; Series 2017-4, 2.750%, 06/25/2057 (b)(c) | 97388 |
| 152726 | &nbsp;&nbsp;&nbsp; Series 2017-6, 2.750%, 10/25/2057 (b)(c) | 146320 |
| 27440 | &nbsp;&nbsp;&nbsp; Series 2018-1, 3.000%, 01/28/2058 (b)(c) | 26548 |
| 92275 | &nbsp;&nbsp;&nbsp; Series 2018-2, 3.250%, 03/25/2058 (b)(c) | 88443 |
| 215559 | &nbsp;&nbsp;&nbsp; Series 2019-1, 3.722%, 03/25/2058 (b)(c) | 204044 |
| 84897 | &nbsp;&nbsp;&nbsp; Series 2018-3, 3.750%, 05/25/2058 (b)(c) | 80487 |
| 147267 | &nbsp;&nbsp;&nbsp; Series 2020-4, 1.750%, 10/25/2060 (c) | 130981 |
| 430372 | &nbsp;&nbsp;&nbsp; Series 2021-R1 A1, 2.918%, 11/30/2060 (b)(c) | 347845 |
| 100670 | Triangle Re 2021-3 Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; Series 2021-3, 5.828% (SOFR30A + 1.900%, 1.900% Floor), 02/25/2034 (a)(c) | 100250 |
| 505000 | Tricon Residential Trust |  |
|  | &nbsp;&nbsp;&nbsp; Series 2022-SFR1, 3.856%, 04/19/2039 (c) | 468100 |
|  | VCAT Asset Securitization LLC |  |
| 56004 | &nbsp;&nbsp;&nbsp; Series 2021-NPL2 A1, 2.115%, 03/27/2051 (c)(k) | 50914 |
| 172657 | &nbsp;&nbsp;&nbsp; Series 2021-NPL3 A1, 1.743%, 05/25/2051 (c)(k) | 150580 |
| 243707 | &nbsp;&nbsp;&nbsp; Series 2021-NPL4 A1, 1.868%, 08/25/2051 (c)(k) | 222067 |
| 310052 | &nbsp;&nbsp;&nbsp; Series 2021-NPL5, 1.868%, 08/25/2051 (c)(k) | 273487 |
| 388747 | &nbsp;&nbsp;&nbsp; Series 2021-NPL6, 1.917%, 09/25/2051 (c)(k) | 340812 |
|  | Vericrest Opportunity Loan Transferee |  |
| 235105 | &nbsp;&nbsp;&nbsp; Series 2021-R2 A1, 2.116%, 04/25/2051 (c)(k) | 209574 |
| 94463 | &nbsp;&nbsp;&nbsp; Series 2021-NPL9, 1.992%, 05/25/2051 (c)(k) | 84947 |
| 208491 | &nbsp;&nbsp;&nbsp; Series 2021-CF1 A1, 1.992%, 08/25/2051 (c)(k) | 195482 |
|  | Verus Securitization Trust |  |
| 38321 | &nbsp;&nbsp;&nbsp; Series 2019-4, 3.142%, 10/25/2059 (b)(c) | 36724 |
| 86535 | &nbsp;&nbsp;&nbsp; Series 2021-R2 A-1, 0.918%, 02/25/2064 (b)(c) | 78887 |
| 87518 | &nbsp;&nbsp;&nbsp; Series 2021-2, 1.031%, 02/25/2066 (b)(c) | 73209 |
| 125483 | &nbsp;&nbsp;&nbsp; Series 2021-4, 0.938%, 07/25/2066 (b)(c) | 97353 |
| 329467 | &nbsp;&nbsp;&nbsp; Series 2021-5 A-1, 1.013%, 09/25/2066 (b)(c) | 265084 |
| 202554 | &nbsp;&nbsp;&nbsp; Series 2021-8, 1.824%, 11/25/2066 (b)(c) | 171851 |
| 300082 | &nbsp;&nbsp;&nbsp; Series 2022-1 A-1, 2.724%, 01/25/2067(c)(k) | 262669 |
| 265000 | Wells Fargo Commercial Mortgage Trust 2015-NXS1 |  |
|  | &nbsp;&nbsp;&nbsp; Series A-5, 3.148%, 05/15/2048 | 251720 |
|  | **Total Collateralized Mortgage Obligations (Cost $30,388,130)** | **26875247** |
|  | **CORPORATE OBLIGATIONS - 24.30%** |  |
|  | **Aerospace & Defense - 0.37%** |  |
| 283000 | Boeing Co. |  |
|  | &nbsp;&nbsp;&nbsp; 5.040%, 05/01/2027 | 280640 |
| 31000 | L3Harris Technologies, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.400%, 06/15/2028 | 29768 |
| 120000 | Lockheed Martin Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 4.950%, 10/15/2025 | 121089 |
| 189000 | Northrop Grumman Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 5.150%, 05/01/2040 | 185094 |
|  |  | 616591 |
|  | **Banks - 5.26%** |  |
|  | Bank of America Corp. |  |
| 235000 | &nbsp;&nbsp;&nbsp; 4.948% (SOFR + 2.040%), 07/22/2028 (a) | 230244 |
| 720000 | &nbsp;&nbsp;&nbsp; 1.922% (SOFR + 1.370%), 10/24/2031 (a) | 552326 |
| 780000 | &nbsp;&nbsp;&nbsp; 2.687% (SOFR + 1.320%), 04/22/2032 (a) | 628218 |
| 115000 | &nbsp;&nbsp;&nbsp; 2.299% (SOFR + 1.220%), 07/21/2032 (a) | 89163 |
| 120000 | &nbsp;&nbsp;&nbsp; 2.572% (SOFR + 1.210%), 10/20/2032 (a) | 94624 |
| 135000 | &nbsp;&nbsp;&nbsp; 5.015% (SOFR + 2.160%), 07/22/2033 (a) | 129002 |
| 155000 | &nbsp;&nbsp;&nbsp; 4.083% (3 Month LIBOR USD + 3.150%), 03/20/2051 (a) | 123087 |
| 200000 | Barclays PLC |  |
|  | &nbsp;&nbsp;&nbsp; 7.385% (1 Year CMT Rate + 3.300%), 11/02/2028 (a) | 208834 |
| 200000 | BNP Paribas SA |  |
|  | &nbsp;&nbsp;&nbsp; 2.219% (SOFR + 2.074%), 06/09/2026 (a)(c) | 183951 |
| 250000 | BPCE SA |  |
|  | &nbsp;&nbsp;&nbsp; 2.045% (SOFR + 1.087%), 10/19/2027 (a)(c) | 215739 |
| 200000 | Danske Bank AS |  |
|  | &nbsp;&nbsp;&nbsp; 5.375%, 01/12/2024 (c) | 198479 |
| 250000 | Fifth Third Bank NA |  |
|  | &nbsp;&nbsp;&nbsp; 5.852% (SOFR + 1.230%), 10/27/2025 (a) | 252824 |
|  | HSBC Holdings PLC |  |
| 200000 | &nbsp;&nbsp;&nbsp; 0.976% (SOFR + 0.708%), 05/24/2025 (a) | 185350 |
| 200000 | &nbsp;&nbsp;&nbsp; 1.589% (SOFR + 1.290%), 05/24/2027 (a) | 172926 |
| 305000 | &nbsp;&nbsp;&nbsp; 5.210% (SOFR + 2.610%), 08/11/2028 (a) | 295186 |
| 200000 | &nbsp;&nbsp;&nbsp; 3.973% (3 Month LIBOR USD + 1.610%), 05/22/2030 (a) | 175961 |
| 400000 | &nbsp;&nbsp;&nbsp; 4.762% (SOFR + 2.530%), 03/29/2033 (a) | 348847 |
| 520000 | &nbsp;&nbsp;&nbsp; 5.402% (SOFR + 2.870%), 08/11/2033 (a)(e) | 484605 |
|  | JPMorgan Chase & Co. |  |
| 300000 | &nbsp;&nbsp;&nbsp; 3.782% (3 Month LIBOR USD + 1.337%), 02/01/2028 (a) | 281109 |
| 425000 | &nbsp;&nbsp;&nbsp; 4.323% (SOFR + 1.560%), 04/26/2028 (a) | 405597 |
| 310000 | &nbsp;&nbsp;&nbsp; 4.851% (SOFR + 1.990%), 07/25/2028 (a) | 303423 |
| 80000 | &nbsp;&nbsp;&nbsp; 3.509% (3 Month LIBOR USD + 0.945%), 01/23/2029 (a) | 72862 |
| 105000 | &nbsp;&nbsp;&nbsp; 2.739% (SOFR + 1.510%), 10/15/2030 (a) | 88514 |
| 240000 | &nbsp;&nbsp;&nbsp; 2.580% (SOFR + 1.250%), 04/22/2032 (a) | 193546 |
| 300000 | &nbsp;&nbsp;&nbsp; 2.545% (SOFR + 1.180%), 11/08/2032 (a) | 238713 |
| 30000 | &nbsp;&nbsp;&nbsp; 4.586% (SOFR + 1.800%), 04/26/2033 (a) | 27953 |
| 65000 | &nbsp;&nbsp;&nbsp; 4.912% (SOFR + 2.080%), 07/25/2033 (a) | 62379 |
| 60000 | KeyCorp |  |
|  | &nbsp;&nbsp;&nbsp; 2.550%, 10/01/2029 | 50735 |
| 165000 | PNC Financial Services Group, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 5.354% (SOFR + 1.620%), 12/02/2028 (a) | 166869 |
| 490000 | Societe Generale SA |  |
|  | &nbsp;&nbsp;&nbsp; 6.221% (1 Year CMT Rate + 3.200%), 06/15/2033 (a)(c) | 461384 |
| 200000 | Standard Chartered PLC |  |
|  | &nbsp;&nbsp;&nbsp; 7.767% (1 Year CMT Rate + 3.450%), 11/16/2028 (a)(c) | 212625 |
| 85000 | Truist Financial Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 1.887% (SOFR + 0.862%), 06/07/2029 (a) | 71430 |
|  | Wells Fargo & Co. |  |
| 85000 | &nbsp;&nbsp;&nbsp; 2.406% (SOFR + 1.087%), 10/30/2025 (a) | 80480 |
| 120000 | &nbsp;&nbsp;&nbsp; 3.000%, 04/22/2026 | 112410 |
| 200000 | &nbsp;&nbsp;&nbsp; 3.908% (SOFR + 1.320%), 04/25/2026 (a) | 193879 |
| 135000 | &nbsp;&nbsp;&nbsp; 3.000%, 10/23/2026 | 125112 |
| 210000 | &nbsp;&nbsp;&nbsp; 4.808% (SOFR + 1.980%), 07/25/2028 (a) | 205403 |
| 215000 | &nbsp;&nbsp;&nbsp; 3.350% (SOFR + 1.500%), 03/02/2033 (a) | 182333 |
| 590000 | &nbsp;&nbsp;&nbsp; 4.897% (SOFR + 2.100%), 07/25/2033 (a) | 560402 |
| 90000 | &nbsp;&nbsp;&nbsp; 5.013% (SOFR + 4.502%), 04/04/2051 (a) | 80306 |
|  |  | 8746830 |
|  | **Beverages - 0.27%** |  |
|  | Anheuser-Busch InBev Worldwide, Inc. |  |
| 180000 | &nbsp;&nbsp;&nbsp; 5.450%, 01/23/2039 | 181345 |
| 20000 | &nbsp;&nbsp;&nbsp; 4.900%, 02/01/2046 | 18433 |
| 60000 | &nbsp;&nbsp;&nbsp; 4.600%, 04/15/2048 | 52865 |
|  | Constellation Brands, Inc. |  |
| 25000 | &nbsp;&nbsp;&nbsp; 4.650%, 11/15/2028 | 24278 |
| 6000 | &nbsp;&nbsp;&nbsp; 3.150%, 08/01/2029 | 5283 |
| 200000 | Diageo Capital Plc |  |
|  | &nbsp;&nbsp;&nbsp; 2.000%, 04/29/2030 | 165212 |
|  |  | 447416 |
|  | **Biotechnology - 0.36%** |  |
| 175000 | AbbVie, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.250%, 11/21/2049 | 148407 |
|  | CSL Finance PLC |  |
| 170000 | &nbsp;&nbsp;&nbsp; 4.050%, 04/27/2029 (c) | 160954 |
| 170000 | &nbsp;&nbsp;&nbsp; 4.250%, 04/27/2032 (c) | 161133 |
| 160000 | Gilead Sciences, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 1.650%, 10/01/2030 | 127653 |
|  |  | 598147 |
|  | **Capital Markets - 2.60%** |  |
|  | BP Capital Markets America, Inc. |  |
| 100000 | &nbsp;&nbsp;&nbsp; 3.633%, 04/06/2030 | 92200 |
| 115000 | &nbsp;&nbsp;&nbsp; 2.721%, 01/12/2032 | 96994 |
| 125000 | &nbsp;&nbsp;&nbsp; 2.939%, 06/04/2051 | 83503 |
| 45000 | &nbsp;&nbsp;&nbsp; 3.379%, 02/08/2061 | 31275 |
|  | Credit Suisse Group AG |  |
| 250000 | &nbsp;&nbsp;&nbsp; 6.442% (SOFR + 3.700%), 08/11/2028 (a)(c) | 228368 |
| 750000 | &nbsp;&nbsp;&nbsp; 6.537% (SOFR + 3.920%), 08/12/2033 (a)(c) | 661970 |
|  | Intercontinental Exchange, Inc. |  |
| 55000 | &nbsp;&nbsp;&nbsp; 4.350%, 06/15/2029 | 53429 |
| 30000 | &nbsp;&nbsp;&nbsp; 4.600%, 03/15/2033 | 28775 |
| 20000 | &nbsp;&nbsp;&nbsp; 4.950%, 06/15/2052 | 18746 |
|  | Morgan Stanley |  |
| 310000 | &nbsp;&nbsp;&nbsp; 1.593% (SOFR + 0.879%), 05/04/2027 (a) | 272624 |
| 255000 | &nbsp;&nbsp;&nbsp; 2.475% (SOFR + 1.000%), 01/21/2028 (a) | 227255 |
| 210000 | &nbsp;&nbsp;&nbsp; 4.210% (SOFR + 1.610%), 04/20/2028(a) | 200346 |
| 340000 | &nbsp;&nbsp;&nbsp; 3.591% (3 Month LIBOR USD + 1.340%), 07/22/2028 (a) | 313669 |
| 55000 | &nbsp;&nbsp;&nbsp; 4.431% (3 Month LIBOR USD + 1.628%), 01/23/2030 (a) | 51586 |
| 210000 | &nbsp;&nbsp;&nbsp; 2.699% (SOFR + 1.143%), 01/22/2031 (a) | 174476 |
| 285000 | &nbsp;&nbsp;&nbsp; 1.794% (SOFR + 1.034%), 02/13/2032 (a) | 215558 |
| 145000 | &nbsp;&nbsp;&nbsp; 1.928% (SOFR + 1.020%), 04/28/2032 (a) | 110115 |
| 130000 | &nbsp;&nbsp;&nbsp; 2.511% (SOFR + 1.200%), 10/20/2032 (a) | 102054 |
| 85000 | State Street Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 5.820% (SOFR + 1.715%), 11/04/2028 (a) | 88069 |
|  | The Goldman Sachs Group, Inc. |  |
| 20000 | &nbsp;&nbsp;&nbsp; 3.272% (3 Month LIBOR USD + 1.201%), 09/29/2025 (a) | 19295 |
| 120000 | &nbsp;&nbsp;&nbsp; 4.482% (SOFR + 1.725%), 08/23/2028 (a) | 115581 |
| 70000 | &nbsp;&nbsp;&nbsp; 1.992% (SOFR + 1.090%), 01/27/2032 (a) | 53563 |
| 560000 | &nbsp;&nbsp;&nbsp; 2.615% (SOFR + 1.281%), 04/22/2032 (a) | 448254 |
| 225000 | &nbsp;&nbsp;&nbsp; 2.383% (SOFR + 1.248%), 07/21/2032 (a) | 175716 |
| 40000 | &nbsp;&nbsp;&nbsp; 2.650% (SOFR + 1.264%), 10/21/2032 (a) | 31792 |
| 60000 | &nbsp;&nbsp;&nbsp; 3.102% (SOFR + 1.410%), 02/24/2033 (a) | 49045 |
| 20000 | &nbsp;&nbsp;&nbsp; 6.250%, 02/01/2041 | 21085 |
| 200000 | UBS Group AG |  |
|  | &nbsp;&nbsp;&nbsp; 4.751% (1 Year CMT Rate + 1.750%), 05/12/2028 (a)(c) | 191981 |
| 195000 | Willis North America, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 2.950%, 09/15/2029 | 164803 |
|  |  | 4322127 |
|  | **Chemicals - 0.25%** |  |
| 230000 | Celanese US Holdings LLC |  |
|  | &nbsp;&nbsp;&nbsp; 6.165%, 07/15/2027 | 227554 |
| 235000 | The Sherwin-Williams Co. |  |
|  | &nbsp;&nbsp;&nbsp; 2.300%, 05/15/2030 | 194430 |
|  |  | 421984 |
|  | **Consumer Finance - 0.24%** |  |
| 420000 | Capital One Financial Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 5.247% (SOFR + 2.600%), 07/26/2030 (a) | 401754 |
|  | **Diversified Consumer Services - 0.08%** |  |
|  | Howard University |  |
| 100000 | &nbsp;&nbsp;&nbsp; 2.901%, 10/01/2031 | 82444 |
| 75000 | &nbsp;&nbsp;&nbsp; 3.476%, 10/01/2041 | 54909 |
|  |  | 137353 |
|  | **Diversified Financial Services - 0.85%** |  |
| 235000 | Athene Global Funding |  |
|  | &nbsp;&nbsp;&nbsp; 2.646%, 10/04/2031 (c) | 180704 |
|  | Corebridge Financial, Inc. |  |
| 150000 | &nbsp;&nbsp;&nbsp; 3.850%, 04/05/2029 (c) | 137224 |
| 40000 | &nbsp;&nbsp;&nbsp; 3.900%, 04/05/2032 (c) | 35317 |
| 300000 | DAE Funding LLC |  |
|  | &nbsp;&nbsp;&nbsp; 1.550%, 08/01/2024 (c) | 279468 |
| 340000 | Equitable Financial Life Global Funding |  |
|  | &nbsp;&nbsp;&nbsp; 1.800%, 03/08/2028 (c) | 284467 |
|  | National Rural Utilities Cooperative Finance Corp. |  |
| 145000 | &nbsp;&nbsp;&nbsp; 4.800%, 03/15/2028 | 144276 |
| 185000 | &nbsp;&nbsp;&nbsp; 4.150%, 12/15/2032 | 172022 |
|  | Shell International Finance BV |  |
| 180000 | &nbsp;&nbsp;&nbsp; 3.250%, 04/06/2050 | 130955 |
| 80000 | &nbsp;&nbsp;&nbsp; 3.000%, 11/26/2051 | 54827 |
|  |  | 1419260 |
|  | **Diversified Telecommunication Services - 0.53%** |  |
|  | AT&T, Inc. |  |
| 75000 | &nbsp;&nbsp;&nbsp; 1.700%, 03/25/2026 | 67784 |
| 175000 | &nbsp;&nbsp;&nbsp; 4.500%, 05/15/2035 | 159971 |
| 80000 | &nbsp;&nbsp;&nbsp; 3.650%, 06/01/2051 | 57101 |
| 148000 | &nbsp;&nbsp;&nbsp; 3.500%, 09/15/2053 | 100472 |
| 91000 | &nbsp;&nbsp;&nbsp; 3.550%, 09/15/2055 | 61404 |
| 53000 | &nbsp;&nbsp;&nbsp; 3.800%, 12/01/2057 | 37106 |
|  | Verizon Communications, Inc. |  |
| 420000 | &nbsp;&nbsp;&nbsp; 2.355%, 03/15/2032 | 334513 |
| 85000 | &nbsp;&nbsp;&nbsp; 2.650%, 11/20/2040 | 58078 |
|  |  | 876429 |
|  | **Electric Utilities - 3.05%** |  |
| 165000 | Alabama Power Co. |  |
|  | &nbsp;&nbsp;&nbsp; 3.450%, 10/01/2049 | 120400 |
| 130000 | Consolidated Edison Co. of New York, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 3.200%, 12/01/2051 | 91213 |
|  | Duke Energy Carolinas LLC |  |
| 150000 | &nbsp;&nbsp;&nbsp; 2.550%, 04/15/2031 | 126044 |
| 156000 | &nbsp;&nbsp;&nbsp; 5.300%, 02/15/2040 | 156151 |
|  | Duke Energy Corp. |  |
| 429000 | &nbsp;&nbsp;&nbsp; 2.550%, 06/15/2031 | 351790 |
| 220000 | &nbsp;&nbsp;&nbsp; 4.500%, 08/15/2032 | 208054 |
| 95000 | Duke Energy Indiana, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.900%, 07/15/2043 | 87862 |
| 50000 | Duke Energy Progress LLC |  |
|  | &nbsp;&nbsp;&nbsp; 2.000%, 08/15/2031 | 39772 |
| 45000 | Evergy Metro, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 2.250%, 06/01/2030 | 37246 |
|  | Evergy, Inc. |  |
| 80000 | &nbsp;&nbsp;&nbsp; 2.450%, 09/15/2024 | 76046 |
| 155000 | &nbsp;&nbsp;&nbsp; 2.900%, 09/15/2029 | 134567 |
|  | Georgia Power Co. |  |
| 130000 | &nbsp;&nbsp;&nbsp; 2.100%, 07/30/2023 | 127859 |
| 120000 | &nbsp;&nbsp;&nbsp; 4.700%, 05/15/2032 | 116476 |
| 50000 | &nbsp;&nbsp;&nbsp; 4.750%, 09/01/2040 | 45629 |
| 210000 | ITC Holdings Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 2.950%, 05/14/2030 (c) | 178113 |
|  | NextEra Energy Capital Holdings, Inc. |  |
| 365000 | &nbsp;&nbsp;&nbsp; 4.625%, 07/15/2027 (e) | 360063 |
| 325000 | &nbsp;&nbsp;&nbsp; 2.250%, 06/01/2030 | 268902 |
| 145000 | Oglethorpe Power Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 5.050%, 10/01/2048 | 125408 |
|  | Oncor Electric Delivery Co. LLC |  |
| 50000 | &nbsp;&nbsp;&nbsp; 5.750%, 03/15/2029 | 52087 |
| 75000 | &nbsp;&nbsp;&nbsp; 2.750%, 05/15/2030 | 65689 |
|  | Pacific Gas and Electric Co. |  |
| 490000 | &nbsp;&nbsp;&nbsp; 5.450%, 06/15/2027 (e) | 484682 |
| 520000 | &nbsp;&nbsp;&nbsp; 2.500%, 02/01/2031 | 407516 |
| 120000 | &nbsp;&nbsp;&nbsp; 3.250%, 06/01/2031 | 98171 |
| 140000 | &nbsp;&nbsp;&nbsp; 4.950%, 07/01/2050 | 109742 |
| 60000 | PacifiCorp |  |
|  | &nbsp;&nbsp;&nbsp; 2.700%, 09/15/2030 | 51897 |
|  | Puget Energy, Inc. |  |
| 135000 | &nbsp;&nbsp;&nbsp; 3.650%, 05/15/2025 | 128625 |
| 135000 | &nbsp;&nbsp;&nbsp; 4.100%, 06/15/2030 | 121121 |
|  | Southern California Edison Co. |  |
| 40000 | &nbsp;&nbsp;&nbsp; 5.850%, 11/01/2027 | 41317 |
| 90000 | &nbsp;&nbsp;&nbsp; 2.850%, 08/01/2029 | 78688 |
| 225000 | &nbsp;&nbsp;&nbsp; 2.250%, 06/01/2030 | 186591 |
| 230000 | &nbsp;&nbsp;&nbsp; 2.750%, 02/01/2032 | 193859 |
| 19000 | &nbsp;&nbsp;&nbsp; 4.000%, 04/01/2047 | 14995 |
| 61000 | &nbsp;&nbsp;&nbsp; 4.125%, 03/01/2048 | 49275 |
| 80000 | &nbsp;&nbsp;&nbsp; 3.650%, 02/01/2050 | 59176 |
|  | The Southern Co. |  |
| 230000 | &nbsp;&nbsp;&nbsp; 3.700%, 04/30/2030 | 208784 |
| 25000 | &nbsp;&nbsp;&nbsp; 4.400%, 07/01/2046 | 21091 |
| 55000 | Xcel Energy, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.600%, 06/01/2032 | 52856 |
|  |  | 5077757 |
|  | **Electronic Equipment, Instruments & Components - 0.18%** |  |
|  | CDW LLC / CDW Finance Corp. |  |
| 60000 | &nbsp;&nbsp;&nbsp; 2.670%, 12/01/2026 | 53382 |
| 55000 | &nbsp;&nbsp;&nbsp; 3.276%, 12/01/2028 | 47192 |
| 55000 | &nbsp;&nbsp;&nbsp; 3.569%, 12/01/2031 | 45333 |
| 150000 | Microchip Technology, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 2.670%, 09/01/2023 | 147237 |
|  |  | 293144 |
|  | **Energy Equipment & Services - 0.07%** |  |
| 65000 | Halliburton Co. |  |
|  | &nbsp;&nbsp;&nbsp; 4.850%, 11/15/2035 | 60655 |
| 59000 | Schlumberger Holdings Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 4.300%, 05/01/2029 (c) | 55667 |
|  |  | 116322 |
|  | **Equity Real Estate Investment Trusts (REITs) - 0.25%** |  |
| 150000 | American Tower Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 3.650%, 03/15/2027 | 140529 |
|  | VICI Properties LP |  |
| 125000 | &nbsp;&nbsp;&nbsp; 4.950%, 02/15/2030 | 119158 |
| 170000 | &nbsp;&nbsp;&nbsp; 5.125%, 05/15/2032 | 157739 |
|  |  | 417426 |
|  | **Food Products - 0.33%** |  |
|  | Cargill, Inc. |  |
| 165000 | &nbsp;&nbsp;&nbsp; 2.125%, 11/10/2031 (c) | 131145 |
| 125000 | &nbsp;&nbsp;&nbsp; 4.000%, 06/22/2032 (c) | 115965 |
| 230000 | Conagra Brands, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.850%, 11/01/2028 | 224516 |
|  | Mondelez International, Inc. |  |
| 40000 | &nbsp;&nbsp;&nbsp; 2.625%, 03/17/2027 | 36394 |
| 7000 | &nbsp;&nbsp;&nbsp; 2.750%, 04/13/2030 | 6062 |
| 30000 | &nbsp;&nbsp;&nbsp; 3.000%, 03/17/2032 | 25837 |
|  |  | 539919 |
|  | **Health Care Equipment & Supplies - 0.37%** |  |
| 200000 | Alcon Finance Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 2.750%, 09/23/2026 (c) | 183544 |
|  | GE HealthCare Technologies, Inc. |  |
| 315000 | &nbsp;&nbsp;&nbsp; 5.650%, 11/15/2027 (c) | 319843 |
| 100000 | &nbsp;&nbsp;&nbsp; 5.905%, 11/22/2032 (c) | 104270 |
|  |  | 607657 |
|  | **Health Care Providers & Services - 0.87%** |  |
| 70000 | CommonSpirit Health |  |
|  | &nbsp;&nbsp;&nbsp; 2.760%, 10/01/2024 | 67194 |
|  | CVS Health Corp. |  |
| 45000 | &nbsp;&nbsp;&nbsp; 4.300%, 03/25/2028 | 43683 |
| 100000 | &nbsp;&nbsp;&nbsp; 4.125%, 04/01/2040 | 84047 |
| 15000 | &nbsp;&nbsp;&nbsp; 5.125%, 07/20/2045 | 13684 |
|  | Elevance Health, Inc. |  |
| 5000 | &nbsp;&nbsp;&nbsp; 5.350%, 10/15/2025 | 5065 |
| 155000 | &nbsp;&nbsp;&nbsp; 2.875%, 09/15/2029 | 136883 |
| 35000 | Humana, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 5.875%, 03/01/2033 | 36344 |
|  | Kaiser Foundation Hospitals |  |
| 70000 | &nbsp;&nbsp;&nbsp; 2.810%, 06/01/2041 | 51331 |
| 115000 | &nbsp;&nbsp;&nbsp; 3.002%, 06/01/2051 | 79538 |
| 100000 | Quest Diagnostics, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 2.800%, 06/30/2031 | 84250 |
| 75000 | Sutter Health |  |
|  | &nbsp;&nbsp;&nbsp; 3.361%, 08/15/2050 | 51566 |
|  | UnitedHealth Group, Inc. |  |
| 160000 | &nbsp;&nbsp;&nbsp; 5.300%, 02/15/2030 | 165654 |
| 135000 | &nbsp;&nbsp;&nbsp; 2.300%, 05/15/2031 | 113088 |
| 100000 | &nbsp;&nbsp;&nbsp; 4.200%, 05/15/2032 | 95503 |
| 145000 | &nbsp;&nbsp;&nbsp; 5.350%, 02/15/2033 | 150518 |
| 10000 | &nbsp;&nbsp;&nbsp; 3.500%, 08/15/2039 | 8257 |
| 135000 | &nbsp;&nbsp;&nbsp; 3.950%, 10/15/2042 | 115223 |
| 80000 | &nbsp;&nbsp;&nbsp; 5.875%, 02/15/2053 | 87087 |
| 30000 | &nbsp;&nbsp;&nbsp; 4.950%, 05/15/2062 | 28398 |
| 25000 | &nbsp;&nbsp;&nbsp; 6.050%, 02/15/2063 | 27505 |
|  |  | 1444818 |
|  | **Hotels, Restaurants & Leisure - 0.14%** |  |
| 65000 | GLP Capital LP / GLP Financing II, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 5.300%, 01/15/2029 | 61617 |
|  | McDonald's Corp. |  |
| 50000 | &nbsp;&nbsp;&nbsp; 4.600%, 05/26/2045 | 45140 |
| 15000 | &nbsp;&nbsp;&nbsp; 4.875%, 12/09/2045 | 14039 |
| 55000 | &nbsp;&nbsp;&nbsp; 3.625%, 09/01/2049 | 41896 |
| 90000 | &nbsp;&nbsp;&nbsp; 4.200%, 04/01/2050 | 75925 |
|  |  | 238617 |
|  | **Industrial Conglomerates - 0.14%** |  |
|  | NXP BV / NXP Funding LLC / NXP USA, Inc. |  |
| 147000 | &nbsp;&nbsp;&nbsp; 4.875%, 03/01/2024 | 145988 |
| 90000 | &nbsp;&nbsp;&nbsp; 4.300%, 06/18/2029 | 83938 |
|  |  | 229926 |
|  | **Insurance - 0.44%** |  |
| 70000 | Aon Corp / Aon Global Holdings Plc |  |
|  | &nbsp;&nbsp;&nbsp; 3.900%, 02/28/2052 | 54216 |
| 65000 | Berkshire Hathaway Finance Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 4.200%, 08/15/2048 | 58135 |
| 190000 | Brighthouse Financial Global Funding |  |
|  | &nbsp;&nbsp;&nbsp; 1.750%, 01/13/2025 (c) | 175252 |
| 90000 | Marsh & McLennan Cos, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.750%, 03/15/2039 | 83581 |
| 70000 | Marsh & McLennan Cos., Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.050%, 10/15/2023 | 69270 |
| 360000 | Metropolitan Life Global Funding I |  |
|  | &nbsp;&nbsp;&nbsp; 2.400%, 01/11/2032 (c) | 291502 |
|  |  | 731956 |
|  | **Internet & Direct Marketing Retail - 0.18%** |  |
|  | Amazon.com, Inc. |  |
| 115000 | &nbsp;&nbsp;&nbsp; 3.875%, 08/22/2037 | 103050 |
| 240000 | &nbsp;&nbsp;&nbsp; 4.100%, 04/13/2062 | 200126 |
|  |  | 303176 |
|  | **IT Services - 0.05%** |  |
| 100000 | International Business Machines Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 2.720%, 02/09/2032 | 84548 |
|  | **Machinery - 0.25%** |  |
| 490000 | Otis Worldwide Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 2.565%, 02/15/2030 | 413923 |
|  | **Media - 1.67%** |  |
|  | Charter Communications Operating LLC / Charter Communications Operating Capital |  |
| 210000 | &nbsp;&nbsp;&nbsp; 2.250%, 01/15/2029 | 169768 |
| 155000 | &nbsp;&nbsp;&nbsp; 4.400%, 04/01/2033 | 133541 |
| 29000 | &nbsp;&nbsp;&nbsp; 3.500%, 03/01/2042 | 18898 |
| 150000 | &nbsp;&nbsp;&nbsp; 5.375%, 05/01/2047 | 118888 |
| 55000 | &nbsp;&nbsp;&nbsp; 5.750%, 04/01/2048 | 45569 |
| 75000 | &nbsp;&nbsp;&nbsp; 5.125%, 07/01/2049 | 57340 |
| 160000 | &nbsp;&nbsp;&nbsp; 4.800%, 03/01/2050 | 117106 |
| 45000 | &nbsp;&nbsp;&nbsp; 3.700%, 04/01/2051 | 27695 |
| 170000 | &nbsp;&nbsp;&nbsp; 3.900%, 06/01/2052 | 107942 |
| 70000 | &nbsp;&nbsp;&nbsp; 4.400%, 12/01/2061 | 45308 |
|  | Comcast Corp. |  |
| 70000 | &nbsp;&nbsp;&nbsp; 5.350%, 11/15/2027 | 71720 |
| 35000 | &nbsp;&nbsp;&nbsp; 3.200%, 07/15/2036 | 28628 |
| 255000 | &nbsp;&nbsp;&nbsp; 3.750%, 04/01/2040 | 212589 |
| 75000 | &nbsp;&nbsp;&nbsp; 2.937%, 11/01/2056 | 47085 |
|  | Cox Communications, Inc. |  |
| 101000 | &nbsp;&nbsp;&nbsp; 3.150%, 08/15/2024 (c) | 97304 |
| 120000 | &nbsp;&nbsp;&nbsp; 2.600%, 06/15/2031 (c) | 96173 |
|  | Discovery Communications LLC |  |
| 18000 | &nbsp;&nbsp;&nbsp; 4.125%, 05/15/2029 | 15693 |
| 75000 | &nbsp;&nbsp;&nbsp; 4.650%, 05/15/2050 | 52000 |
|  | Discovery Communications, LLC |  |
| 179000 | &nbsp;&nbsp;&nbsp; 5.200%, 09/20/2047 | 134452 |
| 103000 | &nbsp;&nbsp;&nbsp; 5.300%, 05/15/2049 | 78836 |
|  | Paramount Global |  |
| 45000 | &nbsp;&nbsp;&nbsp; 4.200%, 06/01/2029 | 40263 |
| 15000 | &nbsp;&nbsp;&nbsp; 4.950%, 01/15/2031 | 13404 |
| 255000 | &nbsp;&nbsp;&nbsp; 4.200%, 05/19/2032 | 210093 |
| 130000 | &nbsp;&nbsp;&nbsp; 4.375%, 03/15/2043 | 90393 |
| 40000 | &nbsp;&nbsp;&nbsp; 5.850%, 09/01/2043 | 33535 |
|  | Time Warner Cable, Inc. |  |
| 30000 | &nbsp;&nbsp;&nbsp; 5.500%, 09/01/2041 | 25097 |
| 50000 | &nbsp;&nbsp;&nbsp; 4.500%, 09/15/2042 | 36966 |
|  | Warnermedia Holdings, Inc. |  |
| 210000 | &nbsp;&nbsp;&nbsp; 4.279%, 03/15/2032 (c)(e) | 172886 |
| 655000 | &nbsp;&nbsp;&nbsp; 5.141%, 03/15/2052 (c) | 480011 |
|  |  | 2779183 |
|  | **Metals & Mining - 0.11%** |  |
| 205000 | Anglo American Capital PLC |  |
|  | &nbsp;&nbsp;&nbsp; 3.875%, 03/16/2029 (c) | 184870 |
|  | **Multi-Utilities - 0.43%** |  |
|  | Berkshire Hathaway Energy Co. |  |
| 50000 | &nbsp;&nbsp;&nbsp; 3.250%, 04/15/2028 | 46427 |
| 65000 | &nbsp;&nbsp;&nbsp; 6.125%, 04/01/2036 | 68739 |
|  | NiSource, Inc. |  |
| 379000 | &nbsp;&nbsp;&nbsp; 3.600%, 05/01/2030 | 339510 |
| 45000 | &nbsp;&nbsp;&nbsp; 1.700%, 02/15/2031 | 34549 |
|  | Sempra Energy |  |
| 150000 | &nbsp;&nbsp;&nbsp; 3.400%, 02/01/2028 | 139691 |
| 35000 | &nbsp;&nbsp;&nbsp; 3.700%, 04/01/2029 | 32123 |
| 75000 | &nbsp;&nbsp;&nbsp; 4.000%, 02/01/2048 | 59369 |
|  |  | 720408 |
|  | **Oil, Gas & Consumable Fuels - 1.93%** |  |
| 80000 | Amerada Hess Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 7.875%, 10/01/2029 | 89081 |
| 50000 | Boston Gas Co. |  |
|  | &nbsp;&nbsp;&nbsp; 3.757%, 03/16/2032 (c) | 43840 |
| 95000 | ConocoPhillips Co. |  |
|  | &nbsp;&nbsp;&nbsp; 3.800%, 03/15/2052 | 75887 |
| 65000 | Diamondback Energy, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 6.250%, 03/15/2033 | 66312 |
|  | Energy Transfer LP |  |
| 105000 | &nbsp;&nbsp;&nbsp; 5.550%, 02/15/2028 | 104103 |
| 90000 | &nbsp;&nbsp;&nbsp; 5.750%, 02/15/2033 | 88226 |
| 115000 | &nbsp;&nbsp;&nbsp; 6.250%, 04/15/2049 | 108165 |
| 70000 | Energy Transfer Operating LP |  |
|  | &nbsp;&nbsp;&nbsp; 6.125%, 12/15/2045 | 65481 |
|  | Enterprise Products Operating LLC |  |
| 50000 | &nbsp;&nbsp;&nbsp; 2.800%, 01/31/2030 | 42760 |
| 190000 | &nbsp;&nbsp;&nbsp; 4.800%, 02/01/2049 | 163969 |
|  | Equinor ASA |  |
| 95000 | &nbsp;&nbsp;&nbsp; 3.625%, 04/06/2040 | 79050 |
| 70000 | &nbsp;&nbsp;&nbsp; 3.700%, 04/06/2050 | 56009 |
| 145000 | Exxon Mobil Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 4.227%, 03/19/2040 | 131531 |
| 193306 | Galaxy Pipeline Assets Bidco, Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; 2.940%, 09/30/2040 (c) | 156106 |
| 70000 | Hess Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 7.300%, 08/15/2031 | 76434 |
|  | MPLX LP |  |
| 5000 | &nbsp;&nbsp;&nbsp; 4.125%, 03/01/2027 | 4733 |
| 35000 | &nbsp;&nbsp;&nbsp; 4.250%, 12/01/2027 | 33186 |
| 55000 | &nbsp;&nbsp;&nbsp; 4.950%, 09/01/2032 | 51907 |
| 90000 | &nbsp;&nbsp;&nbsp; 5.200%, 03/01/2047 | 77220 |
| 75000 | &nbsp;&nbsp;&nbsp; 4.950%, 03/14/2052 | 62050 |
|  | ONEOK, Inc. |  |
| 55000 | &nbsp;&nbsp;&nbsp; 4.550%, 07/15/2028 | 52113 |
| 135000 | &nbsp;&nbsp;&nbsp; 3.100%, 03/15/2030 | 113779 |
| 62000 | &nbsp;&nbsp;&nbsp; 6.350%, 01/15/2031 | 63330 |
| 30000 | &nbsp;&nbsp;&nbsp; 6.100%, 11/15/2032 | 30278 |
| 45000 | Ovintiv, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 7.375%, 11/01/2031 | 48196 |
|  | Plains All American Pipeline LP / PAA Finance Corp. |  |
| 45000 | &nbsp;&nbsp;&nbsp; 3.550%, 12/15/2029 | 39228 |
| 80000 | &nbsp;&nbsp;&nbsp; 3.800%, 09/15/2030 | 69909 |
|  | Sabine Pass Liquefaction LLC |  |
| 40000 | &nbsp;&nbsp;&nbsp; 5.625%, 03/01/2025 | 40104 |
| 50000 | &nbsp;&nbsp;&nbsp; 5.000%, 03/15/2027 | 49163 |
| 135000 | &nbsp;&nbsp;&nbsp; 4.500%, 05/15/2030 | 125786 |
| 10000 | Southern Co. Gas Capital Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 2.450%, 10/01/2023 | 9785 |
| 5000 | Sunoco Logistics Partners Operations LP |  |
|  | &nbsp;&nbsp;&nbsp; 5.300%, 04/01/2044 | 4267 |
| 125000 | Targa Resources Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 5.200%, 07/01/2027 | 122899 |
| 235000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 4.000%, 01/15/2032 | 197682 |
| 245000 | The Brooklyn Union Gas Co. |  |
|  | &nbsp;&nbsp;&nbsp; 4.866%, 08/05/2032 (c) | 230502 |
|  | The Williams Companies, Inc. |  |
| 95000 | &nbsp;&nbsp;&nbsp; 2.600%, 03/15/2031 | 77376 |
| 155000 | &nbsp;&nbsp;&nbsp; 4.650%, 08/15/2032 | 145235 |
| 105000 | TransCanada PipeLines, Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; 2.500%, 10/12/2031 | 83922 |
| 70000 | TransCanada PipeLines, Ltd. |  |
|  | &nbsp;&nbsp;&nbsp; 4.100%, 04/15/2030 | 64446 |
| 70000 | Transcontinental Gas Pipe Line Co., LLC |  |
|  | &nbsp;&nbsp;&nbsp; 3.250%, 05/15/2030 | 61089 |
|  |  | 3205139 |
|  | **Personal Products - 0.16%** |  |
| 295000 | GSK Consumer Healthcare Capital US LLC |  |
|  | &nbsp;&nbsp;&nbsp; 3.375%, 03/24/2029 | 266452 |
|  | **Pharmaceuticals - 0.34%** |  |
|  | Royalty Pharma PLC |  |
| 190000 | &nbsp;&nbsp;&nbsp; 1.750%, 09/02/2027 | 161388 |
| 260000 | &nbsp;&nbsp;&nbsp; 2.200%, 09/02/2030 | 204483 |
| 210000 | &nbsp;&nbsp;&nbsp; 2.150%, 09/02/2031 | 159866 |
| 60000 | &nbsp;&nbsp;&nbsp; 3.350%, 09/02/2051 | 37307 |
|  |  | 563044 |
|  | **Road & Rail - 0.09%** |  |
| 120000 | Canadian Pacific Railway Co. |  |
|  | &nbsp;&nbsp;&nbsp; 2.450%, 12/02/2031 | 100071 |
| 70000 | Union Pacific Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 4.100%, 09/15/2067 | 55433 |
|  |  | 155504 |
|  | **Semiconductors & Semiconductor Equipment - 0.79%** |  |
|  | Broadcom, Inc. |  |
| 95000 | &nbsp;&nbsp;&nbsp; 4.300%, 11/15/2032 | 84308 |
| 225000 | &nbsp;&nbsp;&nbsp; 3.419%, 04/15/2033 (c) | 181623 |
| 44000 | &nbsp;&nbsp;&nbsp; 3.137%, 11/15/2035 (c) | 32636 |
| 300000 | &nbsp;&nbsp;&nbsp; 3.187%, 11/15/2036 (c) | 217112 |
| 66000 | &nbsp;&nbsp;&nbsp; 4.926%, 05/15/2037 (c) | 57971 |
|  | Intel Corp. |  |
| 65000 | &nbsp;&nbsp;&nbsp; 4.000%, 08/05/2029 | 62083 |
| 115000 | &nbsp;&nbsp;&nbsp; 4.150%, 08/05/2032 (e) | 108215 |
| 150000 | &nbsp;&nbsp;&nbsp; 2.800%, 08/12/2041 | 105765 |
| 70000 | &nbsp;&nbsp;&nbsp; 3.250%, 11/15/2049 | 48121 |
| 80000 | &nbsp;&nbsp;&nbsp; 3.050%, 08/12/2051 | 52588 |
| 160000 | &nbsp;&nbsp;&nbsp; 5.050%, 08/05/2062 (e) | 142418 |
|  | Marvell Technology, Inc. |  |
| 30000 | &nbsp;&nbsp;&nbsp; 2.450%, 04/15/2028 | 25490 |
| 95000 | &nbsp;&nbsp;&nbsp; 2.950%, 04/15/2031 | 76866 |
| 150000 | NVIDIA Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 3.500%, 04/01/2040 | 122869 |
|  |  | 1318065 |
|  | **Software - 0.49%** |  |
|  | Oracle Corp. |  |
| 80000 | &nbsp;&nbsp;&nbsp; 2.300%, 03/25/2028 | 69555 |
| 160000 | &nbsp;&nbsp;&nbsp; 6.150%, 11/09/2029 | 166841 |
| 185000 | &nbsp;&nbsp;&nbsp; 4.300%, 07/08/2034 | 163386 |
| 25000 | &nbsp;&nbsp;&nbsp; 3.900%, 05/15/2035 | 21089 |
| 50000 | &nbsp;&nbsp;&nbsp; 3.800%, 11/15/2037 | 39961 |
| 212000 | &nbsp;&nbsp;&nbsp; 3.600%, 04/01/2040 | 158360 |
| 187000 | &nbsp;&nbsp;&nbsp; 3.600%, 04/01/2050 | 127565 |
| 85000 | &nbsp;&nbsp;&nbsp; 4.100%, 03/25/2061 | 59775 |
|  |  | 806532 |
|  | **Specialty Retail - 0.28%** |  |
|  | Lowe's Cos, Inc. |  |
| 30000 | &nbsp;&nbsp;&nbsp; 3.750%, 04/01/2032 | 26858 |
| 85000 | &nbsp;&nbsp;&nbsp; 5.625%, 04/15/2053 | 81297 |
| 215000 | O'Reilly Automotive, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.700%, 06/15/2032 | 209326 |
| 155000 | Penske Truck Leasing Co. LP / PTL Finance Corp. |  |
|  | &nbsp;&nbsp;&nbsp; 4.400%, 07/01/2027 (c) | 147544 |
|  |  | 465025 |
|  | **Technology Hardware, Storage & Peripherals - 0.03%** |  |
| 85000 | Apple, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 2.650%, 02/08/2051 | 56765 |
|  | **Tobacco - 0.61%** |  |
| 40000 | Altria Group, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 3.400%, 02/04/2041 | 26689 |
|  | BAT Capital Corp. |  |
| 135000 | &nbsp;&nbsp;&nbsp; 2.259%, 03/25/2028 | 112617 |
| 100000 | &nbsp;&nbsp;&nbsp; 3.462%, 09/06/2029 | 86117 |
| 290000 | &nbsp;&nbsp;&nbsp; 4.742%, 03/16/2032 | 258944 |
| 205000 | BAT International Finance Plc |  |
|  | &nbsp;&nbsp;&nbsp; 4.448%, 03/16/2028 | 190813 |
|  | Philip Morris International, Inc. |  |
| 180000 | &nbsp;&nbsp;&nbsp; 5.125%, 11/17/2027 | 181829 |
| 80000 | &nbsp;&nbsp;&nbsp; 5.625%, 11/17/2029 | 81586 |
| 85000 | Reynolds American, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 5.700%, 08/15/2035 | 77168 |
|  |  | 1015763 |
|  | **Wireless Telecommunication Services - 0.24%** |  |
| 100000 | Rogers Communications, Inc. |  |
|  | &nbsp;&nbsp;&nbsp; 4.550%, 03/15/2052 (c) | 78042 |
|  | T-Mobile USA, Inc. |  |
| 65000 | &nbsp;&nbsp;&nbsp; 2.050%, 02/15/2028 | 56044 |
| 180000 | &nbsp;&nbsp;&nbsp; 3.875%, 04/15/2030 | 163901 |
| 95000 | &nbsp;&nbsp;&nbsp; 5.200%, 01/15/2033 | 94838 |
|  |  | 392825 |
|  | **Total Corporate Obligations (Cost $45,835,464)** | **40416655** |
|  | **FOREIGN GOVERNMENT DEBT OBLIGATIONS - 1.47%** |  |
|  | Bermuda Government International Bond |  |
| 200000 | &nbsp;&nbsp;&nbsp; 2.375%, 08/20/2030 | 169707 |
| 200000 | &nbsp;&nbsp;&nbsp; 5.000%, 07/15/2032 (c) | 199033 |
| 285000 | Finance Department Government of Sharjah |  |
|  | &nbsp;&nbsp;&nbsp; 3.625%, 03/10/2033 | 237294 |
| 210000 | Hungary Government International Bond |  |
|  | &nbsp;&nbsp;&nbsp; 5.250%, 06/16/2029 (c) | 201414 |
|  | Mexico Government International Bond |  |
| 210000 | &nbsp;&nbsp;&nbsp; 3.500%, 02/12/2034 | 168800 |
| 200000 | &nbsp;&nbsp;&nbsp; 4.280%, 08/14/2041 | 154348 |
| 280000 | &nbsp;&nbsp;&nbsp; 4.750%, 03/08/2044 | 226890 |
|  | Panama Government International Bond |  |
| 410000 | &nbsp;&nbsp;&nbsp; 4.500%, 04/16/2050 | 310939 |
| 220000 | &nbsp;&nbsp;&nbsp; 3.870%, 07/23/2060 | 141980 |
| 200000 | &nbsp;&nbsp;&nbsp; 4.500%, 01/19/2063 | 141651 |
|  | Romanian Government International Bond |  |
| 246000 | &nbsp;&nbsp;&nbsp; 3.000%, 02/27/2027 (c) | 218753 |
| 338000 | &nbsp;&nbsp;&nbsp; 3.000%, 02/14/2031 | 267512 |
|  | **Total Foreign Government Debt Obligations (Cost $3,116,440)** | **2438321** |
|  | **MORTGAGE BACKED SECURITIES - U.S. GOVERNMENT AGENCY - 37.84%** |  |
|  | Federal Home Loan Mortgage Corp. |  |
| 892 | &nbsp;&nbsp;&nbsp; Pool #D9-6291 4.500%, 09/01/2023 | 877 |
| 2684 | &nbsp;&nbsp;&nbsp; Pool #G1-3624 5.000%, 08/01/2024 | 2706 |
| 82000 | &nbsp;&nbsp;&nbsp; Series K-068, 3.244%, 08/25/2027 | 78030 |
| 333749 | &nbsp;&nbsp;&nbsp; Series K-110, 1.697%, 04/25/2030 (b)(j) | 30540 |
| 1321130 | &nbsp;&nbsp;&nbsp; Series K-111, 1.572%, 05/25/2030 (b)(j) | 117580 |
| 931083 | &nbsp;&nbsp;&nbsp; Series K-114, 1.117%, 06/25/2030 (b)(j) | 60159 |
| 299001 | &nbsp;&nbsp;&nbsp; Series K-122, 0.882%, 11/25/2030 (b)(j) | 15588 |
| 57120 | &nbsp;&nbsp;&nbsp; Series 2329, 6.500%, 06/15/2031 | 58378 |
| 31677 | &nbsp;&nbsp;&nbsp; Series 2338, 6.500%, 07/15/2031 | 33098 |
| 32569 | &nbsp;&nbsp;&nbsp; Pool #78-0447 3.051% (1 Year CMT Rate + 2.250%, 2.250% Floor, 9.312% Cap), 04/01/2033 (a) | 32787 |
| 45 | &nbsp;&nbsp;&nbsp; Pool #A4-3129 5.500%, 02/01/2036 | 45 |
| 37672 | &nbsp;&nbsp;&nbsp; Series 4216, 1.700%, 10/15/2039 | 36216 |
| 30429 | &nbsp;&nbsp;&nbsp; Series 3883, 3.000%, 05/15/2041 | 28279 |
| 114545 | &nbsp;&nbsp;&nbsp; Pool #U9-0688 4.000%, 05/01/2042 | 110226 |
| 201212 | &nbsp;&nbsp;&nbsp; Pool #Q4-9389 3.500%, 07/01/2047 | 187305 |
| 177479 | &nbsp;&nbsp;&nbsp; Pool #Q5-2093 3.500%, 11/01/2047 | 165121 |
| 390548 | &nbsp;&nbsp;&nbsp; Series 5170, 2.000%, 07/25/2050 | 331099 |
| 1782713 | &nbsp;&nbsp;&nbsp; Pool #SD-8123 3.000%, 01/01/2051 | 1572527 |
| 2759828 | &nbsp;&nbsp;&nbsp; Pool #QC-8858 2.500%, 10/01/2051 | 2366324 |
| 372048 | &nbsp;&nbsp;&nbsp; Pool #QD-1626 2.500%, 12/01/2051 | 316610 |
| 4907902 | &nbsp;&nbsp;&nbsp; Pool #QD-4104 2.000%, 01/01/2052 | 4012555 |
| 147821 | &nbsp;&nbsp;&nbsp; Pool #QE-0827 2.000%, 04/01/2052 | 120783 |
| 3794673 | &nbsp;&nbsp;&nbsp; Pool #QE-4044 2.500%, 06/01/2052 | 3225907 |
|  | Federal National Mortgage Association |  |
| 120137 | &nbsp;&nbsp;&nbsp; Pool #AJ8325 3.000%, 12/01/2026 | 116540 |
| 496 | &nbsp;&nbsp;&nbsp; Pool #544859 3.280% (11th District Cost of Funds Index + 1.695%, 1.695% Floor, 13.695% Cap), 08/01/2029 (a) | 490 |
| 714092 | &nbsp;&nbsp;&nbsp; Series K-104, 1.124%, 01/25/2030 (b)(j) | 43361 |
| 20071 | &nbsp;&nbsp;&nbsp; Pool #BC4938 2.500%, 04/01/2031 | 18863 |
| 42490 | &nbsp;&nbsp;&nbsp; Pool #786848 7.000%, 10/01/2031 | 43467 |
| 1385 | &nbsp;&nbsp;&nbsp; Pool #727181 5.000%, 08/01/2033 | 1416 |
| 701 | &nbsp;&nbsp;&nbsp; Pool #730727 5.000%, 08/01/2033 | 716 |
| 212 | &nbsp;&nbsp;&nbsp; Pool #741862 5.500%, 09/01/2033 | 219 |
| 282 | &nbsp;&nbsp;&nbsp; Pool #766197 5.500%, 02/01/2034 | 288 |
| 59 | &nbsp;&nbsp;&nbsp; Pool #776974 5.500%, 04/01/2034 | 61 |
| 30994 | &nbsp;&nbsp;&nbsp; Pool #888504 3.006% (1 Year CMT Rate + 2.006%, 2.006% Floor, 9.222% Cap), 04/01/2034 (a) | 31436 |
| 109351 | &nbsp;&nbsp;&nbsp; Pool #MA1870 4.500%, 04/01/2034 | 107371 |
| 2765 | &nbsp;&nbsp;&nbsp; Pool #775776 5.500%, 05/01/2034 | 2836 |
| 1524935 | &nbsp;&nbsp;&nbsp; Series 2019-M21, 1.201%, 06/25/2034 (b)(j) | 134614 |
| 78855 | &nbsp;&nbsp;&nbsp; Pool #802783 3.862% (12 Month LIBOR USD + 1.612%, 1.612% Pool, 10.270% Cap), 10/01/2034 (a) | 77863 |
| 1832 | &nbsp;&nbsp;&nbsp; Pool #781629 5.500%, 12/01/2034 | 1896 |
| 1579 | &nbsp;&nbsp;&nbsp; Pool #822815 5.500%, 04/01/2035 | 1612 |
| 2418 | &nbsp;&nbsp;&nbsp; Pool #357850 5.500%, 07/01/2035 | 2503 |
| 1703 | &nbsp;&nbsp;&nbsp; Pool #820242 5.000%, 07/01/2035 | 1742 |
| 325 | &nbsp;&nbsp;&nbsp; Pool #838452 5.500%, 09/01/2035 | 328 |
| 3300000 | &nbsp;&nbsp;&nbsp; Pool #TBA 1.500%, 01/15/2036 (h) | 2861461 |
| 1824 | &nbsp;&nbsp;&nbsp; Pool #865854 6.000%, 03/01/2036 | 1891 |
| 2443 | &nbsp;&nbsp;&nbsp; Pool #891474 6.000%, 04/01/2036 | 2542 |
| 1357 | &nbsp;&nbsp;&nbsp; Pool #906000 6.000%, 01/01/2037 | 1415 |
| 25 | &nbsp;&nbsp;&nbsp; Pool #928062 5.500%, 02/01/2037 | 25 |
| 26 | &nbsp;&nbsp;&nbsp; Pool #899119 5.500%, 04/01/2037 | 26 |
| 149078 | &nbsp;&nbsp;&nbsp; Pool #AS9772 3.500%, 06/01/2037 | 142848 |
| 62 | &nbsp;&nbsp;&nbsp; Pool #970131 5.500%, 03/01/2038 | 64 |
| 40 | &nbsp;&nbsp;&nbsp; Pool #985108 5.500%, 07/01/2038 | 42 |
| 46 | &nbsp;&nbsp;&nbsp; Pool #964930 5.500%, 08/01/2038 | 47 |
| 23 | &nbsp;&nbsp;&nbsp; Pool #987032 5.500%, 08/01/2038 | 24 |
| 21 | &nbsp;&nbsp;&nbsp; Pool #968371 5.500%, 09/01/2038 | 21 |
| 15 | &nbsp;&nbsp;&nbsp; Pool #993050 5.500%, 12/01/2038 | 16 |
| 6784 | &nbsp;&nbsp;&nbsp; Pool #993579 4.000%, 05/01/2039 | 6530 |
| 1209 | &nbsp;&nbsp;&nbsp; Pool #AA5840 4.000%, 06/01/2039 | 1164 |
| 27257 | &nbsp;&nbsp;&nbsp; Pool #AA8715 4.000%, 06/01/2039 | 26235 |
| 75542 | &nbsp;&nbsp;&nbsp; Pool #AD0586 4.500%, 12/01/2039 | 74947 |
| 163996 | &nbsp;&nbsp;&nbsp; Pool #AD4062 5.000%, 05/01/2040 | 166362 |
| 137024 | &nbsp;&nbsp;&nbsp; Pool #AD6929 5.000%, 06/01/2040 | 139004 |
| 3378 | &nbsp;&nbsp;&nbsp; Pool #AD9896 4.000%, 08/01/2040 | 3251 |
| 4236 | &nbsp;&nbsp;&nbsp; Pool #AB1500 4.000%, 09/01/2040 | 4078 |
| 4426 | &nbsp;&nbsp;&nbsp; Pool #AD9856 4.000%, 09/01/2040 | 4260 |
| 1923 | &nbsp;&nbsp;&nbsp; Pool #AE2559 4.000%, 09/01/2040 | 1851 |
| 767 | &nbsp;&nbsp;&nbsp; Pool #AE2562 4.000%, 09/01/2040 | 738 |
| 487 | &nbsp;&nbsp;&nbsp; Pool #AE2566 4.000%, 09/01/2040 | 469 |
| 7803 | &nbsp;&nbsp;&nbsp; Pool #AE4124 4.000%, 10/01/2040 | 7510 |
| 4465 | &nbsp;&nbsp;&nbsp; Pool #AE4888 4.000%, 10/01/2040 | 4298 |
| 5507 | &nbsp;&nbsp;&nbsp; Pool #AE3916 4.000%, 11/01/2040 | 5300 |
| 859 | &nbsp;&nbsp;&nbsp; Pool #AE5147 4.000%, 11/01/2040 | 827 |
| 9577 | &nbsp;&nbsp;&nbsp; Pool #AE8715 4.000%, 11/01/2040 | 9218 |
| 1415 | &nbsp;&nbsp;&nbsp; Pool #AH0006 4.000%, 12/01/2040 | 1362 |
| 4595 | &nbsp;&nbsp;&nbsp; Pool #AH0020 4.000%, 12/01/2040 | 4422 |
| 5998 | &nbsp;&nbsp;&nbsp; Pool #AH0599 4.000%, 12/01/2040 | 5773 |
| 1646 | &nbsp;&nbsp;&nbsp; Pool #AH0601 4.000%, 12/01/2040 | 1584 |
| 4527 | &nbsp;&nbsp;&nbsp; Pool #AH1263 4.000%, 01/01/2041 | 4357 |
| 22265 | &nbsp;&nbsp;&nbsp; Pool #AL5233 4.000%, 01/01/2041 | 21431 |
| 2000000 | &nbsp;&nbsp;&nbsp; Pool #TBA 4.000%, 01/15/2041 (h) | 1878362 |
| 10200000 | &nbsp;&nbsp;&nbsp; Pool #TBA 4.500%, 01/15/2041 (h) | 9828656 |
| 1290 | &nbsp;&nbsp;&nbsp; Pool #AH4659 4.000%, 02/01/2041 | 1242 |
| 22756 | &nbsp;&nbsp;&nbsp; Pool #AH5653 4.000%, 02/01/2041 | 21902 |
| 33413 | &nbsp;&nbsp;&nbsp; Pool #AL0934 5.000%, 02/01/2041 | 33895 |
| 52627 | &nbsp;&nbsp;&nbsp; Pool #AD1889 4.500%, 03/01/2041 | 52274 |
| 3852 | &nbsp;&nbsp;&nbsp; Pool #AH6150 4.000%, 03/01/2041 | 3707 |
| 31311 | &nbsp;&nbsp;&nbsp; Pool #AL0215 4.500%, 04/01/2041 | 31101 |
| 26271 | &nbsp;&nbsp;&nbsp; Pool #AL0187 5.000%, 05/01/2041 | 26650 |
| 4775 | &nbsp;&nbsp;&nbsp; Pool #AL0456 5.000%, 06/01/2041 | 4844 |
| 20825 | &nbsp;&nbsp;&nbsp; Pool #AI8842 4.500%, 08/01/2041 | 20685 |
| 16302 | &nbsp;&nbsp;&nbsp; Pool #AL0815 4.000%, 09/01/2041 | 15957 |
| 18950 | &nbsp;&nbsp;&nbsp; Series 2012-21, 2.000%, 09/25/2041 | 17132 |
| 7669 | &nbsp;&nbsp;&nbsp; Pool #AJ1562 4.000%, 10/01/2041 | 7507 |
| 3762 | &nbsp;&nbsp;&nbsp; Pool #AJ1972 4.000%, 10/01/2041 | 3668 |
| 224873 | &nbsp;&nbsp;&nbsp; Pool #AJ2212 4.500%, 10/01/2041 | 223362 |
| 8530 | &nbsp;&nbsp;&nbsp; Pool #AJ4756 4.000%, 10/01/2041 | 8349 |
| 7060 | &nbsp;&nbsp;&nbsp; Pool #AJ3330 4.000%, 11/01/2041 | 6911 |
| 6210 | &nbsp;&nbsp;&nbsp; Pool #AJ4549 4.000%, 11/01/2041 | 6078 |
| 6099 | &nbsp;&nbsp;&nbsp; Pool #AJ4698 4.000%, 11/01/2041 | 5970 |
| 11556 | &nbsp;&nbsp;&nbsp; Pool #AJ5424 4.000%, 11/01/2041 | 11311 |
| 3666 | &nbsp;&nbsp;&nbsp; Pool #AJ7840 4.000%, 11/01/2041 | 3577 |
| 7511 | &nbsp;&nbsp;&nbsp; Pool #AB3995 4.000%, 12/01/2041 | 7352 |
| 7002 | &nbsp;&nbsp;&nbsp; Pool #AI0848 4.000%, 12/01/2041 | 6854 |
| 5494 | &nbsp;&nbsp;&nbsp; Pool #AJ4187 4.000%, 12/01/2041 | 5378 |
| 6797 | &nbsp;&nbsp;&nbsp; Pool #AJ5736 4.000%, 12/01/2041 | 6653 |
| 3593 | &nbsp;&nbsp;&nbsp; Pool #AJ5968 4.000%, 12/01/2041 | 3458 |
| 6797 | &nbsp;&nbsp;&nbsp; Pool #AJ6061 4.000%, 12/01/2041 | 6653 |
| 6530 | &nbsp;&nbsp;&nbsp; Pool #AJ7868 4.000%, 12/01/2041 | 6392 |
| 11887 | &nbsp;&nbsp;&nbsp; Pool #AJ8104 4.000%, 12/01/2041 | 11636 |
| 9350 | &nbsp;&nbsp;&nbsp; Pool #AJ8109 4.000%, 12/01/2041 | 9152 |
| 4493 | &nbsp;&nbsp;&nbsp; Pool #AJ8171 4.000%, 12/01/2041 | 4381 |
| 10216 | &nbsp;&nbsp;&nbsp; Pool #AJ8341 4.000%, 12/01/2041 | 10000 |
| 14974 | &nbsp;&nbsp;&nbsp; Pool #AJ8436 4.000%, 12/01/2041 | 14657 |
| 5464 | &nbsp;&nbsp;&nbsp; Pool #AJ8912 4.000%, 12/01/2041 | 5348 |
| 6412 | &nbsp;&nbsp;&nbsp; Pool #AJ9248 4.000%, 12/01/2041 | 6276 |
| 32747 | &nbsp;&nbsp;&nbsp; Series 2012-18, 2.000%, 12/25/2041 | 29274 |
| 4059 | &nbsp;&nbsp;&nbsp; Pool #AJ2446 4.000%, 01/01/2042 | 3906 |
| 10182 | &nbsp;&nbsp;&nbsp; Pool #AJ7538 4.000%, 01/01/2042 | 9967 |
| 2718 | &nbsp;&nbsp;&nbsp; Pool #AJ8001 4.000%, 01/01/2042 | 2625 |
| 7943 | &nbsp;&nbsp;&nbsp; Pool #AJ8369 4.000%, 01/01/2042 | 7775 |
| 8449 | &nbsp;&nbsp;&nbsp; Pool #AJ9162 4.000%, 01/01/2042 | 8270 |
| 43873 | &nbsp;&nbsp;&nbsp; Pool #AJ9330 4.000%, 01/01/2042 | 42776 |
| 2777 | &nbsp;&nbsp;&nbsp; Pool #AJ9779 4.000%, 01/01/2042 | 2735 |
| 6808 | &nbsp;&nbsp;&nbsp; Pool #AK0170 4.000%, 01/01/2042 | 6664 |
| 16634 | &nbsp;&nbsp;&nbsp; Pool #AK0543 4.000%, 01/01/2042 | 16282 |
| 7634 | &nbsp;&nbsp;&nbsp; Pool #AK0563 4.000%, 01/01/2042 | 7473 |
| 12885 | &nbsp;&nbsp;&nbsp; Pool #AK1827 4.000%, 01/01/2042 | 12612 |
| 101332 | &nbsp;&nbsp;&nbsp; Pool #AL2752 5.000%, 03/01/2042 | 102795 |
| 29024 | &nbsp;&nbsp;&nbsp; Series 2012-52, 3.500%, 05/25/2042 | 27427 |
| 18793 | &nbsp;&nbsp;&nbsp; Pool #AB5529 4.000%, 07/01/2042 | 18064 |
| 62343 | &nbsp;&nbsp;&nbsp; Pool #AB6228 3.500%, 09/01/2042 | 58498 |
| 58713 | &nbsp;&nbsp;&nbsp; Series 415, 3.000%, 11/01/2042 | 53994 |
| 356658 | &nbsp;&nbsp;&nbsp; Series 2012-120 ZB, 3.500%, 11/25/2042 | 329463 |
| 111232 | &nbsp;&nbsp;&nbsp; Series 4961, 2.500%, 12/15/2042 | 100071 |
| 167112 | &nbsp;&nbsp;&nbsp; Pool #AQ9316 2.500%, 01/01/2043 | 144492 |
| 43972 | &nbsp;&nbsp;&nbsp; Series 2015-48, 3.000%, 02/25/2043 | 41754 |
| 452123 | &nbsp;&nbsp;&nbsp; Pool #AT2720 3.000%, 05/01/2043 | 412482 |
| 275117 | &nbsp;&nbsp;&nbsp; Pool #AT5900 3.000%, 06/01/2043 | 250999 |
| 36842 | &nbsp;&nbsp;&nbsp; Series 2013-77, 1.700%, 06/25/2043 | 35006 |
| 171538 | &nbsp;&nbsp;&nbsp; Pool #AU1625 3.500%, 07/01/2043 | 160673 |
| 32440 | &nbsp;&nbsp;&nbsp; Series 2017-26, 3.500%, 07/25/2044 | 31538 |
| 197920 | &nbsp;&nbsp;&nbsp; Pool #AS5469 4.000%, 07/01/2045 | 189999 |
| 265882 | &nbsp;&nbsp;&nbsp; Pool #AZ0832 4.000%, 07/01/2045 | 255241 |
| 34150 | &nbsp;&nbsp;&nbsp; Pool #AS5597 3.500%, 08/01/2045 | 31826 |
| 25382 | &nbsp;&nbsp;&nbsp; Series 2016-38, 3.000%, 01/25/2046 | 23105 |
| 45943 | &nbsp;&nbsp;&nbsp; Series 2016-11, 2.500%, 03/25/2046 | 42112 |
| 132654 | &nbsp;&nbsp;&nbsp; Pool #AS7170 3.500%, 05/01/2046 | 123446 |
| 126562 | &nbsp;&nbsp;&nbsp; Pool #AS7242 3.500%, 05/01/2046 | 117764 |
| 238067 | &nbsp;&nbsp;&nbsp; Pool #BC9468 3.000%, 06/01/2046 | 214114 |
| 92395 | &nbsp;&nbsp;&nbsp; Pool #AS7492 4.000%, 07/01/2046 | 88678 |
| 3950000 | &nbsp;&nbsp;&nbsp; Pool #TBA 2.500%, 01/15/2047 (h) | 3351317 |
| 166177 | &nbsp;&nbsp;&nbsp; Pool #AS8947 3.500%, 03/01/2047 | 154556 |
| 19423 | &nbsp;&nbsp;&nbsp; Series 2017-34, 3.000%, 05/25/2047 | 18413 |
| 21793 | &nbsp;&nbsp;&nbsp; Pool #MA3038 4.500%, 06/01/2047 | 21442 |
| 1361828 | &nbsp;&nbsp;&nbsp; Pool #CA0858 3.500%, 12/01/2047 | 1260429 |
| 63522 | &nbsp;&nbsp;&nbsp; Series 2018-23, 3.500%, 04/25/2048 | 58468 |
| 407211 | &nbsp;&nbsp;&nbsp; Pool #BN5279 4.000%, 02/01/2049 | 390229 |
| 67281 | &nbsp;&nbsp;&nbsp; Series 2019-07, 3.500%, 03/25/2049 | 63561 |
| 86354 | &nbsp;&nbsp;&nbsp; Series 2019-14, 3.500%, 04/25/2049 | 82301 |
| 72299 | &nbsp;&nbsp;&nbsp; Series 2019-45, 3.000%, 08/25/2049 | 65585 |
| 1150000 | &nbsp;&nbsp;&nbsp; Pool #TBA 2.000%, 01/15/2051 (h) | 937736 |
| 2108337 | &nbsp;&nbsp;&nbsp; Pool #MA4307 3.000%, 04/01/2051 | 1858455 |
| 2834569 | &nbsp;&nbsp;&nbsp; Pool #FM7678 2.500%, 06/01/2051 | 2427705 |
| 368382 | &nbsp;&nbsp;&nbsp; Pool #BT7155 2.000%, 08/01/2051 | 301515 |
| 2946071 | &nbsp;&nbsp;&nbsp; Pool #FS1108 2.500%, 09/01/2051 | 2509614 |
| 2997616 | &nbsp;&nbsp;&nbsp; Pool #FM9491 2.500%, 11/01/2051 | 2551815 |
| 433369 | &nbsp;&nbsp;&nbsp; Pool #FS1069 2.000%, 12/01/2051 | 354316 |
| 791846 | &nbsp;&nbsp;&nbsp; Pool #BV1380 2.000%, 01/01/2052 | 647213 |
| 247571 | &nbsp;&nbsp;&nbsp; Pool #BT2317 2.000%, 03/01/2052 | 202347 |
| 888207 | &nbsp;&nbsp;&nbsp; Pool #BV2993 2.000%, 04/01/2052 | 725970 |
| 146708 | &nbsp;&nbsp;&nbsp; Pool #FS1598 2.000%, 04/01/2052 | 119910 |
| 2394186 | &nbsp;&nbsp;&nbsp; Pool #MA4577 2.000%, 04/01/2052 | 1955766 |
| 177801 | &nbsp;&nbsp;&nbsp; Pool #BV9804 2.000%, 05/01/2052 | 145296 |
| 37713 | &nbsp;&nbsp;&nbsp; Series 2017-35, 3.500%, 04/25/2053 | 36698 |
| 40161 | &nbsp;&nbsp;&nbsp; Series 2017-84, 3.500%, 04/25/2053 | 38870 |
| 36240 | &nbsp;&nbsp;&nbsp; Series 2017-49, 4.000%, 07/25/2053 | 35470 |
| 48131 | &nbsp;&nbsp;&nbsp; Series 2018-70, 3.500%, 10/25/2056 | 46299 |
| 78134 | &nbsp;&nbsp;&nbsp; Series 2019-12, 3.500%, 11/25/2057 | 74095 |
| 205157 | &nbsp;&nbsp;&nbsp; Series 2020-1, 3.500%, 08/25/2058 | 192967 |
|  | Government National Mortgage Association |  |
| 5529 | &nbsp;&nbsp;&nbsp; Pool #TBA 5.000%, 08/15/2033 (h) | 5752 |
| 11871 | &nbsp;&nbsp;&nbsp; Pool #TBA 5.000%, 02/15/2039 (h) | 12091 |
| 292338 | &nbsp;&nbsp;&nbsp; Pool #TBA 5.000%, 10/15/2039 (h) | 296243 |
| 28400 | &nbsp;&nbsp;&nbsp; Series 2015-56, 1.500%, 04/16/2040 | 27710 |
| 111484 | &nbsp;&nbsp;&nbsp; Pool #TBA 3.500%, 09/15/2041 (h) | 104286 |
| 36112 | &nbsp;&nbsp;&nbsp; Series 2013-37, 2.000%, 01/20/2042 | 34026 |
| 2500000 | &nbsp;&nbsp;&nbsp; Pool #TBA 3.000%, 01/15/2043 (h) | 2230190 |
| 9812 | &nbsp;&nbsp;&nbsp; Series 2015-151, 1.700%, 10/20/2045 | 9691 |
| 23772 | &nbsp;&nbsp;&nbsp; Pool #TBA 4.000%, 07/20/2047 (h) | 22683 |
| 67439 | &nbsp;&nbsp;&nbsp; Pool #TBA 3.500%, 08/20/2047 (h) | 62512 |
| 125871 | &nbsp;&nbsp;&nbsp; Pool #TBA 3.500%, 10/20/2047 (h) | 116760 |
| 88738 | &nbsp;&nbsp;&nbsp; Pool #TBA 4.000%, 10/20/2047 (h) | 84654 |
| 104143 | &nbsp;&nbsp;&nbsp; Pool #TBA 4.000%, 10/20/2047 (h) | 101874 |
| 2700000 | &nbsp;&nbsp;&nbsp; Pool #TBA 2.000%, 01/15/2051 (h) | 2267454 |
| 5300000 | &nbsp;&nbsp;&nbsp; Pool #TBA 2.500%, 01/15/2051 (h) | 4601874 |
|  | **Total Mortgage Backed Securities - U.S. Government Agency (Cost $65,952,173)** | **62923143** |
|  | **MUNICIPAL DEBT OBLIGATIONS - 1.73%** |  |
|  | California, GO, |  |
| 30000 | &nbsp;&nbsp;&nbsp; 7.550%, 04/01/2039 | 37625 |
| 60000 | &nbsp;&nbsp;&nbsp; 7.300%, 10/01/2039 | 73028 |
| 105000 | Chicago Transit Authority Sales & Transfer Tax Receipts, Series B, Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; Series B, 6.899%, 12/01/2040 | 116564 |
| 20000 | Chicago Transit Authority Sales Tax Receipts Fund, Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; 3.912%, 12/01/2040 | 16764 |
| 270000 | Commonwealth of Massachusetts |  |
|  | &nbsp;&nbsp;&nbsp; 4.110%, 07/15/2031 | 260833 |
|  | County of Riverside CA |  |
| 345000 | &nbsp;&nbsp;&nbsp; 2.963%, 02/15/2027 | 318156 |
| 345000 | &nbsp;&nbsp;&nbsp; 3.070%, 02/15/2028 | 313421 |
| 155000 | Dallas Fort Worth International Airport, Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; Series A, 4.507%, 11/01/2051 | 139728 |
| 125000 | District of Columbia, Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; 3.432%, 04/01/2042 | 92944 |
|  | Metropolitan Transportation Authority |  |
| 255000 | &nbsp;&nbsp;&nbsp; 5.175%, 11/15/2049 | 220943 |
| 100000 | &nbsp;&nbsp;&nbsp; 5.000%, 11/15/2050 | 96355 |
| 60000 | New York State Thruway Authority - Class M, Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; 2.900%, 01/01/2035 | 49321 |
| 300000 | New York Transportation Development Corp., Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; 4.248%, 09/01/2035 | 288553 |
| 355000 | Philadelphia Authority for Industrial Development - Series C, Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; 6.550%, 10/15/2028 | 371431 |
| 215000 | Port Authority of New York & New Jersey, Series AAA, Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; 1.086%, 07/01/2023 | 211202 |
| 250000 | State Board of Administration Finance Corp., Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; 1.258%, 07/01/2025 | 229648 |
| 35000 | University of California Medical Center, Series H, Revenue Bond, |  |
|  | &nbsp;&nbsp;&nbsp; 6.548%, 05/15/2048 (e) | 39875 |
|  | **Total Municipal Debt Obligations (Cost $3,171,608)** | **2876391** |
|  | **U.S. TREASURY OBLIGATIONS - 26.53%** |  |
|  | **U.S. Treasury Bonds - 14.11%** |  |
| 1645487 | &nbsp;&nbsp;&nbsp; 0.750%, 07/15/2028 (f) | 1570003 |
| 1549517 | &nbsp;&nbsp;&nbsp; 0.250%, 07/15/2029 (f) | 1421082 |
| 104610 | &nbsp;&nbsp;&nbsp; 0.125%, 07/15/2030 (f) | 93842 |
| 2410372 | &nbsp;&nbsp;&nbsp; 0.625%, 07/15/2032 (f) | 2212166 |
| 1151000 | &nbsp;&nbsp;&nbsp; 1.125%, 08/15/2040 | 720904 |
| 2190000 | &nbsp;&nbsp;&nbsp; 3.375%, 08/15/2042 | 1971342 |
| 1675000 | &nbsp;&nbsp;&nbsp; 4.000%, 11/15/2042 | 1651184 |
| 2820000 | &nbsp;&nbsp;&nbsp; 3.125%, 02/15/2043 | 2425200 |
| 795000 | &nbsp;&nbsp;&nbsp; 3.750%, 11/15/2043 | 750996 |
| 2220000 | &nbsp;&nbsp;&nbsp; 3.125%, 08/15/2044 | 1891509 |
| 240000 | &nbsp;&nbsp;&nbsp; 3.000%, 11/15/2045 | 199172 |
| 950000 | &nbsp;&nbsp;&nbsp; 2.500%, 02/15/2046 | 717454 |
| 2510000 | &nbsp;&nbsp;&nbsp; 3.000%, 02/15/2047 | 2073691 |
| 1050000 | &nbsp;&nbsp;&nbsp; 2.750%, 11/15/2047 | 826875 |
| 500000 | &nbsp;&nbsp;&nbsp; 3.000%, 02/15/2048 | 413691 |
| 940000 | &nbsp;&nbsp;&nbsp; 3.125%, 05/15/2048 | 797164 |
| 2996000 | &nbsp;&nbsp;&nbsp; 1.250%, 05/15/2050 | 1630831 |
| 390000 | &nbsp;&nbsp;&nbsp; 1.375%, 08/15/2050 | 219108 |
| 1020000 | &nbsp;&nbsp;&nbsp; 1.625%, 11/15/2050 | 613395 |
| 299751 | &nbsp;&nbsp;&nbsp; 0.125%, 02/15/2052 (f) | 194650 |
| 455000 | &nbsp;&nbsp;&nbsp; 3.000%, 08/15/2052 | 378503 |
| 685000 | &nbsp;&nbsp;&nbsp; 4.000%, 11/15/2052 | 692278 |
|  |  | 23465040 |
|  | **U.S. Treasury Notes - 12.42%** |  |
| 590000 | &nbsp;&nbsp;&nbsp; 2.875%, 06/15/2025 | 570733 |
| 3490000 | &nbsp;&nbsp;&nbsp; 0.750%, 04/30/2026 (i) | 3124368 |
| 4340000 | &nbsp;&nbsp;&nbsp; 2.000%, 11/15/2026 | 4019077 |
| 2645000 | &nbsp;&nbsp;&nbsp; 1.500%, 11/30/2028 | 2302286 |
| 5260000 | &nbsp;&nbsp;&nbsp; 1.875%, 02/28/2029 | 4669586 |
| 1445000 | &nbsp;&nbsp;&nbsp; 3.250%, 06/30/2029 | 1386297 |
| 708000 | &nbsp;&nbsp;&nbsp; 1.625%, 08/15/2029 | 616015 |
| 1030000 | &nbsp;&nbsp;&nbsp; 1.375%, 11/15/2031 | 841462 |
| 1075000 | &nbsp;&nbsp;&nbsp; 2.875%, 05/15/2032 | 994375 |
| 2320000 | &nbsp;&nbsp;&nbsp; 2.750%, 08/15/2032 | 2120625 |
|  |  | 20644824 |
|  | **Total U.S. Treasury Obligations (Cost $51,425,776)** | **44109864** |
| **Number of Shares** | **SHORT TERM INVESTMENTS - 0.89%** |  |
|  | **Money Market Funds - 0.89%** |  |
| 1481701 | DWS Government Money Market Series - Institutional Shares |  |
|  | &nbsp;&nbsp;&nbsp; Effective Yield, 4.22% (d) | 1481701 |
|  | **Total Short Term Investments (Cost $1,481,701)** | **1481701** |
| **Number of Units** |  |  |
|  | **INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL - 1.12%** |  |
| 1856938 | Mount Vernon Liquid Assets Portfolio, LLC | 1856938 |
|  | &nbsp;&nbsp;&nbsp; Effective Yield, 4.49% (d) |  |
|  | **Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $1,856,938)** | **1856938** |
|  | **Total Investments (Cost $216,545,468) - 117.79%** | **195880341** |
|  | **Liabilities in Excess of Other Assets - (17.79)%** | **(29589300)** |
|  | **TOTAL NET ASSETS - 100.00%** | $**166291041** |

---

---

| | |
|:---|:---|
| Percentages are stated as a percent of net assets. | Percentages are stated as a percent of net assets. |
| Principal amounts are denominated in the currency in which the security was purchased. | Principal amounts are denominated in the currency in which the security was purchased. |
| (a) | Variable rate security based on a reference index and spread. Certain securities are fixed to variable and currently in the fixed phase. The rate reported is the rate in effect as of December 31, 2022. |
| (b) | Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of December 31, 2022. |
| (c) | Securities were purchased exempt from registration in the U.S. pursuant to Rule 144A of the Securities Act of 1933 (the "Act") or were acquired in a private placement, and, unless registered under the Act, may only be sold to "qualified institutional buyers" (as defined in the Act) or pursuant to another exemption from registration. The value of these securities total $41,851,778, which represents 25.17% of total net assets. |
| (d) | Seven-Day yield as of December 31, 2022. |
| (e) | All or portion of this security is on loan. |
| (f) | Represents a U.S. Treasury Inflation Protected Security. |
| (g) | These securities have been deemed illiquid pursuant to the Fund's liquidity guidelines. The value of these securities total $1,353,685, which represents 0.81% of total net assets. |
| (h) | Security purchased on a when-issued basis. On December 31, 2022, the total value of investments purchased on a when-issued basis was $28,763,906 or 17.30% of total net assets. |
| (i) | All or a portion of this security is held as collateral for certain swap and futures contracts. The approximate value of the portion of this security held as collateral is $922,764. |
| (j) | Represents an interest-only security that entitles holders to receive only interest payments on the underlying mortgages. The yield-to-maturity of an interest-only security is extremely sensitive to the rate of principal payments on the underlying mortgage assets. A rapid (slow) rate of principal repayments may have an adverse (positive) effect on yield to maturity. The principal amount shown is the underlying mortgages. Interest rate disclosed represents yield upon the estimated timing and amount of future cash flows at December 31, 2022. These securities are considered liquid pursuant to the Fund's liquidity guidelines and the value of these securities total $1,241,481, which represents 0.75% of total net assets. |
| (k) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2022. |
| Glossary of Terms | Glossary of Terms |
| LIBOR | - London Interbank Offered Rate |
| CMT | - Constant Maturing Treasury Rate |
| SOFR | - Secured Overnight Financing Rate |
| TSFR | - Term Secured Overnight Financing Rate |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **GuideMark Core Fixed Income Fund** |  |  |  |  | |
| **SCHEDULE OF OPEN FUTURES CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN FUTURES CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN FUTURES CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN FUTURES CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN FUTURES CONTRACTS (Unaudited)** | |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | |
| **Description** | **Number of Contracts**<br> **Purchased / (Sold)** | **Long/Short** | **Notional Value** | **Settlement Month** | **Unrealized** <br> **Appreciation** <br> (Depreciation) |
| U.S. Treasury 2 Year Bond Future | 4 | Long | 820312 | Mar-23 | $(1687) |
| U.S. Treasury 5 Year Bond Future | (110) | Short | (11872266) | Mar-23 | 86803 |
| U.S. Treasury 10 Year Note Future | (21) | Short | (2358234) | Mar-23 | 6845 |
| U.S. Treasury Long Bond Future | (35) | Short | (4387031) | Mar-23 | 15740 |
| U.S. Treasury Ultra 10 Year Note Future | (80) | Short | (9462500) | Mar-23 | 52131 |
|  |  |  |  |  | $159832 |

---

------

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **GuideMark Core Fixed Income Fund** | **GuideMark Core Fixed Income Fund** | **GuideMark Core Fixed Income Fund** | **GuideMark Core Fixed Income Fund** | **GuideMark Core Fixed Income Fund** | **GuideMark Core Fixed Income Fund** |  | | | | |
| **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | **SCHEDULE OF OPEN SWAP CONTRACTS (Unaudited)** | |  |
| **Interest Rate Swaps** | **Interest Rate Swaps** |  |  |  |  |  | | | | |
| **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |  |  |  |  |  |
| | | **Floating** | **Fixed** | **Fixed** |  |  | | | **Upfront** | **Unrealized** |
| **Pay/Receive** |  | **Payment** | **Pay** | **Payment** | **Maturity** |  | **Notional** | **Fair** | **Premiums** | **Appreciation** |
| **Floating Rate** | **Floating Rate Index and Rate at 12/31/2022** | **Frequency** | **Rate** | **Frequency** | **Date** | **Counterparty** | **Amount** | **Value** | **Paid (Received)** | (Depreciation) |
| Receive | USD-SOFR-COMPOUND\* 4.30% | Annually | 1.5600% | Annually | 12/15/2051 | Morgan Stanley | $565000 | $173388 | $&nbsp;&nbsp;&nbsp;&nbsp;(3395) | $176783 |
|  |  |  |  |  |  |  |  | $173388 | $&nbsp;&nbsp;&nbsp;&nbsp;(3395) | $176783 |
| \* <br>| Centrally cleared swap, clearing agent: LCH Group |  |  |  |  |  |  |  |  |  |

---

## Nport-Ex

---

| |
|:---|
| The Global Industry Classification Standard ("GICS®") was developed by and/or is the exclusive property of MSCI, Inc. ("MSCI") and Standard & Poor's Financial Services LLC ("S&P"). GICS is a service mark of MSCI and S&P and has been licesned for use by U.S. Bank Global Fund Services. |
| **Security Valuation** |
| The Funds have adopted authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs, if any, during the period. In addition, these standards require expanded disclosure for each major category of assets. These inputs are summarized in the three broad levels listed below: |
| 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 Funds' own assumptions in determining the fair value of investments). |
| During the period, certain securities and other instruments held by the Funds were categorized as Level 2 or Level 3 based upon the inputs and methodologies used to determine the fair value of the security or instrument. Descriptions of the inputs and valuation methodologies used to determine the fair values of each class of investments within Level 2 and Level 3 are set forth below. |
| <u>Level 2 Investments.</u> The Funds' investments that were categorized as Level 2 include: (1) certain fixed income securities, including asset-backed securities, collateralized mortgage obligations, corporate obligations, U.S. and foreign government obligations, mortgage-backed securities and municipal bonds; (2) certain foreign common stocks, preferred stocks, participatory notes, and real estate investment trusts; and (3) certain over-the-counter derivative instruments, including forward currency contracts, written options, and swaps. |
| Fixed income securities are normally valued by pricing vendors that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers' internal models typically use inputs that are observable such as institutional-sized trading in similar groups of securities, yield, credit quality, coupon rate, maturity, type of issue, trading characteristics and other market data. |
| Certain common stocks that trade on foreign exchanges are subject to valuation adjustments. These valuation adjustments are applied to the foreign exchange-traded common stocks to account for the market movement between the close of the foreign market in which the security is traded and the close of the New York Stock Exchange. These securities are valued using pricing vendors that consider the correlation patterns of price movements of the foreign security to the intraday trading in the U.S. markets. |
| Forward currency contracts and swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These instruments are normally valued using pricing vendors. Depending upon the instrument, its value may be provided by a pricing vendor using a series of techniques, including pricing models. The pricing models typically use inputs that are observed from active markets such as indices, spreads, interest rates, curves, dividends and exchange rates. |
| <u>Level 3 Investments.</u> The Funds' investments that were categorized as Level 3 include: fair valued securities. |
| Fair valued securities are normally valued by pricing vendors using relevant observable inputs, as described above. In certain circumstances, the types of observable inputs that are typically used by a pricing service may be unavailable or deemed by the pricing service to be unreliable. In these instances, the pricing vendor may value the security based upon significant unobservable inputs, or the pricing vendor may not provide a value for the security. To the extent that a pricing vendor does not provide a value for a particular security, or the pricing vendor provides a value that the Valuation Committee does not believe accurately reflects the value of the security, the security will be valued by the Valuation Committee based upon the information available to the Committee at the time of valuation and in accordance with procedures adopted by the Board. These methodologies may require subjective judgments and determinations about the value of a particular security. When significant unobservable inputs are used to value a security, the security is categorized as Level 3. |
| To verify Level 3 unobservable inputs, the Valuation Committee uses a variety of techniques as appropriate to substantiate these valuation approaches including a regular review of key inputs and assumptions, transaction back-testing or disposition analysis and review of related market activity. |
| The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. |
| The following is a summary of the inputs used to value the Funds' net assets as of December 31, 2022: |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GuideMark<sup>®</sup> Large Cap Core Fund** | | | | |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Common Stocks** | $**471028200** | $**-** | $**70957** | $**471099157** |
| **Investment Companies** | **11185612** | **-** | **-** | **11185612** |
| **Real Estate Investment Trusts** | **5550898** | **-** | **-** | **5550898** |
| **Short Term Investments** | **60815** | **-** | **-** | **60815** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **60957881** |
| **Total Investments in Securities** | $**487825525** | $**-** | $**70957** | $**548854363** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. | Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. | Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. | Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. |  |
| **Description** |  |  |  | **Common Stocks** |
| Balance as of April 1, 2022 |  |  |  | $140204 |
| &nbsp;&nbsp;&nbsp;&nbsp; Purchases |  |  |  | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Sales proceeds and paydowns |  |  |  | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Accreted discounts, net |  |  |  | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Actions |  |  |  | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Realized gain (loss) |  |  |  | - |
| Change in unrealized appreciation (depreciation) | Change in unrealized appreciation (depreciation) |  |  | (69247) |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfers into/(out of) Level 3 |  |  |  | - |
| **Balance as of December 31, 2022** |  |  |  | $**70957** |
| Change in unrealized appreciation (depreciation) during the | Change in unrealized appreciation (depreciation) during the |  |  |  |
| period for Level 3 investments held at December 31, 2022. | period for Level 3 investments held at December 31, 2022. |  |  | $**(69247)** |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |  |
| **GuideMark<sup>®</sup> Emerging Markets Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Common Stocks** |  |  |  |  |
| Communication Services | $217335 | $3535838 | $- | $3753173 |
| Consumer Discretionary | 725739 | 5044213 | 8242 | 5778194 |
| Consumer Staples | 592544 | 3467573 | 0 | 4060117 |
| Energy | 54255 | 2846162 | 0 | 2900417 |
| Financials | 520153 | 8076753 | 0 | 8596906 |
| Health Care | 111686 | 1921630 | - | 2033316 |
| Industrials | - | 2901127 | - | 2901127 |
| Information Technology | 63359 | 8377738 | 0 | 8441097 |
| Materials | 305344 | 3178745 | 0 | 3484089 |
| Real Estate | - | 518328 | 22761 | 541089 |
| Utilities | 65249 | 944987 | - | 1010236 |
| **Total Common Stocks** | **2655664** | **40813094** | **31003** | **43499761** |
| **Investment Companies** | **1797094** | **-** | **-** | **1797094** |
| **Preferred Stocks** | **-** | **1154691** | **-** | **1154691** |
| **Rights** | **-** | **-** | **0** | **0** |
| **Short Term Investments** | **944** | **-** | **-** | **944** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **2102029** |
| **Total Investments in Securities** | $**4453702** | $**41967785** | $**31003** | $**48554519** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |

---

---

| | | |
|:---|:---|:---|
| Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. | Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. | Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. |
| **Description** | **Common Stocks** | **Right** |
| Balance as of April 1, 2022 | $- | $- |
| &nbsp;&nbsp;&nbsp;&nbsp; Purchases | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Sales proceeds and paydowns | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Accreted discounts, net | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Actions | 7557 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; Realized gain (loss) | 684 | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in unrealized appreciation (depreciation) | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfers into/(out of) Level 3 | 22762<br> \* | - |
| **Balance as of December 31, 2022** | $**31003** | $**0** |
| Change in unrealized appreciation (depreciation) during the |  |  |
| period for Level 3 investments held at December 31, 2022. | $**(42450)** | $**-** |
| \*Two common stocks transferred from Level 2 to Level 3 due to a lack of observable market data. | \*Two common stocks transferred from Level 2 to Level 3 due to a lack of observable market data. |  |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GuideMark<sup>®</sup> Small/Mid Cap Core Fund** | | | | |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Common Stock** | $**84318604** | $**-** | $**13672** | $**84332276** |
| **Investment Companies** | **2192456** | **-** | **-** | **2192456** |
| **Real Estate Investment Trusts** | **4407392** | **-** | **-** | **4407392** |
| **Rights** | **-** | **-** | **0** | **0** |
| **Short Term Investments** | **266869** | **-** | **-** | **266869** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **30064806** |
| **Total Investments in Securities** | $**91185321** | $**-** | $**13672** | $**121263799** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |

---

---

| | | |
|:---|:---|:---|
| Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. | Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. | Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. |
| **Description** | **Common Stocks** | **Rights** |
| Balance as of April 1, 2022 | 23760 | 322 |
| &nbsp;&nbsp;&nbsp;&nbsp; Purchases | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Sales proceeds and paydowns | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Accreted discounts, net | - | - |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Actions | (544) | 2063 |
| &nbsp;&nbsp;&nbsp;&nbsp; Realized gain (loss) | 544 | (2026) |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in unrealized appreciation (depreciation) | (10088) | (359) |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfers into/(out of) Level 3 | - | - |
| **Balance as of December 31, 2022** | $**13672** | $**0** |
| Change in unrealized appreciation (depreciation) during the |  |  |
| period for Level 3 investments held at December 31, 2022. | $**(10088)** | $**(359)** |
| For further information regarding security characteristics, see the Schedule of Investments. |  |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GuideMark<sup>®</sup> World ex-US Fund** | | | | |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Common Stocks** |  |  |  |  |
| Communication Services | $11656 | $4175647 | $- | $4187303 |
| Consumer Discretionary | 582435 | 11676186 | - | 12258621 |
| Consumer Staples | 1535256 | 8419255 | - | 9954511 |
| Energy | 2395373 | 5439218 | - | 7834591 |
| Financials | 3395879 | 15483616 | - | 18879495 |
| Health Care | 172122 | 11946457 | - | 12118579 |
| Industrials | 1221324 | 13211244 | - | 14432568 |
| Information Technology | 782633 | 4337768 | - | 5120401 |
| Materials | 1265269 | 5137414 | - | 6402683 |
| Real Estate | 80701 | 888575 | - | 969276 |
| Utilities | 123440 | 1578969 | - | 1702409 |
| **Total Common Stocks** | **11566088** | **82294349** | **-** | **93860437** |
| **Preferred Stocks** | **-** | **428636** | **-** | **428636** |
| **Real Estate Investment Trusts** | **12641** | **68526** | **-** | **81167** |
| **Short Term Investments** | **3852** | **-** | **-** | **3852** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **2018962** |
| **Total Investments in Securities** | $**11582581** | $**82791511** | $**-** | $**96393054** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |  |
| **GuideMark<sup>®</sup> Core Fixed Income Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Fixed Income** |  |  |  |  |
| Asset Backed Securities | $- | $12902081 | $- | $12902081 |
| Collateralized Mortgage Obligations | - | 26875247 | - | 26875247 |
| Corporate Obligations | - | 40416655 | - | 40416655 |
| Foreign Government Debt Obligations | - | 2438321 | - | 2438321 |
| Mortgage Backed Securities - U.S. Government Agency | - | 62923143 | - | 62923143 |
| Municipal Debt Obligations | - | 2876391 | - | 2876391 |
| U.S. Treasury Obligations | - | 44109864 | - | 44109864 |
| **Total Fixed Income** | **-** | **192541702** | **-** | **192541702** |
| **Short Term Investments** | **1481701** | **-** | **-** | **1481701** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **1856938** |
| **Total Investments in Securities** | $**1481701** | $**192541702** | $**-** | $**195880341** |
| **Other Financial Instruments\*\*** |  |  |  |  |
| **Futures** | $**159832** | $**-** | $**-** | $**159832** |
| **Swaps** | **-** | **176783** | **-** | **176783** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and swaps. Futures and swaps are reflected as the unrealized appreciation (depreciation) on the instrument. | \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and swaps. Futures and swaps are reflected as the unrealized appreciation (depreciation) on the instrument. | \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and swaps. Futures and swaps are reflected as the unrealized appreciation (depreciation) on the instrument. | \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and swaps. Futures and swaps are reflected as the unrealized appreciation (depreciation) on the instrument. | \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and swaps. Futures and swaps are reflected as the unrealized appreciation (depreciation) on the instrument. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |
| **GuidePath<sup>®</sup> Growth Allocation Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Investment Companies** | $**883569788** | $**-** | $**-** | $**883569788** |
| **Short Term Investments** | **7382196** | **-** | **-** | **7382196** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **137161776** |
| **Total Investments in Securities** | $**890951984** | $**-** | $**-** | $**1028113760** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |  |
| **GuidePath<sup>®</sup> Conservative Allocation Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Investment Companies** | $**392495831** | $**-** | $**-** | $**392495831** |
| **Short Term Investments** | **922** | **-** | **-** | **922** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **37341365** |
| **Total Investments in Securities** | $**392496753** | $**-** | $**-** | $**429838118** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |  |
| **GuidePath<sup>®</sup> Tactical Allocation Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Common Stocks** | $**293944622** | $**-** | $**-** | $**293944622** |
| **Short Term Investments** | **196866896** | **-** | **-** | **196866896** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **39698073** |
| **Total Investments in Securities** | $**490811518** | $**-** | $**-** | $**530509591** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |  |
| **GuidePath<sup>®</sup> Absolute Return Allocation Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Investment Companies** | $**326529992** | $**-** | $**-** | $**326529992** |
| **Short Term Investments** | **211** | **-** | **-** | **211** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **24027998** |
| **Total Investments in Securities** | $**326530203** | $**-** | $**-** | $**350558201** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |  |
| **GuidePath<sup>®</sup> Multi-Asset Income Allocation Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Investment Companies** | $**85396650** | $**-** | $**-** | $**85396650** |
| **Short Term Investments** | **82** | **-** | **-** | **82** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **10337699** |
| **Total Investments in Securities** | $**85396732** | $**-** | $**-** | $**95734431** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |  |
| **GuidePath<sup>®</sup> Flexible Income Allocation Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Investment Companies** | $**288861713** | $**-** | $**-** | $**288861713** |
| **Short Term Investments** | **2536128** | **-** | **-** | **2536128** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **61808433** |
| **Total Investments in Securities** | $**291397841** | $**-** | $**-** | $**353206274** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |  |
| **GuidePath<sup>®</sup> Managed Futures Strategy Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Short Term Investments** | $**14127927** | $**450261315** | $**-** | $**464389242** |
| **Total Investments in Securities** | $**14127927** | $**450261315** | $**-** | $**464389242** |
| **Other Financial Instruments\*** |  |  |  |  |
| **Futures** | $**9273596** | $**-** | $**-** | $**9273596** |
| **Forward Currency Contracts** | $**-** | $**841958** | $**-** | $**841958** |
| \*Other financial instruments are derivative instruments not reflected in the Consolidated Schedule of Investments, such as futures and forward currency contracts. Futures and forward currency contracts are reflected as the unrealized appreciation (depreciation) on the instrument. | \*Other financial instruments are derivative instruments not reflected in the Consolidated Schedule of Investments, such as futures and forward currency contracts. Futures and forward currency contracts are reflected as the unrealized appreciation (depreciation) on the instrument. | \*Other financial instruments are derivative instruments not reflected in the Consolidated Schedule of Investments, such as futures and forward currency contracts. Futures and forward currency contracts are reflected as the unrealized appreciation (depreciation) on the instrument. | \*Other financial instruments are derivative instruments not reflected in the Consolidated Schedule of Investments, such as futures and forward currency contracts. Futures and forward currency contracts are reflected as the unrealized appreciation (depreciation) on the instrument. | \*Other financial instruments are derivative instruments not reflected in the Consolidated Schedule of Investments, such as futures and forward currency contracts. Futures and forward currency contracts are reflected as the unrealized appreciation (depreciation) on the instrument. |
| For further information regarding security characteristics, see the Consolidated Schedule of Investments. | For further information regarding security characteristics, see the Consolidated Schedule of Investments. | For further information regarding security characteristics, see the Consolidated Schedule of Investments. | For further information regarding security characteristics, see the Consolidated Schedule of Investments. |  |
| **GuidePath<sup>®</sup> Conservative Income Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Investment Companies** | $**6440408** | $**-** | $**-** | $**6440408** |
| **Short Term Investments** | **4620515** | **2685921** | **-** | **7306436** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **2207725** |
| **Total Investments in Securities** | $**11060923** | $**2685921** | $**-** | $**15954569** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |
| **GuidePath<sup>®</sup> Income Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Investment Companies** | $**52829056** | $**-** | $**-** | $**52829056** |
| **Short Term Investments** | **1380090** | **-** | **-** | **1380090** |
| **Total Investments in Securities** | $**54209146** | $**-** | $**-** | $**54209146** |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |
| **GuidePath<sup>®</sup> Growth & Income Fund** |  |  |  |  |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Common Stock** | $**36363428** | $**-** | $**-** | $**36363428** |
| **Investment Companies** | **37268672** | **-** | **-** | **37268672** |
| **Short Term Investments** | **17721363** | **11739007** | **-** | **29460370** |
| **Investments Purchased with Proceeds from Securities Lending Collateral\*** | **-** | **-** | **-** | **8706335** |
| **Total Investments in Securities** | $**91353463** | $**11739007** | $**-** | $**111798805** |
| **Other Financial Instruments\*\*** |  |  |  |  |
| **Futures** | $**407967** | $**-** | $**-** | $**407967** |
| **Options Written** | **(447165)** | **(109950)** | **-** | **(557115)** |
| \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. | \* Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
| \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and written options. Futures are reflected as unrealized appreciation (depreciation) on the instrument, while written options are reflected at value. | \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and written options. Futures are reflected as unrealized appreciation (depreciation) on the instrument, while written options are reflected at value. | \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and written options. Futures are reflected as unrealized appreciation (depreciation) on the instrument, while written options are reflected at value. | \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and written options. Futures are reflected as unrealized appreciation (depreciation) on the instrument, while written options are reflected at value. | \*\*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures and written options. Futures are reflected as unrealized appreciation (depreciation) on the instrument, while written options are reflected at value. |
| For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. | For further information regarding security characteristics, see the Schedule of Investments. |  |

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| | | | | |
|:---|:---|:---|:---|:---|
| The GuidePath<sup>®</sup> Flexible Income Allocation Fund owned 5% or more of the voting securities of the following company during the period ended December 31, 2022. As a result, this company is deemed to be an affiliated company. The below table represents fair value: | The GuidePath<sup>®</sup> Flexible Income Allocation Fund owned 5% or more of the voting securities of the following company during the period ended December 31, 2022. As a result, this company is deemed to be an affiliated company. The below table represents fair value: | The GuidePath<sup>®</sup> Flexible Income Allocation Fund owned 5% or more of the voting securities of the following company during the period ended December 31, 2022. As a result, this company is deemed to be an affiliated company. The below table represents fair value: | The GuidePath<sup>®</sup> Flexible Income Allocation Fund owned 5% or more of the voting securities of the following company during the period ended December 31, 2022. As a result, this company is deemed to be an affiliated company. The below table represents fair value: | The GuidePath<sup>®</sup> Flexible Income Allocation Fund owned 5% or more of the voting securities of the following company during the period ended December 31, 2022. As a result, this company is deemed to be an affiliated company. The below table represents fair value: |
| **Issuer** | **Value as of April 1, 2022** | **Purchases** | **Sales** | **Realized Gain (Loss)** |
| WisdomTree Bloomberg U.S. Dollar Bullish Fund<sup>1</sup> | $11530173 | $4048738 | $5770581 | $213000 |
|  | $11530173 | $4048738 | $5770581 | $213000 |
| **Issuer** | **Change in Unrealized Appreciation (Depreciation)** | **Dividend** <br> **Income** | **Fair Value as of** <br> **December 31, 2022** | **Share Balance as of<br> December 31, 2022** |
| WisdomTree Bloomberg U.S. Dollar Bullish Fund<sup>1</sup> | $(171851) | $104469 | $9849479 | 378099 |
|  | $(171851) | $104469 | $9849479 | 378099 |
| <sup>1</sup>No longer an affiliate as of December 31, 2022. | <sup>1</sup>No longer an affiliate as of December 31, 2022. | <sup>1</sup>No longer an affiliate as of December 31, 2022. | <sup>1</sup>No longer an affiliate as of December 31, 2022. |  |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GPS Funds I

- **b. Investment Company Act file number:** 811-10267

- **c. CIK number of Registrant:** 0001131042

- **d. LEI of Registrant:** 549300C07FJ85ION4I28

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

  - **Street Address 1:** 1655 Grant Street

  - **City:** Concord

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94520

  - **Telephone number:** 800-664-5345

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

- **a. Name of Series:** GuideMark Core Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000006189

- **c. LEI of Series:** 549300WHVM6KFXNED458

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

- **a. Date of fiscal year-end:** 2023-03-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $198904722.09

**Total Liabilities:** $32299901.41

**Net Assets:** $166604820.68

**Delayed Delivery Securities:** $28505768.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2763.500000000000 | **1-Year:** 6554.360000000000 | **5-Year:** 19519.810000000000 | **10-Year:** 35711.340000000000 | **30-Year:** 57792.080000000000

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

- **3-Month:** 1222.190000000000 | **1-Year:** 988.450000000000 | **5-Year:** 284.310000000000 | **10-Year:** 542.480000000000 | **30-Year:** 989.740000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017037 | -1.63%               | 3.64%                | -0.03%               |
| Class ID C000096251 | 0.00%                | 0.00%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3704906.13             | $-169242.87                                |
| Month 2  | $-745925.72              | $7188602.19                                |
| Month 3  | $761959.63               | $-1518710.71                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg Total Return Value Unhedged USD

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                      | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| FHLMC Multifamily Structured P            | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82000 | PA      | $78030.30     | 0.05%             | 2027-08-25      | Fixed         | 3.24%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured P            | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714092 | PA      | $43361.33     | 0.03%             | 2030-01-25      | Variable      | 1.12%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                              | CUSIP: 3137FRK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111232 | PA      | $100071.51    | 0.06%             | 2042-12-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured P            | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333749 | PA      | $30540.27     | 0.02%             | 2030-04-25      | Variable      | 1.70%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured P            | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1321130 | PA      | $117579.94    | 0.07%             | 2030-05-25      | Variable      | 1.57%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured P            | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    931083 | PA      | $60159.44     | 0.04%             | 2030-06-25      | Variable      | 1.12%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                              | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390548 | PA      | $331098.91    | 0.20%             | 2050-07-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31385HJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       496 | PA      | $489.52       | 0.00%             | 2029-08-01      | Floating      | 3.04%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138A1AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1415 | PA      | $1361.60      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138A1AW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4595 | PA      | $4422.34      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138A1U33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1646 | PA      | $1584.19      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138A1UZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5998 | PA      | $5773.20      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138A2MM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4527 | PA      | $4356.76      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WHBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126562 | PA      | $117764.44    | 0.07%             | 2046-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WHKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92395 | PA      | $88677.78     | 0.05%             | 2046-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WJ5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166177 | PA      | $154556.28    | 0.09%             | 2047-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WK2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149078 | PA      | $142848.03    | 0.09%             | 2037-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452123 | PA      | $412482.28    | 0.25%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WTRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275117 | PA      | $250999.16    | 0.15%             | 2043-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138X0YX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171538 | PA      | $160673.13    | 0.10%             | 2043-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138YR4S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265882 | PA      | $255241.19    | 0.15%             | 2045-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fanniemae Strip                           | Fannie Mae Interest Strip                                                       | CUSIP: 31395QFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58713 | PA      | $53993.55     | 0.03%             | 2042-11-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31402E2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1385 | PA      | $1416.46      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31402JYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       701 | PA      | $715.55       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31402YFB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       212 | PA      | $219.03       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31404EGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       282 | PA      | $288.35       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31404Q2H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2765 | PA      | $2836.03      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31404SFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        59 | PA      | $61.29        | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31404XLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1832 | PA      | $1896.21      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31405EEV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42490 | PA      | $43467.32     | 0.03%             | 2031-10-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31405X2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78855 | PA      | $77862.52     | 0.05%             | 2034-10-01      | Floating      | 3.86%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31406UHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1703 | PA      | $1742.38      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31406XDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1579 | PA      | $1611.54      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31407RQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       325 | PA      | $327.62       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31409A5P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1824 | PA      | $1890.74      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140F0PY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20071 | PA      | $18863.03     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140F5QW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238067 | PA      | $214113.80    | 0.13%             | 2046-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140JM2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407211 | PA      | $390228.86    | 0.23%             | 2049-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140LQSF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247571 | PA      | $202347.47    | 0.12%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140LV5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368382 | PA      | $301515.42    | 0.18%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140MERA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791846 | PA      | $647212.76    | 0.39%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140MGKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    888207 | PA      | $725969.98    | 0.44%             | 2052-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140MP3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177801 | PA      | $145295.80    | 0.09%             | 2052-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140Q75U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1361828 | PA      | $1260429.35   | 0.76%             | 2047-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2834569 | PA      | $2427704.96   | 1.46%             | 2051-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140XDRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2997616 | PA      | $2551815.34   | 1.53%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                        | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    175000 | PA      | $159970.54    | 0.10%             | 2035-05-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                        | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     80000 | PA      | $57101.17     | 0.03%             | 2051-06-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    148000 | PA      | $100472.25    | 0.06%             | 2053-09-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     91000 | PA      | $61404.18     | 0.04%             | 2055-09-15      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                        | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     75000 | PA      | $67783.54     | 0.04%             | 2026-03-25      | Fixed         | 1.70%                 | No            | 2                  | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     53000 | PA      | $37106.19     | 0.02%             | 2057-12-01      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| ABBVIE INC                                | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    175000 | PA      | $148407.36    | 0.09%             | 2049-11-21      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Affirm Asset Securitization Tr            | Affirm Asset Securitization Trust 2020-Z1                                       | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11078 | PA      | $10988.94     | 0.01%             | 2024-10-15      | Fixed         | 3.46%                 | No            | 2                  | On Loan: No      |
| Affirm Inc                                | Affirm Asset Securitization Trust 2020-Z2                                       | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35490 | PA      | $34533.49     | 0.02%             | 2025-01-15      | Fixed         | 1.90%                 | No            | 2                  | On Loan: No      |
| Ajax Mortgage Loan Trust                  | Ajax Mortgage Loan Trust 2021-C                                                 | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93606 | PA      | $87206.24     | 0.05%             | 2061-01-25      | Variable      | 2.12%                 | No            | 2                  | On Loan: No      |
| ALABAMA POWER CO                          | Alabama Power Co                                                                | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    165000 | PA      | $120400.20    | 0.07%             | 2049-10-01      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| OVINTIV INC                               | Ovintiv Inc                                                                     | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $48195.56     | 0.03%             | 2031-11-01      | Fixed         | 7.38%                 | No            | 2                  | On Loan: No      |
| ALCON FINANCE CORP                        | Alcon Finance Corp                                                              | CUSIP: 01400EAA1<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183544.18    | 0.11%             | 2026-09-23      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F012411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3300000 | PA      | $2861460.95   | 1.72%             | 2036-01-15      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $937736.35    | 0.56%             | 2051-01-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3950000 | PA      | $3351316.67   | 2.01%             | 2047-01-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2000000 | PA      | $1878361.62   | 1.13%             | 2041-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  10200000 | PA      | $9828656.25   | 5.90%             | 2041-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| ALTRIA GROUP INC                          | Altria Group Inc                                                                | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     40000 | PA      | $26689.49     | 0.02%             | 2041-02-04      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                            | Amazon.com Inc                                                                  | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    115000 | PA      | $103050.35    | 0.06%             | 2037-08-22      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| AMAZON.COM INC                            | Amazon.com Inc                                                                  | CUSIP: 023135CK0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    240000 | PA      | $200125.69    | 0.12%             | 2062-04-13      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| HESS CORP                                 | Hess Corp                                                                       | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     80000 | PA      | $89081.02     | 0.05%             | 2029-10-01      | Fixed         | 7.88%                 | No            | 2                  | On Loan: No      |
| HESS CORP                                 | Hess Corp                                                                       | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     70000 | PA      | $76433.63     | 0.05%             | 2031-08-15      | Fixed         | 7.30%                 | No            | 2                  | On Loan: No      |
| American Credit Acceptance Rec            | American Credit Acceptance Receivables Trust 2022-3                             | CUSIP: 02528GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25000 | PA      | $24520.24     | 0.01%             | 2026-10-13      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| MF1 Multifamily Housing Mortga            | MF1 2022-FL8 Ltd                                                                | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $249091.31    | 0.15%             | 2037-02-19      | Floating      | 5.58%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                   | MPLX LP                                                                         | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4733.45      | 0.00%             | 2027-03-01      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                   | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77219.96     | 0.05%             | 2047-03-01      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                   | MPLX LP                                                                         | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33185.90     | 0.02%             | 2027-12-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                   | MPLX LP                                                                         | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     75000 | PA      | $62050.07     | 0.04%             | 2052-03-14      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| MPLX LP                                   | MPLX LP                                                                         | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51906.76     | 0.03%             | 2032-09-01      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding Ltd                  | Madison Park Funding XXXVIII Ltd                                                | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    465000 | PA      | $454227.35    | 0.27%             | 2034-07-17      | Floating      | 5.20%                 | No            | 2                  | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                  | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    210000 | PA      | $172885.80    | 0.10%             | 2032-03-15      | Fixed         | 4.28%                 | No            | 2                  | On Loan: —       |
| WARNERMEDIA HOLDINGS INC                  | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    655000 | PA      | $480011.51    | 0.29%             | 2052-03-15      | Fixed         | 5.14%                 | No            | 2                  | On Loan: No      |
| MARSH & MCLENNAN COS INC                  | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748AU6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69269.50     | 0.04%             | 2023-10-15      | Fixed         | 4.05%                 | No            | 2                  | On Loan: No      |
| MARSH & MCLENNAN COS INC                  | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83581.27     | 0.05%             | 2039-03-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| MARVELL TECHNOLOGY INC                    | Marvell Technology Inc                                                          | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $25489.97     | 0.02%             | 2028-04-15      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| MARVELL TECHNOLOGY INC                    | Marvell Technology Inc                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $76866.07     | 0.05%             | 2031-04-15      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| AMERICAN TOWER CORP                       | American Tower Corp                                                             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    150000 | PA      | $140528.87    | 0.08%             | 2027-03-15      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| AmeriCredit Automobile Receiva            | AmeriCredit Automobile Receivables Trust 2019-3                                 | CUSIP: 03066NAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $144266.63    | 0.09%             | 2025-09-18      | Fixed         | 2.58%                 | No            | 2                  | On Loan: No      |
| MASSACHUSETTS ST SPL OBLG REVE            | Commonwealth of Massachusetts                                                   | CUSIP: 576004HG3<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |    270000 | PA      | $260832.99    | 0.16%             | 2031-07-15      | Fixed         | 4.11%                 | No            | 2                  | On Loan: No      |
| MCDONALD'S CORP                           | McDonald's Corp                                                                 | CUSIP: 58013MEV2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45139.62     | 0.03%             | 2045-05-26      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2019-3                                      | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129701 | PA      | $120653.49    | 0.07%             | 2058-11-25      | Variable      | 3.75%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2018-1                                      | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85917 | PA      | $81003.96     | 0.05%             | 2057-12-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2022-NQM1                                   | CUSIP: 64830JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437749 | PA      | $379244.35    | 0.23%             | 2061-04-25      | Variable      | 2.28%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2018-3                                      | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |    181403 | PA      | $170671.86    | 0.10%             | 2058-05-25      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2019-5                                      | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94570 | PA      | $87905.54     | 0.05%             | 2059-08-25      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2021-NQM2R                                  | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74900 | PA      | $65174.23     | 0.04%             | 2058-10-25      | Variable      | 0.94%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2021-NQM3                                   | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302087 | PA      | $250520.68    | 0.15%             | 2056-11-27      | Variable      | 1.16%                 | No            | 2                  | On Loan: No      |
| NEW YORK ST THRUWAY AUTH                  | New York State Thruway Authority                                                | CUSIP: 650009S53<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     60000 | PA      | $49320.65     | 0.03%             | 2035-01-01      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| NEW YORK TRANSPRTN DEV CORP LE            | New York Transportation Development Corp                                        | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    300000 | PA      | $288552.96    | 0.17%             | 2035-09-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| NEXTERA ENERGY CAPITAL                    | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    325000 | PA      | $268902.04    | 0.16%             | 2030-06-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| NEXTERA ENERGY CAPITAL                    | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    365000 | PA      | $360062.98    | 0.22%             | 2027-07-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: —       |
| NISOURCE INC                              | NiSource Inc                                                                    | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    379000 | PA      | $339510.53    | 0.20%             | 2030-05-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| NISOURCE INC                              | NiSource Inc                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     45000 | PA      | $34548.65     | 0.02%             | 2031-02-15      | Fixed         | 1.70%                 | No            | 2                  | On Loan: No      |
| NORTHROP GRUMMAN CORP                     | Northrop Grumman Corp                                                           | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    189000 | PA      | $185093.80    | 0.11%             | 2040-05-01      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| NVIDIA CORP                               | NVIDIA Corp                                                                     | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    150000 | PA      | $122869.11    | 0.07%             | 2040-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                   | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    215000 | PA      | $209325.82    | 0.13%             | 2032-06-15      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| OZLM Ltd                                  | OZLM VII Ltd                                                                    | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    182294 | PA      | $180315.02    | 0.11%             | 2029-07-17      | Floating      | 5.09%                 | No            | 2                  | On Loan: No      |
| Onslow Bay Financial LLC                  | OBX 2021-NQM1 Trust                                                             | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175623 | PA      | $137718.11    | 0.08%             | 2066-02-25      | Variable      | 1.07%                 | No            | 2                  | On Loan: No      |
| Onslow Bay Financial LLC                  | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183147 | PA      | $138871.46    | 0.08%             | 2061-07-25      | Variable      | 1.05%                 | No            | 2                  | On Loan: No      |
| Onslow Bay Financial LLC                  | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394163 | PA      | $340182.62    | 0.20%             | 2061-11-25      | Variable      | 2.31%                 | No            | 2                  | On Loan: No      |
| OGLETHORPE POWER CORP                     | Oglethorpe Power Corp                                                           | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    145000 | PA      | $125407.97    | 0.08%             | 2048-10-01      | Fixed         | 5.05%                 | No            | 2                  | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                   | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52086.83     | 0.03%             | 2029-03-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                   | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBU7<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65689.66     | 0.04%             | 2030-05-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| ONEOK INC                                 | ONEOK Inc                                                                       | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52112.34     | 0.03%             | 2028-07-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| ONEOK INC                                 | ONEOK Inc                                                                       | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    135000 | PA      | $113779.33    | 0.07%             | 2030-03-15      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| ONEOK INC                                 | ONEOK Inc                                                                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     62000 | PA      | $63330.27     | 0.04%             | 2031-01-15      | Fixed         | 6.35%                 | No            | 2                  | On Loan: No      |
| ONEOK INC                                 | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30278.02     | 0.02%             | 2032-11-15      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XAV7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    185000 | PA      | $163385.92    | 0.10%             | 2034-07-08      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                  | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    120000 | PA      | $100070.81    | 0.06%             | 2031-12-02      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                  | Capital One Financial Corp                                                      | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    420000 | PA      | $401753.79    | 0.24%             | 2030-07-26      | Variable      | 5.25%                 | No            | 2                  | On Loan: No      |
| CARGILL INC                               | Cargill Inc                                                                     | CUSIP: 141781BS2<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    165000 | PA      | $131144.59    | 0.08%             | 2031-11-10      | Fixed         | 2.12%                 | No            | 2                  | On Loan: No      |
| CARGILL INC                               | Cargill Inc                                                                     | CUSIP: 141781BW3<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    125000 | PA      | $115965.47    | 0.07%             | 2032-06-22      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Carvana Auto Receivables Trust            | Carvana Auto Receivables Trust 2022-P2                                          | CUSIP: 14686JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $373782.61    | 0.22%             | 2027-04-12      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| CELANESE US HOLDINGS LLC                  | Celanese US Holdings LLC                                                        | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    230000 | PA      | $227553.84    | 0.14%             | 2027-07-15      | Fixed         | 6.17%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $118887.72    | 0.07%             | 2047-05-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $45569.54     | 0.03%             | 2048-04-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $57340.32     | 0.03%             | 2049-07-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $117106.55    | 0.07%             | 2050-03-01      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| AXIS Equipment Finance Receiva            | Amur Equipment Finance Receivables XI LLC                                       | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $103961.99    | 0.06%             | 2028-06-21      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust I LLC 2019-4                                           | CUSIP: 03463UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7574 | PA      | $7529.26      | 0.00%             | 2049-07-26      | Variable      | 2.99%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $27694.57     | 0.02%             | 2051-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $107941.86    | 0.06%             | 2052-06-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2022-1                                                 | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449460 | PA      | $395460.07    | 0.24%             | 2066-12-25      | Variable      | 2.88%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-4                                                 | CUSIP: 03464EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161758 | PA      | $128246.08    | 0.08%             | 2065-01-20      | Variable      | 1.03%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust I LLC 2018-3                                           | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1192 | PA      | $1187.20      | 0.00%             | 2048-09-25      | Variable      | 3.65%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2020-R1                                                | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87744 | PA      | $82044.85     | 0.05%             | 2053-04-25      | Variable      | 0.99%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104103.30    | 0.06%             | 2028-02-15      | Fixed         | 5.55%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88225.65     | 0.05%             | 2033-02-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2020-6                                                 | CUSIP: 03465AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31495 | PA      | $27148.69     | 0.02%             | 2065-05-25      | Variable      | 1.26%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-1                                                 | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111032 | PA      | $91323.00     | 0.05%             | 2066-01-25      | Variable      | 0.91%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    115000 | PA      | $108165.58    | 0.06%             | 2049-04-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                  | Enterprise Products Operating LLC                                               | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    190000 | PA      | $163968.52    | 0.10%             | 2049-02-01      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-2                                                 | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101230 | PA      | $83705.16     | 0.05%             | 2066-04-25      | Variable      | 0.98%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2019-B12 Mortgage Trust                                               | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970682 | PA      | $40430.18     | 0.02%             | 2052-08-15      | Variable      | 1.03%                 | No            | 2                  | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                  | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42760.51     | 0.03%             | 2030-01-31      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage             | Citigroup Commercial Mortgage Trust 2016-P3                                     | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296312 | PA      | $276458.56    | 0.17%             | 2049-04-15      | Fixed         | 3.33%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2019-B10 Mortgage Trust                                               | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490893 | PA      | $77401.63     | 0.05%             | 2062-03-15      | Variable      | 1.22%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2020-B18 Mortgage Trust                                               | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393367 | PA      | $30953.86     | 0.02%             | 2053-07-15      | Variable      | 1.79%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750882 | PA      | $65238.44     | 0.04%             | 2054-01-15      | Variable      | 1.52%                 | No            | 2                  | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                  | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659AM3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46427.76     | 0.03%             | 2028-04-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                    | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CQ2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     65000 | PA      | $58134.99     | 0.03%             | 2048-08-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| GOVT OF BERMUDA                           | Bermuda Government International Bond                                           | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    200000 | PA      | $199032.83    | 0.12%             | 2032-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage             | Citigroup Commercial Mortgage Trust 2016-P4                                     | CUSIP: 29429EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505000 | PA      | $464149.54    | 0.28%             | 2049-07-10      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| EQUINOR ASA                               | Equinor ASA                                                                     | CUSIP: 29446MAG7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     95000 | PA      | $79049.81     | 0.05%             | 2040-04-06      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| EQUINOR ASA                               | Equinor ASA                                                                     | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     70000 | PA      | $56009.63     | 0.03%             | 2050-04-06      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                  | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    340000 | PA      | $284467.08    | 0.17%             | 2028-03-08      | Fixed         | 1.80%                 | No            | 2                  | On Loan: No      |
| Bankers Healthcare Group Secur            | BHG Securitization Trust 2021-B                                                 | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54402 | PA      | $51242.49     | 0.03%             | 2034-10-17      | Fixed         | 0.90%                 | No            | 2                  | On Loan: No      |
| Bluemountain CLO Ltd                      | BlueMountain CLO XXIV Ltd                                                       | CUSIP: 09609NAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $252731.44    | 0.15%             | 2034-04-20      | Floating      | 5.34%                 | No            | 2                  | On Loan: No      |
| EVERGY INC                                | Evergy Inc                                                                      | CUSIP: 30034WAA4<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76045.71     | 0.05%             | 2024-09-15      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| Starwood Residential Mortgage             | STAR 2021-1 Trust                                                               | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146491 | PA      | $133116.11    | 0.08%             | 2065-05-25      | Variable      | 1.22%                 | No            | 2                  | On Loan: No      |
| Starwood Mortgage Residential             | Starwood Mortgage Residential Trust 2021-2                                      | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57368 | PA      | $53238.02     | 0.03%             | 2065-05-25      | Variable      | 0.94%                 | No            | 2                  | On Loan: No      |
| Starwood Mortgage Residential             | Starwood Mortgage Residential Trust 2020-3                                      | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21538 | PA      | $19816.74     | 0.01%             | 2065-04-25      | Variable      | 1.49%                 | No            | 2                  | On Loan: No      |
| Starwood Mortgage Residential             | Starwood Mortgage Residential Trust 2021-6                                      | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295659 | PA      | $246799.82    | 0.15%             | 2066-11-25      | Variable      | 1.92%                 | No            | 2                  | On Loan: No      |
| STATE STREET CORP                         | State Street Corp                                                               | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     85000 | PA      | $88068.49     | 0.05%             | 2028-11-04      | Variable      | 5.82%                 | No            | 2                  | On Loan: No      |
| BNP PARIBAS                               | BNP Paribas SA                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $183950.73    | 0.11%             | 2026-06-09      | Variable      | 2.22%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                 | Boeing Co/The                                                                   | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    283000 | PA      | $280640.20    | 0.17%             | 2027-05-01      | Fixed         | 5.04%                 | No            | 2                  | On Loan: No      |
| Summit Issuer, LLC                        | Summit Issuer LLC                                                               | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $87788.63     | 0.05%             | 2050-12-20      | Fixed         | 2.29%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4267.25      | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| SUTTER HEALTH                             | Sutter Health                                                                   | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     75000 | PA      | $51566.29     | 0.03%             | 2050-08-15      | Fixed         | 3.36%                 | No            | 2                  | On Loan: No      |
| TICP CLO Ltd                              | TICP CLO III-2 Ltd                                                              | CUSIP: 87249FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    122320 | PA      | $121852.42    | 0.07%             | 2028-04-20      | Floating      | 5.08%                 | No            | 2                  | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    180000 | PA      | $163901.37    | 0.10%             | 2030-04-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    708000 | PA      | $616015.31    | 0.37%             | 2029-08-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| TSY INFL IX N/B                           | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    104610 | PA      | $93841.57     | 0.06%             | 2030-07-15      | Fixed         | 0.12%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3490000 | PA      | $3124367.99   | 1.88%             | 2026-04-30      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1030000 | PA      | $841461.71    | 0.51%             | 2031-11-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2645000 | PA      | $2302286.53   | 1.38%             | 2028-11-30      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5260000 | PA      | $4669585.57   | 2.80%             | 2029-02-28      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1075000 | PA      | $994375.00    | 0.60%             | 2032-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    590000 | PA      | $570732.81    | 0.34%             | 2025-06-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1445000 | PA      | $1386296.88   | 0.83%             | 2029-06-30      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| TSY INFL IX N/B                           | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2410372 | PA      | $2212166.27   | 1.33%             | 2032-07-15      | Fixed         | 0.62%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2320000 | PA      | $2120625.00   | 1.27%             | 2032-08-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PCA8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    135000 | PA      | $115223.33    | 0.07%             | 2042-10-15      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8256.93      | 0.00%             | 2039-08-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    135000 | PA      | $113087.63    | 0.07%             | 2031-05-15      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95503.46     | 0.06%             | 2032-05-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28397.62     | 0.02%             | 2062-05-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $165654.34    | 0.10%             | 2030-02-15      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    145000 | PA      | $150517.72    | 0.09%             | 2033-02-15      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $87087.11     | 0.05%             | 2053-02-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| UNITEDHEALTH GROUP INC                    | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     25000 | PA      | $27505.09     | 0.02%             | 2063-02-15      | Fixed         | 6.05%                 | No            | 2                  | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED            | Regents of the University of California Medical Center Pooled Revenue           | CUSIP: 913366EP1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     35000 | PA      | $39875.05     | 0.02%             | 2048-05-15      | Fixed         | 6.55%                 | No            | 2                  | On Loan: —       |
| Upstart Securitization Trust              | Upstart Securitization Trust 2021-3                                             | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42353 | PA      | $41484.92     | 0.02%             | 2031-07-20      | Fixed         | 0.83%                 | No            | 2                  | On Loan: No      |
| Upstart Securitization Trust              | Upstart Securitization Trust 2021-4                                             | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106753 | PA      | $103363.62    | 0.06%             | 2031-09-20      | Fixed         | 0.84%                 | No            | 2                  | On Loan: No      |
| EVERGY INC                                | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    155000 | PA      | $134566.88    | 0.08%             | 2029-09-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| EVERGY METRO                              | Evergy Metro Inc                                                                | CUSIP: 30037DAA3<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     45000 | PA      | $37246.54     | 0.02%             | 2030-06-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Exeter Automobile Receivables             | Exeter Automobile Receivables Trust 2022-4                                      | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $117823.85    | 0.07%             | 2027-01-15      | Fixed         | 4.57%                 | No            | 2                  | On Loan: No      |
| Exeter Automobile Receivables             | Exeter Automobile Receivables Trust 2019-4                                      | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242512 | PA      | $238477.67    | 0.14%             | 2025-09-15      | Fixed         | 2.58%                 | No            | 2                  | On Loan: No      |
| Exeter Automobile Receivables             | Exeter Automobile Receivables Trust 2020-1                                      | CUSIP: 30167HAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89268 | PA      | $87479.05     | 0.05%             | 2025-12-15      | Fixed         | 2.73%                 | No            | 2                  | On Loan: No      |
| Exeter Automobile Receivables             | Exeter Automobile Receivables Trust 2022-6                                      | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62000 | PA      | $62149.66     | 0.04%             | 2027-08-16      | Fixed         | 6.03%                 | No            | 2                  | On Loan: No      |
| EXXON MOBIL CORPORATION                   | Exxon Mobil Corp                                                                | CUSIP: 30231GBF8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    145000 | PA      | $131531.22    | 0.08%             | 2040-03-19      | Fixed         | 4.23%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                           | CUSIP: 3128E27C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       892 | PA      | $876.50       | 0.00%             | 2023-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                           | CUSIP: 3128K3PN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        45 | PA      | $44.90        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                           | CUSIP: 3128MCG90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2684 | PA      | $2706.14      | 0.00%             | 2024-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                | CUSIP: 3132DWAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1782713 | PA      | $1572526.61   | 0.94%             | 2051-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                           | CUSIP: 3132H3XR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114545 | PA      | $110225.77    | 0.07%             | 2042-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                           | CUSIP: 3132WPNF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201212 | PA      | $187305.38    | 0.11%             | 2047-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                           | CUSIP: 3132XUKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177479 | PA      | $165120.47    | 0.10%             | 2047-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                              | CUSIP: 3133984L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31677 | PA      | $33098.44     | 0.02%             | 2031-07-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                | CUSIP: 3133ATZX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2759828 | PA      | $2366323.69   | 1.42%             | 2051-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                | CUSIP: 3133AXYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372048 | PA      | $316610.45    | 0.19%             | 2051-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                | CUSIP: 3133B1RZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4907902 | PA      | $4012554.46   | 2.41%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                | CUSIP: 3133B94L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147821 | PA      | $120782.99    | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                | CUSIP: 3133BDP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3794673 | PA      | $3225907.35   | 1.94%             | 2052-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                              | CUSIP: 3133TTRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57120 | PA      | $58378.14     | 0.04%             | 2031-06-15      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac Non Gold Pool                                                       | CUSIP: 31342AP86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32569 | PA      | $32786.47     | 0.02%             | 2033-04-01      | Floating      | 3.05%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136A36C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18950 | PA      | $17131.68     | 0.01%             | 2041-09-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136A4TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32747 | PA      | $29273.60     | 0.02%             | 2041-12-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136A6AN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29024 | PA      | $27426.88     | 0.02%             | 2042-05-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356658 | PA      | $329463.21    | 0.20%             | 2042-11-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136AFLL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36842 | PA      | $35006.28     | 0.02%             | 2043-06-25      | Fixed         | 1.70%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136APKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43972 | PA      | $41753.87     | 0.03%             | 2043-02-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136ARQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45943 | PA      | $42112.03     | 0.03%             | 2046-03-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25382 | PA      | $23104.57     | 0.01%             | 2046-01-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136AWCM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32440 | PA      | $31537.71     | 0.02%             | 2044-07-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136AWNN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37713 | PA      | $36698.31     | 0.02%             | 2053-04-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136AWTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19423 | PA      | $18412.61     | 0.01%             | 2047-05-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136AXJT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36240 | PA      | $35470.09     | 0.02%             | 2053-07-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136AYMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40161 | PA      | $38870.18     | 0.02%             | 2053-04-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E1AE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11887 | PA      | $11635.67     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E1AK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9350 | PA      | $9152.00      | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E1CH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4493 | PA      | $4381.03      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E1HB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120137 | PA      | $116539.57    | 0.07%             | 2026-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E1HT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10216 | PA      | $10000.08     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E1JP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7943 | PA      | $7775.15      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E1LS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14974 | PA      | $14657.44     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E22M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2777 | PA      | $2734.62      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E2FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8449 | PA      | $8269.89      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E2H24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6412 | PA      | $6276.28      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E2LL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43873 | PA      | $42775.99     | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                               | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $185349.56    | 0.11%             | 2025-05-24      | Variable      | 0.98%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                               | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $348846.50    | 0.21%             | 2033-03-29      | Variable      | 4.76%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                               | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    305000 | PA      | $295185.76    | 0.18%             | 2028-08-11      | Variable      | 5.21%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                               | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    520000 | PA      | $484605.37    | 0.29%             | 2033-08-11      | Variable      | 5.40%                 | No            | 2                  | On Loan: —       |
| HALLIBURTON CO                            | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     65000 | PA      | $60655.04     | 0.04%             | 2035-11-15      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| Harriman Park CLO                         | Harriman Park CLO LTD                                                           | CUSIP: 413717AN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    605000 | PA      | $593406.99    | 0.36%             | 2034-04-20      | Floating      | 5.36%                 | No            | 2                  | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI              | Hawaii Hotel Trust 2019-MAUI                                                    | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $214006.36    | 0.13%             | 2038-05-15      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| HOWARD UNIVERSITY                         | Howard University                                                               | CUSIP: 442851AV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $82444.25     | 0.05%             | 2031-10-01      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| HOWARD UNIVERSITY                         | Howard University                                                               | CUSIP: 442851AY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $54908.66     | 0.03%             | 2041-10-01      | Fixed         | 3.48%                 | No            | 2                  | On Loan: No      |
| HUMANA INC                                | Humana Inc                                                                      | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36344.36     | 0.02%             | 2033-03-01      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| HUNGARY                                   | Hungary Government International Bond                                           | CUSIP: 445545AP1<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    210000 | PA      | $201413.52    | 0.12%             | 2029-06-16      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Imperial Fund LLC                         | Imperial Fund Mortgage Trust 2021-NQM2                                          | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147022 | PA      | $118130.63    | 0.07%             | 2056-09-25      | Variable      | 1.07%                 | No            | 2                  | On Loan: No      |
| Imperial Fund LLC                         | Imperial Fund Mortgage Trust 2022-NQM2                                          | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477618 | PA      | $443323.12    | 0.27%             | 2067-03-25      | Variable      | 3.64%                 | No            | 2                  | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     70000 | PA      | $48121.06     | 0.03%             | 2049-11-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140BV1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    150000 | PA      | $105764.77    | 0.06%             | 2041-08-12      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| MCDONALD'S CORP                           | McDonald's Corp                                                                 | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14038.91     | 0.01%             | 2045-12-09      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| MCDONALD'S CORP                           | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     55000 | PA      | $41896.36     | 0.03%             | 2049-09-01      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| MCDONALD'S CORP                           | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     90000 | PA      | $75924.93     | 0.05%             | 2050-04-01      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Mercury Financial Credit Card             | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $114525.35    | 0.07%             | 2026-03-20      | Fixed         | 1.54%                 | No            | 2                  | On Loan: No      |
| MET LIFE GLOB FUNDING I                   | Metropolitan Life Global Funding I                                              | CUSIP: 59217GET2<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    360000 | PA      | $291501.84    | 0.17%             | 2032-01-11      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| MET TRANSPRTN AUTH NY REVENUE             | Metropolitan Transportation Authority                                           | CUSIP: 59261AG43<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    100000 | PA      | $96355.43     | 0.06%             | 2050-11-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| MET TRANSPRTN AUTH NY REVENUE             | Metropolitan Transportation Authority                                           | CUSIP: 59261AG76<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    255000 | PA      | $220942.56    | 0.13%             | 2049-11-15      | Fixed         | 5.17%                 | No            | 2                  | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                  | Microchip Technology Inc                                                        | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147237.48    | 0.09%             | 2023-09-01      | Fixed         | 2.67%                 | No            | 2                  | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                  | Berkshire Hathaway Energy Co                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     65000 | PA      | $68738.80     | 0.04%             | 2036-04-01      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Mill City Mortgage Trust                  | Mill City Mortgage Loan Trust 2017-3                                            | CUSIP: 59980CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54263 | PA      | $52511.01     | 0.03%             | 2061-01-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| Mill City Mortgage Trust                  | Mill City Mortgage Loan Trust 2018-2                                            | CUSIP: 59980MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46663 | PA      | $45818.02     | 0.03%             | 2058-05-25      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| Mill City Mortgage Trust                  | Mill City Mortgage Loan Trust 2018-1                                            | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49228 | PA      | $47502.44     | 0.03%             | 2062-05-25      | Variable      | 3.25%                 | No            | 2                  | On Loan: No      |
| Mill City Mortgage Trust                  | Mill City Mortgage Loan Trust 2019-1                                            | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125547 | PA      | $118722.53    | 0.07%             | 2069-10-25      | Variable      | 3.25%                 | No            | 2                  | On Loan: No      |
| Mill City Mortgage Trust                  | Mill City Mortgage Loan Trust 2019-GS1                                          | CUSIP: 59981BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194637 | PA      | $181898.97    | 0.11%             | 2059-07-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| MONDELEZ INTERNATIONAL                    | Mondelez International Inc                                                      | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6062.34      | 0.00%             | 2030-04-13      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| MONDELEZ INTERNATIONAL                    | Mondelez International Inc                                                      | CUSIP: 609207BA2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36393.41     | 0.02%             | 2027-03-17      | Fixed         | 2.62%                 | No            | 2                  | On Loan: No      |
| MONDELEZ INTERNATIONAL                    | Mondelez International Inc                                                      | CUSIP: 609207BB0<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25836.87     | 0.02%             | 2032-03-17      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51586.23     | 0.03%             | 2030-01-23      | Variable      | 4.43%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    210000 | PA      | $174476.25    | 0.10%             | 2031-01-22      | Variable      | 2.70%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    285000 | PA      | $215557.87    | 0.13%             | 2032-02-13      | Variable      | 1.79%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    145000 | PA      | $110115.03    | 0.07%             | 2032-04-28      | Variable      | 1.93%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    340000 | PA      | $313669.03    | 0.19%             | 2028-07-22      | Variable      | 3.59%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital Inc                | Morgan Stanley ABS Capital I Inc Trust 2003-NC10                                | CUSIP: 61746RDX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79572 | PA      | $78062.50     | 0.05%             | 2033-10-25      | Floating      | 5.41%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    130000 | PA      | $102054.35    | 0.06%             | 2032-10-20      | Variable      | 2.51%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    255000 | PA      | $227255.25    | 0.14%             | 2028-01-21      | Variable      | 2.48%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    210000 | PA      | $200345.49    | 0.12%             | 2028-04-20      | Variable      | 4.21%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley BAML Trust                 | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                     | CUSIP: 61766EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $163475.32    | 0.10%             | 2049-05-15      | Fixed         | 3.33%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    310000 | PA      | $272623.83    | 0.16%             | 2027-05-04      | Variable      | 1.59%                 | No            | 2                  | On Loan: No      |
| NMLT Trust                                | NMLT 2021-INV1 Trust                                                            | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308599 | PA      | $248042.82    | 0.15%             | 2056-05-25      | Variable      | 1.19%                 | No            | 2                  | On Loan: No      |
| NXP BV/NXP FUNDING LLC                    | NXP BV / NXP Funding LLC                                                        | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    147000 | PA      | $145988.21    | 0.09%             | 2024-03-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                    | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $83937.86     | 0.05%             | 2029-06-18      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| N/A                                       | IRS PAY FIXED 1.56% 12/15/2051                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $174124.76    | 0.10%             |  |  |  | No            | 2                  | On Loan: No      |
| FIN DEPT GOVT SHARJAH                     | Finance Department Government of Sharjah                                        | CUSIP: BO3949134<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |    285000 | PA      | $237293.85    | 0.14%             | 2033-03-10      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                   | Romanian Government International Bond                                          | CUSIP: BK4157164<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    338000 | PA      | $267512.13    | 0.16%             | 2031-02-14      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                       | US 5YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -110 | NC      | $86803.00     | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| GOVT OF BERMUDA                           | Bermuda Government International Bond                                           | CUSIP: ZO0407445<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    200000 | PA      | $169707.38    | 0.10%             | 2030-08-20      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| N/A                                       | US 2YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         4 | NC      | $-1687.00     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                       | US 10YR NOTE (CBT)Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -21 | NC      | $6845.35      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                       | US LONG BOND(CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -35 | NC      | $15739.96     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| N/A                                       | US 10yr Ultra Fut Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -80 | NC      | $52131.02     | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| COX COMMUNICATIONS INC                    | Cox Communications Inc                                                          | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    101000 | PA      | $97303.66     | 0.06%             | 2024-08-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| COX COMMUNICATIONS INC                    | Cox Communications Inc                                                          | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    120000 | PA      | $96173.12     | 0.06%             | 2031-06-15      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $228368.64    | 0.14%             | 2028-08-11      | Variable      | 6.44%                 | No            | 2                  | On Loan: No      |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                          | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    750000 | PA      | $661969.81    | 0.40%             | 2033-08-12      | Variable      | 6.54%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2021-NQM5 Trust                                                            | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150973 | PA      | $117438.25    | 0.07%             | 2066-05-25      | Variable      | 0.94%                 | No            | 2                  | On Loan: No      |
| DB Master Finance LLC                     | DB Master Finance LLC                                                           | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    608850 | PA      | $470600.26    | 0.28%             | 2051-11-20      | Fixed         | 2.79%                 | No            | 2                  | On Loan: No      |
| Deutsche Bank Commercial Mortg            | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309666 | PA      | $21557.20     | 0.01%             | 2053-09-15      | Variable      | 1.71%                 | No            | 2                  | On Loan: No      |
| DBGS Mortgage Trust                       | DBGS 2018-C1 Mortgage Trust                                                     | CUSIP: 23307DBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $205650.62    | 0.12%             | 2051-10-15      | Fixed         | 4.47%                 | No            | 2                  | On Loan: No      |
| DBGS Mortgage Trust                       | DBGS 2018-C1 Mortgage Trust                                                     | CUSIP: 23307DBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11810482 | PA      | $97901.81     | 0.06%             | 2051-10-15      | Variable      | 0.19%                 | No            | 2                  | On Loan: No      |
| Deutsche Bank Commercial Mortg            | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237642 | PA      | $227704.45    | 0.14%             | 2049-05-10      | Fixed         | 3.04%                 | No            | 2                  | On Loan: No      |
| Deutsche Bank Commercial Mortg            | DBJPM 2016-C3 Mortgage Trust                                                    | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $435579.56    | 0.26%             | 2049-08-10      | Fixed         | 2.89%                 | No            | 2                  | On Loan: No      |
| DAE FUNDING LLC                           | DAE Funding LLC                                                                 | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $279467.82    | 0.17%             | 2024-08-01      | Fixed         | 1.55%                 | No            | 2                  | On Loan: No      |
| DALLAS-FORT WORTH TX INTERNATI            | Dallas Fort Worth International Airport                                         | CUSIP: 23503CAN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    155000 | PA      | $139727.70    | 0.08%             | 2051-11-01      | Fixed         | 4.51%                 | No            | 2                  | On Loan: No      |
| DANSKE BANK A/S                           | Danske Bank A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $198478.86    | 0.12%             | 2024-01-12      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Deephaven Residential Mortgage            | Deephaven Residential Mortgage Trust 2021-2                                     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68689 | PA      | $58115.59     | 0.03%             | 2066-04-25      | Variable      | 0.90%                 | No            | 2                  | On Loan: No      |
| DWS Government Money Market Se            | DWS Government Money Market Series                                              | CUSIP: 25160K207<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2769821 | NS      | $2769821.31   | 1.66%             |  |  |  | No            | 1                  | On Loan: No      |
| DIAGEO CAPITAL PLC                        | Diageo Capital PLC                                                              | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $165212.39    | 0.10%             | 2030-04-29      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| DIAMONDBACK ENERGY INC                    | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66312.29     | 0.04%             | 2033-03-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| DISCOVERY COMMUNICATIONS                  | Discovery Communications LLC                                                    | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    179000 | PA      | $134452.54    | 0.08%             | 2047-09-20      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| DISCOVERY COMMUNICATIONS                  | Discovery Communications LLC                                                    | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     18000 | PA      | $15692.39     | 0.01%             | 2029-05-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| DISCOVERY COMMUNICATIONS                  | Discovery Communications LLC                                                    | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    103000 | PA      | $78835.72     | 0.05%             | 2049-05-15      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| DISCOVERY COMMUNICATIONS                  | Discovery Communications LLC                                                    | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     75000 | PA      | $52000.34     | 0.03%             | 2050-05-15      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| DIST OF COLUMBIA REVENUE                  | District of Columbia                                                            | CUSIP: 25483VXM1<br>LEI: 549300HWFOZXPKGOX654 | Long             | DBT              | MUN               | US        |    125000 | PA      | $92943.63     | 0.06%             | 2042-04-01      | Fixed         | 3.43%                 | No            | 2                  | On Loan: No      |
| Dominos Pizza Master Issuer LL            | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182400 | PA      | $173308.22    | 0.10%             | 2048-07-25      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Dominos Pizza Master Issuer LL            | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72938 | PA      | $63198.43     | 0.04%             | 2049-10-25      | Fixed         | 3.67%                 | No            | 2                  | On Loan: No      |
| Dominos Pizza Master Issuer LL            | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187150 | PA      | $156133.29    | 0.09%             | 2051-04-25      | Fixed         | 2.66%                 | No            | 2                  | On Loan: No      |
| Drive Auto Receivables Trust              | Drive Auto Receivables Trust 2019-4                                             | CUSIP: 26209AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    117187 | PA      | $115427.44    | 0.07%             | 2027-02-16      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| DUKE ENERGY INDIANA LLC                   | Duke Energy Indiana LLC                                                         | CUSIP: 263901AF7<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     95000 | PA      | $87861.67     | 0.05%             | 2043-07-15      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| DUKE ENERGY CORP                          | Duke Energy Corp                                                                | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    429000 | PA      | $351790.60    | 0.21%             | 2031-06-15      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| DUKE ENERGY CORP                          | Duke Energy Corp                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    220000 | PA      | $208053.87    | 0.12%             | 2032-08-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| DUKE ENERGY CAROLINAS                     | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    156000 | PA      | $156150.55    | 0.09%             | 2040-02-15      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| DUKE ENERGY CAROLINAS                     | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBB9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    150000 | PA      | $126044.13    | 0.08%             | 2031-04-15      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                  | Duke Energy Progress LLC                                                        | CUSIP: 26442UAL8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39772.02     | 0.02%             | 2031-08-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                              | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65480.97     | 0.04%             | 2045-12-15      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136B1WE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63522 | PA      | $58467.56     | 0.04%             | 2048-04-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136B3BD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48131 | PA      | $46298.65     | 0.03%             | 2056-10-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136B3Z94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67281 | PA      | $63560.78     | 0.04%             | 2049-03-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136B4EJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78134 | PA      | $74094.93     | 0.04%             | 2057-11-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136B4FP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86354 | PA      | $82301.03     | 0.05%             | 2049-04-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72299 | PA      | $65585.34     | 0.04%             | 2049-08-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fanniemae-Aces                            | Fannie Mae-Aces                                                                 | CUSIP: 3136B6XE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524935 | PA      | $134613.67    | 0.08%             | 2034-06-25      | Variable      | 1.20%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                               | CUSIP: 3136B8NW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205157 | PA      | $192967.38    | 0.12%             | 2058-08-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31376KQB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2418 | PA      | $2502.98      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                              | CUSIP: 3137ABM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30429 | PA      | $28278.73     | 0.02%             | 2041-05-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                              | CUSIP: 3137B2TT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37672 | PA      | $36215.77     | 0.02%             | 2039-10-15      | Fixed         | 1.70%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured P            | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299001 | PA      | $15588.28     | 0.01%             | 2030-11-25      | Variable      | 0.88%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140XGFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433368 | PA      | $354316.20    | 0.21%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2946071 | PA      | $2509614.43   | 1.51%             | 2051-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146708 | PA      | $119910.36    | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31410GDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30994 | PA      | $31435.87     | 0.02%             | 2034-04-01      | Floating      | 3.01%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31410MMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2443 | PA      | $2542.31      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31410V4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26 | PA      | $26.35        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31411ERV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1357 | PA      | $1415.22      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31412LB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $25.42        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31414FPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $46.64        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31414KJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.14        | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31414MHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $64.00        | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31415PKV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40 | PA      | $42.03        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31415RPR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $24.17        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31415YEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $15.58        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31415YXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6784 | PA      | $6530.07      | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31416PP27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1209 | PA      | $1164.00      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31416SVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27257 | PA      | $26234.56     | 0.02%             | 2039-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31416WU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4236 | PA      | $4077.57      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31417ANM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7511 | PA      | $7352.00      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31417C4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62343 | PA      | $58498.50     | 0.04%             | 2042-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31417CEB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18793 | PA      | $18063.61     | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418BCG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109351 | PA      | $107370.79    | 0.06%             | 2034-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418CLU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21793 | PA      | $21441.66     | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418DYD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2108337 | PA      | $1858455.26   | 1.12%             | 2051-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2394186 | PA      | $1955765.82   | 1.17%             | 2052-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418MUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75542 | PA      | $74947.05     | 0.04%             | 2039-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418PC37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52627 | PA      | $52273.60     | 0.03%             | 2041-03-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418RQQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163996 | PA      | $166362.24    | 0.10%             | 2040-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418UVX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137024 | PA      | $139004.14    | 0.08%             | 2040-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418X5S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4426 | PA      | $4260.31      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31418X7J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3378 | PA      | $3250.97      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31419CZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       767 | PA      | $738.39       | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31419CZ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       487 | PA      | $468.64       | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31419CZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1923 | PA      | $1851.34      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31419EK65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5507 | PA      | $5300.29      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31419ESN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7803 | PA      | $7509.90      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31419FNE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4465 | PA      | $4297.77      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31419FWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       859 | PA      | $826.67       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 31419KVH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9577 | PA      | $9217.63      | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     60000 | PA      | $49045.36     | 0.03%             | 2033-02-24      | Variable      | 3.10%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115581.39    | 0.07%             | 2028-08-23      | Variable      | 4.48%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Government National Mortgage Association                                        | CUSIP: 38378JNS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36112 | PA      | $34025.54     | 0.02%             | 2042-01-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Government National Mortgage Association                                        | CUSIP: 38379LUL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28400 | PA      | $27709.79     | 0.02%             | 2040-04-16      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Government National Mortgage Association                                        | CUSIP: 38379QW43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9812 | PA      | $9691.07      | 0.01%             | 2045-10-20      | Fixed         | 1.70%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $175960.98    | 0.11%             | 2030-05-22      | Variable      | 3.97%                 | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                               | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $172926.20    | 0.10%             | 2027-05-24      | Variable      | 1.59%                 | No            | 2                  | On Loan: No      |
| ROYALTY PHARMA PLC                        | Royalty Pharma PLC                                                              | CUSIP: 78081BAP8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     60000 | PA      | $37307.21     | 0.02%             | 2051-09-02      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| RR 1 Ltd                                  | RR 1 LLC                                                                        | CUSIP: 78108YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $469909.44    | 0.28%             | 2035-07-15      | Floating      | 5.23%                 | No            | 2                  | On Loan: No      |
| SG Commercial Mortgage Securit            | SG Commercial Mortgage Securities Trust 2020-COVE                               | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355000 | PA      | $327344.19    | 0.20%             | 2037-03-15      | Fixed         | 2.63%                 | No            | 2                  | On Loan: No      |
| SBA TOWER TRUST                           | SBA Tower Trust                                                                 | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $146276.48    | 0.09%             | 2025-01-15      | Fixed         | 2.84%                 | No            | 2                  | On Loan: No      |
| SG Commercial Mortgage Securit            | SG Commercial Mortgage Securities Trust 2016-C5                                 | CUSIP: 78419CAD6<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $69223.22     | 0.04%             | 2048-10-10      | Fixed         | 3.06%                 | No            | 2                  | On Loan: No      |
| SG Capital Partners                       | SG Residential Mortgage Trust 2021-1                                            | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253674 | PA      | $205637.33    | 0.12%             | 2061-07-25      | Variable      | 1.16%                 | No            | 2                  | On Loan: No      |
| SABINE PASS LIQUEFACTION                  | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40104.00     | 0.02%             | 2025-03-01      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| SABINE PASS LIQUEFACTION                  | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49162.85     | 0.03%             | 2027-03-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| SABINE PASS LIQUEFACTION                  | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    135000 | PA      | $125786.20    | 0.08%             | 2030-05-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Santander Drive Auto Receivabl            | Santander Drive Auto Receivables Trust 2022-4                                   | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $295513.95    | 0.18%             | 2027-11-15      | Fixed         | 4.42%                 | No            | 2                  | On Loan: No      |
| Santander Drive Auto Receivabl            | Santander Drive Auto Receivables Trust 2019-3                                   | CUSIP: 80286HAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100236 | PA      | $99775.74     | 0.06%             | 2025-10-15      | Fixed         | 2.68%                 | No            | 2                  | On Loan: No      |
| Santander Drive Auto Receivabl            | Santander Drive Auto Receivables Trust 2022-7                                   | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $257889.89    | 0.15%             | 2028-01-17      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Santander Drive Auto Receivabl            | Santander Drive Auto Receivables Trust 2022-5                                   | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $92486.06     | 0.06%             | 2027-03-15      | Fixed         | 4.43%                 | No            | 2                  | On Loan: No      |
| Santander Drive Auto Receivabl            | Santander Drive Auto Receivables Trust 2022-6                                   | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65000 | PA      | $63424.13     | 0.04%             | 2027-06-15      | Fixed         | 4.72%                 | No            | 2                  | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                   | Schlumberger Holdings Corp                                                      | CUSIP: 806851AH4<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     59000 | PA      | $55666.56     | 0.03%             | 2029-05-01      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     80000 | PA      | $52587.78     | 0.03%             | 2051-08-12      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140BZ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62082.98     | 0.04%             | 2029-08-05      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    115000 | PA      | $108215.07    | 0.06%             | 2032-08-05      | Fixed         | 4.15%                 | No            | 2                  | On Loan: —       |
| INTEL CORP                                | Intel Corp                                                                      | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    160000 | PA      | $142418.45    | 0.09%             | 2062-08-05      | Fixed         | 5.05%                 | No            | 2                  | On Loan: —       |
| INTERCONTINENTALEXCHANGE                  | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53429.55     | 0.03%             | 2029-06-15      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| INTERCONTINENTALEXCHANGE                  | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28774.94     | 0.02%             | 2033-03-15      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| INTERCONTINENTALEXCHANGE                  | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18745.94     | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| IBM CORP                                  | International Business Machines Corp                                            | CUSIP: 459200KN0<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84547.89     | 0.05%             | 2032-02-09      | Fixed         | 2.72%                 | No            | 2                  | On Loan: No      |
| ITC HOLDINGS CORP                         | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    210000 | PA      | $178112.92    | 0.11%             | 2030-05-14      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    300000 | PA      | $281109.22    | 0.17%             | 2028-02-01      | Variable      | 3.78%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     80000 | PA      | $72862.44     | 0.04%             | 2029-01-23      | Variable      | 3.51%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    105000 | PA      | $88514.50     | 0.05%             | 2030-10-15      | Variable      | 2.74%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    240000 | PA      | $193545.96    | 0.12%             | 2032-04-22      | Variable      | 2.58%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    300000 | PA      | $238712.57    | 0.14%             | 2032-11-08      | Variable      | 2.54%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    425000 | PA      | $405596.58    | 0.24%             | 2028-04-26      | Variable      | 4.32%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27952.81     | 0.02%             | 2033-04-26      | Variable      | 4.59%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    310000 | PA      | $303422.91    | 0.18%             | 2028-07-25      | Variable      | 4.85%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62379.22     | 0.04%             | 2033-07-25      | Variable      | 4.91%                 | No            | 2                  | On Loan: No      |
| JP Morgan Chase Commercial Mor            | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                   | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $81466.88     | 0.05%             | 2037-01-16      | Fixed         | 2.81%                 | No            | 2                  | On Loan: No      |
| KAISER FOUNDATION HOSPIT                  | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     70000 | PA      | $51331.46     | 0.03%             | 2041-06-01      | Fixed         | 2.81%                 | No            | 2                  | On Loan: No      |
| KAISER FOUNDATION HOSPIT                  | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    115000 | PA      | $79537.70     | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| KEYCORP                                   | KeyCorp                                                                         | CUSIP: 49326EEJ8<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50735.24     | 0.03%             | 2029-10-01      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| LCM Ltd Partnership                       | LCM XX LP                                                                       | CUSIP: 50188WAE8<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |     70971 | PA      | $70634.98     | 0.04%             | 2027-10-20      | Floating      | 5.28%                 | No            | 2                  | On Loan: No      |
| L3HARRIS TECH INC                         | L3Harris Technologies Inc                                                       | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     31000 | PA      | $29767.89     | 0.02%             | 2028-06-15      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Legacy Mortgage Asset Trust               | Legacy Mortgage Asset Trust 2021-GS3                                            | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139862 | PA      | $127302.83    | 0.08%             | 2061-07-25      | Variable      | 1.75%                 | No            | 2                  | On Loan: No      |
| Legacy Mortgage Asset Trust               | Legacy Mortgage Asset Trust 2021-GS4                                            | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80738 | PA      | $72682.76     | 0.04%             | 2060-11-25      | Variable      | 1.65%                 | No            | 2                  | On Loan: No      |
| LOCKHEED MARTIN CORP                      | Lockheed Martin Corp                                                            | CUSIP: 539830BU2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121089.21    | 0.07%             | 2025-10-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| NATIONAL RURAL UTIL COOP                  | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NZ4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    185000 | PA      | $172022.65    | 0.10%             | 2032-12-15      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| NATIONAL RURAL UTIL COOP                  | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    145000 | PA      | $144275.73    | 0.09%             | 2028-03-15      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| Navient Student Loan Trust                | Navient Private Education Refi Loan Trust 2021-E                                | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122655 | PA      | $103004.88    | 0.06%             | 2069-12-16      | Fixed         | 0.97%                 | No            | 2                  | On Loan: No      |
| Neuberger Berman CLO Ltd                  | Neuberger Berman CLO XX Ltd                                                     | CUSIP: 64130TBA2<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |    465000 | PA      | $453820.01    | 0.27%             | 2034-07-15      | Floating      | 5.24%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2018-2                                      | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |     70900 | PA      | $68376.55     | 0.04%             | 2058-02-25      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2019-NQM4                                   | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25913 | PA      | $23489.04     | 0.01%             | 2059-09-25      | Variable      | 2.49%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2018-4                                      | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81305 | PA      | $78257.62     | 0.05%             | 2048-01-25      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2017-3                                      | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25139 | PA      | $23862.70     | 0.01%             | 2057-04-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2017-5                                      | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21940 | PA      | $21502.70     | 0.01%             | 2057-06-25      | Floating      | 5.89%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2016-2                                      | CUSIP: 64829GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35423 | PA      | $32976.93     | 0.02%             | 2035-11-26      | Variable      | 3.75%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2017-1                                      | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49694 | PA      | $46967.22     | 0.03%             | 2057-02-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44990 | PA      | $42385.71     | 0.03%             | 2057-03-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2016-4                                      | CUSIP: 64829LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31845 | PA      | $29249.23     | 0.02%             | 2056-11-25      | Variable      | 3.75%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23581 | PA      | $22037.66     | 0.01%             | 2057-05-25      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2017-6                                      | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39102 | PA      | $36745.95     | 0.02%             | 2057-08-27      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| Pretium Mortgage Credit Partne            | PRET 2021-RN2 LLC                                                               | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146335 | PA      | $132966.45    | 0.08%             | 2051-07-25      | Variable      | 1.74%                 | No            | 2                  | On Loan: No      |
| Progress Residential Trust                | Progress Residential 2021-SFR1                                                  | CUSIP: 74331FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399222 | PA      | $344819.55    | 0.21%             | 2038-04-17      | Fixed         | 1.05%                 | No            | 2                  | On Loan: No      |
| Progress Residential Trust                | Progress Residential 2022-SFR3 Trust                                            | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $99956.23     | 0.06%             | 2039-04-17      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| Progress Residential Trust                | Progress Residential 2022-SFR4 Trust                                            | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299774 | PA      | $279455.56    | 0.17%             | 2041-05-17      | Fixed         | 4.44%                 | No            | 2                  | On Loan: No      |
| Progress Residential Trust                | Progress Residential 2022-SFR5 Trust                                            | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99735 | PA      | $93860.68     | 0.06%             | 2039-06-17      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| Progress Residential Trust                | Progress Residential 2022-SFR7 Trust                                            | CUSIP: 74333CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $139915.94    | 0.08%             | 2039-10-27      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Progress Residential Trust                | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329214 | PA      | $281283.30    | 0.17%             | 2038-10-17      | Fixed         | 1.51%                 | No            | 2                  | On Loan: No      |
| Progress Residential Trust                | Progress Residential 2021-SFR3                                                  | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373715 | PA      | $327726.02    | 0.20%             | 2026-05-17      | Fixed         | 1.64%                 | No            | 2                  | On Loan: No      |
| PUGET ENERGY INC                          | Puget Energy Inc                                                                | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    135000 | PA      | $128624.72    | 0.08%             | 2025-05-15      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| PUGET ENERGY INC                          | Puget Energy Inc                                                                | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    135000 | PA      | $121120.84    | 0.07%             | 2030-06-15      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| QUEST DIAGNOSTICS INC                     | Quest Diagnostics Inc                                                           | CUSIP: 74834LBC3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84250.14     | 0.05%             | 2031-06-30      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| SEMPRA ENERGY                             | Sempra Energy                                                                   | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139690.77    | 0.08%             | 2028-02-01      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| SEMPRA ENERGY                             | Sempra Energy                                                                   | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     75000 | PA      | $59369.29     | 0.04%             | 2048-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| SEMPRA ENERGY                             | Sempra Energy                                                                   | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32122.65     | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| SHELL INTERNATIONAL FIN                   | Shell International Finance BV                                                  | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    180000 | PA      | $130955.17    | 0.08%             | 2050-04-06      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| SHELL INTERNATIONAL FIN                   | Shell International Finance BV                                                  | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     80000 | PA      | $54826.42     | 0.03%             | 2051-11-26      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| SHERWIN-WILLIAMS CO                       | Sherwin-Williams Co/The                                                         | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    235000 | PA      | $194429.72    | 0.12%             | 2030-05-15      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| SOCIETE GENERALE                          | Societe Generale SA                                                             | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    490000 | PA      | $461383.42    | 0.28%             | 2033-06-15      | Variable      | 6.22%                 | No            | 2                  | On Loan: No      |
| Sound Point CLO LTD                       | SOUND POINT CLO III-R LTD                                                       | CUSIP: 83611LAA8<br>LEI: 5493006VH6ZUE3FHGC30 | Long             | ABS-CBDO         | CORP              | KY        |    280232 | PA      | $277299.80    | 0.17%             | 2029-04-15      | Floating      | 5.03%                 | No            | 2                  | On Loan: No      |
| Freddie Mac - SCRT                        | Seasoned Credit Risk Transfer Trust Series 2019-3                               | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65488 | PA      | $60070.16     | 0.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GCAT                                      | GCAT 2021-NQM2 Trust                                                            | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142864 | PA      | $111945.12    | 0.07%             | 2066-05-25      | Variable      | 1.04%                 | No            | 2                  | On Loan: No      |
| GCAT                                      | GCAT 2021-NQM3 Trust                                                            | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188129 | PA      | $150801.09    | 0.09%             | 2066-05-25      | Variable      | 1.09%                 | No            | 2                  | On Loan: No      |
| GCAT                                      | GCAT 2021-NQM1 Trust                                                            | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123908 | PA      | $104736.17    | 0.06%             | 2066-01-25      | Variable      | 0.87%                 | No            | 2                  | On Loan: No      |
| GCAT                                      | GCAT 2021-NQM7 Trust                                                            | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146325 | PA      | $128996.00    | 0.08%             | 2066-08-25      | Variable      | 1.92%                 | No            | 2                  | On Loan: No      |
| GCAT                                      | GCAT 2021-NQM4 Trust                                                            | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260150 | PA      | $201236.05    | 0.12%             | 2066-08-25      | Variable      | 1.09%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23573 | PA      | $22682.85     | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66905 | PA      | $62511.67     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                              | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124983 | PA      | $116760.15    | 0.07%             | 2047-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                              | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87972 | PA      | $84654.03     | 0.05%             | 2047-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                              | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103217 | PA      | $101874.12    | 0.06%             | 2047-10-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| GLP CAPITAL LP / FIN II                   | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $61617.73     | 0.04%             | 2029-01-15      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust              | GS Mortgage Securities Corp II                                                  | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $127138.68    | 0.08%             | 2034-11-05      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae I Pool                                                               | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289902 | PA      | $296243.06    | 0.18%             | 2039-10-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae I Pool                                                               | CUSIP: 3620AQNB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11845 | PA      | $12090.52     | 0.01%             | 2039-02-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae I Pool                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110614 | PA      | $104286.36    | 0.06%             | 2041-09-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| GTP ACQUISITION PARTNERS                  | GTP Acquisition Partners I LLC                                                  | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $280016.94    | 0.17%             | 2025-06-16      | Fixed         | 3.48%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust              | GS Mortgage Securities Trust 2015-GC34                                          | CUSIP: 36250VAD4<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $33126.60     | 0.02%             | 2048-10-10      | Fixed         | 3.51%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust              | GS Mortgage Securities Trust 2020-GC45                                          | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1442701 | PA      | $47109.82     | 0.03%             | 2053-02-13      | Variable      | 0.67%                 | No            | 2                  | On Loan: No      |
| GSK CONSUMER HEALTHCARE                   | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    295000 | PA      | $266452.12    | 0.16%             | 2029-03-24      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| GE HEALTHCARE TECH INC                    | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    315000 | PA      | $319842.85    | 0.19%             | 2027-11-15      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| GE HEALTHCARE TECH INC                    | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $104270.24    | 0.06%             | 2032-11-22      | Fixed         | 5.91%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust              | GS Mortgage Securities Corp Trust 2022-SHIP                                     | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $34535.63     | 0.02%             | 2036-08-15      | Floating      | 5.07%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae I Pool                                                               | CUSIP: 36290QSZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5715 | PA      | $5752.23      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Galaxy CLO Ltd                            | Galaxy XXIII CLO Ltd                                                            | CUSIP: 36319TAN6<br>LEI: 5493001X8XC4DMSYH466 | Long             | ABS-CBDO         | CORP              | KY        |    591054 | PA      | $583358.82    | 0.35%             | 2029-04-24      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| GALAXY PIPELINE ASSETS                    | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    193306 | PA      | $156105.71    | 0.09%             | 2040-09-30      | Fixed         | 2.94%                 | No            | 2                  | On Loan: No      |
| GEORGIA POWER CO                          | Georgia Power Co                                                                | CUSIP: 373334JS1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45628.65     | 0.03%             | 2040-09-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| GEORGIA POWER CO                          | Georgia Power Co                                                                | CUSIP: 373334KM2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127858.97    | 0.08%             | 2023-07-30      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| GEORGIA POWER CO                          | Georgia Power Co                                                                | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    120000 | PA      | $116476.41    | 0.07%             | 2032-05-15      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| GILEAD SCIENCES INC                       | Gilead Sciences Inc                                                             | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    160000 | PA      | $127653.18    | 0.08%             | 2030-10-01      | Fixed         | 1.65%                 | No            | 2                  | On Loan: No      |
| GLS Auto Receivables Trust                | GLS Auto Receivables Issuer Trust 2022-3                                        | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40000 | PA      | $39213.94     | 0.02%             | 2027-01-15      | Fixed         | 4.92%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     20000 | PA      | $21084.78     | 0.01%             | 2041-02-01      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19294.88     | 0.01%             | 2025-09-29      | Variable      | 3.27%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53563.35     | 0.03%             | 2032-01-27      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    560000 | PA      | $448253.50    | 0.27%             | 2032-04-22      | Variable      | 2.62%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    225000 | PA      | $175716.33    | 0.11%             | 2032-07-21      | Variable      | 2.38%                 | No            | 2                  | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31791.48     | 0.02%             | 2032-10-21      | Variable      | 2.65%                 | No            | 2                  | On Loan: No      |
| LOWE'S COS INC                            | Lowe's Cos Inc                                                                  | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26858.31     | 0.02%             | 2032-04-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| LOWE'S COS INC                            | Lowe's Cos Inc                                                                  | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     85000 | PA      | $81296.77     | 0.05%             | 2053-04-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| MFRA Trust                                | MFA 2020-NQM3 Trust                                                             | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25816 | PA      | $23685.81     | 0.01%             | 2065-01-26      | Variable      | 1.01%                 | No            | 2                  | On Loan: No      |
| MFRA Trust                                | MFA 2021-NQM1 Trust                                                             | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90822 | PA      | $78864.68     | 0.05%             | 2065-04-25      | Variable      | 1.15%                 | No            | 2                  | On Loan: No      |
| MFRA Trust                                | MFA 2021-NQM2 Trust                                                             | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107933 | PA      | $88290.20     | 0.05%             | 2064-11-25      | Variable      | 1.03%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    240000 | PA      | $199171.87    | 0.12%             | 2045-11-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $717454.10    | 0.43%             | 2046-02-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2510000 | PA      | $2073691.42   | 1.24%             | 2047-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1050000 | PA      | $826875.00    | 0.50%             | 2047-11-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $413691.41    | 0.25%             | 2048-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    940000 | PA      | $797164.07    | 0.48%             | 2048-05-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2996000 | PA      | $1630830.48   | 0.98%             | 2050-05-15      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    390000 | PA      | $219108.40    | 0.13%             | 2050-08-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1151000 | PA      | $720903.67    | 0.43%             | 2040-08-15      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1020000 | PA      | $613394.53    | 0.37%             | 2050-11-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| TSY INFL IX N/B                           | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    299751 | PA      | $194649.49    | 0.12%             | 2052-02-15      | Fixed         | 0.12%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    455000 | PA      | $378503.13    | 0.23%             | 2052-08-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2190000 | PA      | $1971342.19   | 1.18%             | 2042-08-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    685000 | PA      | $692278.13    | 0.42%             | 2052-11-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1675000 | PA      | $1651183.59   | 0.99%             | 2042-11-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| TSY INFL IX N/B                           | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1549516 | PA      | $1421081.91   | 0.85%             | 2029-07-15      | Fixed         | 0.25%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4340000 | PA      | $4019077.35   | 2.41%             | 2026-11-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| TSY INFL IX N/B                           | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1645487 | PA      | $1570003.33   | 0.94%             | 2028-07-15      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Commercial Mortgag            | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                 | CUSIP: 94989HAQ3<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $251719.84    | 0.15%             | 2048-05-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     85000 | PA      | $80480.62     | 0.05%             | 2025-10-30      | Variable      | 2.41%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80306.20     | 0.05%             | 2051-04-04      | Variable      | 5.01%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    215000 | PA      | $182332.93    | 0.11%             | 2033-03-02      | Variable      | 3.35%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193878.71    | 0.12%             | 2026-04-25      | Variable      | 3.91%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    210000 | PA      | $205403.01    | 0.12%             | 2028-07-25      | Variable      | 4.81%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    590000 | PA      | $560402.01    | 0.34%             | 2033-07-25      | Variable      | 4.90%                 | No            | 2                  | On Loan: No      |
| WENDYS FUNDING LLC                        | Wendy's Funding LLC                                                             | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |     76000 | PA      | $68692.71     | 0.04%             | 2048-03-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| WENDYS FUNDING LLC                        | Wendy's Funding LLC                                                             | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    241325 | PA      | $195496.51    | 0.12%             | 2051-06-15      | Fixed         | 2.37%                 | No            | 2                  | On Loan: No      |
| Westlake Automobile Receivable            | Westlake Automobile Receivables Trust 2019-3                                    | CUSIP: 96042HAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145599 | PA      | $144660.13    | 0.09%             | 2024-11-15      | Fixed         | 2.72%                 | No            | 2                  | On Loan: No      |
| Westlake Automobile Receivable            | Westlake Automobile Receivables Trust 2022-2                                    | CUSIP: 96042VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $219217.77    | 0.13%             | 2027-09-15      | Fixed         | 4.31%                 | No            | 2                  | On Loan: No      |
| WILLIAMS COMPANIES INC                    | Williams Cos Inc/The                                                            | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     95000 | PA      | $77376.40     | 0.05%             | 2031-03-15      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| WILLIAMS COMPANIES INC                    | Williams Cos Inc/The                                                            | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    155000 | PA      | $145234.65    | 0.09%             | 2032-08-15      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| WILLIS NORTH AMERICA INC                  | Willis North America Inc                                                        | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    195000 | PA      | $164802.84    | 0.10%             | 2029-09-15      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| Wind River CLO Ltd                        | THL Credit Wind River 2020-1 CLO Ltd                                            | CUSIP: 973142AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    405000 | PA      | $395267.04    | 0.24%             | 2033-10-20      | Floating      | 5.67%                 | No            | 2                  | On Loan: No      |
| Wingstop Funding LLC                      | Wingstop Funding LLC                                                            | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99000 | PA      | $84010.03     | 0.05%             | 2050-12-05      | Fixed         | 2.84%                 | No            | 2                  | On Loan: No      |
| XCEL ENERGY INC                           | Xcel Energy Inc                                                                 | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52855.82     | 0.03%             | 2032-06-01      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| Mount Vernon Liquid Assets Portfolio, LLC | Mount Vernon Liquid Assets Portfolio, LLC                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |   1856938 | NS      | $1856937.50   | 1.11%             |  |  |  | No            | N/A                | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138A6E97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1290 | PA      | $1241.64      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138A7H76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22756 | PA      | $21902.02     | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138A7ZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3852 | PA      | $3707.42      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AD5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7002 | PA      | $6854.01      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20825 | PA      | $20684.79     | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138ASWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7669 | PA      | $7506.77      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138ATFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3762 | PA      | $3667.67      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138ATN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224873 | PA      | $223361.54    | 0.13%             | 2041-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138ATWG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4059 | PA      | $3906.21      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AUVY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7060 | PA      | $6910.66      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AVUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5494 | PA      | $5377.57      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AWBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6210 | PA      | $6078.45      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AWGG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6099 | PA      | $5969.69      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AWJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8530 | PA      | $8349.43      | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AXA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11556 | PA      | $11311.19     | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AXLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6797 | PA      | $6653.15      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AXT27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3593 | PA      | $3458.18      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138AXWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6797 | PA      | $6653.35      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E03K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2718 | PA      | $2624.72      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E0LU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10182 | PA      | $9967.11      | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E0W62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6530 | PA      | $6391.90      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E0WA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3666 | PA      | $3577.23      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E13W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5464 | PA      | $5348.41      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21088.86     | 0.01%             | 2035-05-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39961.50     | 0.02%             | 2037-11-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    212000 | PA      | $158359.90    | 0.10%             | 2040-04-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    187000 | PA      | $127564.78    | 0.08%             | 2050-04-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     85000 | PA      | $59774.94     | 0.04%             | 2061-03-25      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     80000 | PA      | $69554.86     | 0.04%             | 2028-03-25      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                     | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    160000 | PA      | $166840.94    | 0.10%             | 2029-11-09      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| OTIS WORLDWIDE CORP                       | Otis Worldwide Corp                                                             | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    490000 | PA      | $413922.99    | 0.25%             | 2030-02-15      | Fixed         | 2.56%                 | No            | 2                  | On Loan: No      |
| PNC FINANCIAL SERVICES                    | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BK0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    165000 | PA      | $166868.78    | 0.10%             | 2028-12-02      | Variable      | 5.35%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgag            | PRPM 2021-3 LLC                                                                 | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143019 | PA      | $128392.21    | 0.08%             | 2026-04-25      | Variable      | 1.87%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgag            | PRPM 2021-4 LLC                                                                 | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193786 | PA      | $174745.74    | 0.10%             | 2026-04-25      | Variable      | 1.87%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgag            | PRPM 2020-6 LLC                                                                 | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54457 | PA      | $50552.84     | 0.03%             | 2025-11-25      | Variable      | 2.36%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgag            | PRPM 2021-5 LLC                                                                 | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188683 | PA      | $171603.26    | 0.10%             | 2026-06-25      | Variable      | 1.79%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgag            | PRPM 2021-6 LLC                                                                 | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176697 | PA      | $160565.62    | 0.10%             | 2026-07-25      | Variable      | 1.79%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgag            | PRPM 2021-7 LLC                                                                 | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279735 | PA      | $255248.30    | 0.15%             | 2026-08-25      | Variable      | 1.87%                 | No            | 2                  | On Loan: No      |
| Preston Ridge Partners Mortgag            | PRPM 2021-9 LLC                                                                 | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359959 | PA      | $326191.17    | 0.20%             | 2026-10-25      | Variable      | 2.36%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS & ELECTRIC                    | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    520000 | PA      | $407516.70    | 0.24%             | 2031-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS & ELECTRIC                    | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    140000 | PA      | $109741.93    | 0.07%             | 2050-07-01      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS & ELECTRIC                    | Pacific Gas and Electric Co                                                     | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    120000 | PA      | $98170.80     | 0.06%             | 2031-06-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS & ELECTRIC                    | Pacific Gas and Electric Co                                                     | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    490000 | PA      | $484681.73    | 0.29%             | 2027-06-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: —       |
| PACIFICORP                                | PacifiCorp                                                                      | CUSIP: 695114CW6<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51896.62     | 0.03%             | 2030-09-15      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF PANAMA                        | Panama Government International Bond                                            | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    410000 | PA      | $310939.29    | 0.19%             | 2050-04-16      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF PANAMA                        | Panama Government International Bond                                            | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    220000 | PA      | $141980.48    | 0.09%             | 2060-07-23      | Fixed         | 3.87%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF PANAMA                        | Panama Government International Bond                                            | CUSIP: 698299BS2<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | PA      | $141650.74    | 0.09%             | 2063-01-19      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                  | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $147543.77    | 0.09%             | 2027-07-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| PHILADELPHIA PA AUTH FOR INDL             | Philadelphia Authority for Industrial Development                               | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |    355000 | PA      | $371431.21    | 0.22%             | 2028-10-15      | Fixed         | 6.55%                 | No            | 2                  | On Loan: No      |
| PHILIP MORRIS INTL INC                    | Philip Morris International Inc                                                 | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $181829.01    | 0.11%             | 2027-11-17      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| PHILIP MORRIS INTL INC                    | Philip Morris International Inc                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81586.23     | 0.05%             | 2029-11-17      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| PLAINS ALL AMER PIPELINE                  | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $39227.66     | 0.02%             | 2029-12-15      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| PLAINS ALL AMER PIPELINE                  | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $69909.19     | 0.04%             | 2030-09-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE            | Port Authority of New York & New Jersey                                         | CUSIP: 73358W4V3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    215000 | PA      | $211201.98    | 0.13%             | 2023-07-01      | Fixed         | 1.09%                 | No            | 2                  | On Loan: No      |
| Pretium Mortgage Credit Partne            | Pretium Mortgage Credit Partners I 2021-NPL2 LLC                                | CUSIP: 741386AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179592 | PA      | $159436.54    | 0.10%             | 2060-06-27      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| Pretium Mortgage Credit Partne            | Pretium Mortgage Credit Partners LLC                                            | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295831 | PA      | $268512.56    | 0.16%             | 2061-02-25      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| Pretium Mortgage Credit Partne            | PRET 2021-NPL3 LLC                                                              | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151387 | PA      | $134537.50    | 0.08%             | 2051-07-25      | Variable      | 1.87%                 | No            | 2                  | On Loan: No      |
| Sound Point CLO LTD                       | Sound Point CLO XXIX Ltd                                                        | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $395109.62    | 0.24%             | 2034-04-25      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                       | Southern California Edison Co                                                   | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     19000 | PA      | $14994.44     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                       | Southern California Edison Co                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     61000 | PA      | $49275.01     | 0.03%             | 2048-03-01      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                       | Southern California Edison Co                                                   | CUSIP: 842400GS6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78688.43     | 0.05%             | 2029-08-01      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                       | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $59176.11     | 0.04%             | 2050-02-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                       | Southern California Edison Co                                                   | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    225000 | PA      | $186591.21    | 0.11%             | 2030-06-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                       | Southern California Edison Co                                                   | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    230000 | PA      | $193858.86    | 0.12%             | 2032-02-01      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                       | Southern California Edison Co                                                   | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41317.11     | 0.02%             | 2027-11-01      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CO                               | Southern Co/The                                                                 | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21091.17     | 0.01%             | 2046-07-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CO                               | Southern Co/The                                                                 | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    230000 | PA      | $208784.27    | 0.13%             | 2030-04-30      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                   | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAA6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9784.93      | 0.01%             | 2023-10-01      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| STANDARD CHARTERED PLC                    | Standard Chartered PLC                                                          | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $212625.19    | 0.13%             | 2028-11-16      | Variable      | 7.77%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-3                                                 | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202640 | PA      | $167651.21    | 0.10%             | 2066-05-25      | Variable      | 1.07%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-5                                                 | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258918 | PA      | $212779.58    | 0.13%             | 2066-07-25      | Variable      | 0.95%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-8                                                 | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186316 | PA      | $155017.24    | 0.09%             | 2066-11-25      | Variable      | 1.82%                 | No            | 2                  | On Loan: No      |
| ANGLO AMERICAN CAPITAL                    | Anglo American Capital PLC                                                      | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    205000 | PA      | $184870.25    | 0.11%             | 2029-03-16      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                   | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $18432.68     | 0.01%             | 2046-02-01      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                  | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    180000 | PA      | $181344.72    | 0.11%             | 2039-01-23      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                  | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     60000 | PA      | $52865.43     | 0.03%             | 2048-04-15      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| ELEVANCE HEALTH INC                       | Elevance Health Inc                                                             | CUSIP: 036752AL7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    155000 | PA      | $136882.44    | 0.08%             | 2029-09-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| ELEVANCE HEALTH INC                       | Elevance Health Inc                                                             | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5064.95      | 0.00%             | 2025-10-15      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| BOSTON GAS COMPANY                        | Boston Gas Co                                                                   | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43839.58     | 0.03%             | 2032-03-16      | Fixed         | 3.76%                 | No            | 2                  | On Loan: No      |
| BP CAP MARKETS AMERICA                    | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92199.65     | 0.06%             | 2030-04-06      | Fixed         | 3.63%                 | No            | 2                  | On Loan: No      |
| BP CAP MARKETS AMERICA                    | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    125000 | PA      | $83502.77     | 0.05%             | 2051-06-04      | Fixed         | 2.94%                 | No            | 2                  | On Loan: No      |
| BP CAP MARKETS AMERICA                    | BP Capital Markets America Inc                                                  | CUSIP: 10373QBQ2<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     45000 | PA      | $31275.05     | 0.02%             | 2061-02-08      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| BP CAP MARKETS AMERICA                    | BP Capital Markets America Inc                                                  | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    115000 | PA      | $96994.15     | 0.06%             | 2032-01-12      | Fixed         | 2.72%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trus            | BRAVO Residential Funding Trust 2021-C                                          | CUSIP: 105692AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309920 | PA      | $279992.53    | 0.17%             | 2061-03-01      | Variable      | 1.62%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trus            | BRAVO Residential Funding Trust 2021-NQM2                                       | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70844 | PA      | $66670.97     | 0.04%             | 2060-03-25      | Variable      | 0.97%                 | No            | 2                  | On Loan: No      |
| BRAVO Residential Funding Trus            | BRAVO Residential Funding Trust 2021-NQM1                                       | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74266 | PA      | $61983.74     | 0.04%             | 2049-02-25      | Variable      | 0.94%                 | No            | 2                  | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                   | Brighthouse Financial Global Funding                                            | CUSIP: 10921U2H0<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    190000 | PA      | $175252.39    | 0.11%             | 2025-01-13      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                              | Broadcom Inc                                                                    | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     95000 | PA      | $84307.37     | 0.05%             | 2032-11-15      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                              | Broadcom Inc                                                                    | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    225000 | PA      | $181623.37    | 0.11%             | 2033-04-15      | Fixed         | 3.42%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                              | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     44000 | PA      | $32635.77     | 0.02%             | 2035-11-15      | Fixed         | 3.14%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                              | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    300000 | PA      | $217112.27    | 0.13%             | 2036-11-15      | Fixed         | 3.19%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $45308.49     | 0.03%             | 2061-12-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $169768.37    | 0.10%             | 2029-01-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     29000 | PA      | $18897.56     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $133540.65    | 0.08%             | 2033-04-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Chase Mortgage Finance Corpora            | Chase Mortgage Finance Trust Series 2007-A1                                     | CUSIP: 161630AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7163 | PA      | $6838.21      | 0.00%             | 2037-02-25      | Variable      | 2.45%                 | No            | 2                  | On Loan: No      |
| CHICAGO IL TRANSIT AUTH SALES             | Chicago Transit Authority Sales & Transfer Tax Receipts Revenue                 | CUSIP: 167725AF7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    105000 | PA      | $116564.47    | 0.07%             | 2040-12-01      | Fixed         | 6.90%                 | No            | 2                  | On Loan: No      |
| CHICAGO IL TRANSIT AUTH SALES             | Chicago Transit Authority Sales Tax Receipts Fund                               | CUSIP: 16772PCX2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     20000 | PA      | $16763.56     | 0.01%             | 2040-12-01      | Fixed         | 3.91%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage             | Citigroup Commercial Mortgage Trust 2014-GC19                                   | CUSIP: 17322AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376000 | PA      | $368693.15    | 0.22%             | 2047-03-11      | Fixed         | 4.02%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust             | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17326QAA1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     43153 | PA      | $41346.07     | 0.02%             | 2064-09-25      | Variable      | 3.00%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust             | Citigroup Mortgage Loan Trust 2018-RP2                                          | CUSIP: 17326UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100038 | PA      | $96028.53     | 0.06%             | 2058-02-25      | Variable      | 2.66%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust             | Citigroup Mortgage Loan Trust 2019-E                                            | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101490 | PA      | $100172.64    | 0.06%             | 2070-11-25      | Variable      | 6.23%                 | No            | 2                  | On Loan: No      |
| COLT Funding LLC                          | COLT 2022-4 Mortgage Loan Trust                                                 | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93616 | PA      | $90606.79     | 0.05%             | 2067-03-25      | Variable      | 4.30%                 | No            | 2                  | On Loan: No      |
| COLT Funding LLC                          | COLT 2020-RPL1 Trust                                                            | CUSIP: 19687YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312761 | PA      | $267230.02    | 0.16%             | 2065-01-25      | Variable      | 1.39%                 | No            | 2                  | On Loan: No      |
| COLT Funding LLC                          | COLT 2021-1 Mortgage Loan Trust                                                 | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156574 | PA      | $127206.19    | 0.08%             | 2066-06-25      | Variable      | 0.91%                 | No            | 2                  | On Loan: No      |
| COLT Funding LLC                          | COLT 2021-3 Mortgage Loan Trust                                                 | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297396 | PA      | $231828.89    | 0.14%             | 2066-09-27      | Variable      | 0.96%                 | No            | 2                  | On Loan: No      |
| COLT Funding LLC                          | COLT 2022-1 Mortgage Loan Trust                                                 | CUSIP: 19688HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444021 | PA      | $389234.11    | 0.23%             | 2066-12-27      | Variable      | 2.28%                 | No            | 2                  | On Loan: No      |
| COLT Funding LLC                          | COLT 2021-HX1 Mortgage Loan Trust                                               | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375751 | PA      | $302126.28    | 0.18%             | 2066-10-25      | Variable      | 1.11%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                              | Comcast Corp                                                                    | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     35000 | PA      | $28628.13     | 0.02%             | 2036-07-15      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                              | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    255000 | PA      | $212588.82    | 0.13%             | 2040-04-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                              | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     75000 | PA      | $47084.60     | 0.03%             | 2056-11-01      | Fixed         | 2.94%                 | No            | 2                  | On Loan: No      |
| COMCAST CORP                              | Comcast Corp                                                                    | CUSIP: 20030NEA5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71720.26     | 0.04%             | 2027-11-15      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| COMMONSPIRIT HEALTH                       | CommonSpirit Health                                                             | CUSIP: 20268JAA1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67193.64     | 0.04%             | 2024-10-01      | Fixed         | 2.76%                 | No            | 2                  | On Loan: No      |
| CONAGRA BRANDS INC                        | Conagra Brands Inc                                                              | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    230000 | PA      | $224516.06    | 0.13%             | 2028-11-01      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| Fannie Mae - CAS                          | Connecticut Avenue Securities Trust 2022-R08                                    | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55697 | PA      | $55911.32     | 0.03%             | 2042-07-25      | Floating      | 6.48%                 | No            | 2                  | On Loan: No      |
| CONOCOPHILLIPS COMPANY                    | ConocoPhillips Co                                                               | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     95000 | PA      | $75887.42     | 0.05%             | 2052-03-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| CON EDISON CO OF NY INC                   | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    130000 | PA      | $91212.73     | 0.05%             | 2051-12-01      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| CONSTELLATION BRANDS INC                  | Constellation Brands Inc                                                        | CUSIP: 21036PBC1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24278.31     | 0.01%             | 2028-11-15      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| CONSTELLATION BRANDS INC                  | Constellation Brands Inc                                                        | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5282.65      | 0.00%             | 2029-08-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| COREBRIDGE FINANCIAL INC                  | Corebridge Financial Inc                                                        | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    150000 | PA      | $137223.56    | 0.08%             | 2029-04-05      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| COREBRIDGE FINANCIAL INC                  | Corebridge Financial Inc                                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35317.49     | 0.02%             | 2032-04-05      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2267454.36   | 1.36%             | 2051-01-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   5300000 | PA      | $4601875.26   | 2.76%             | 2051-01-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | DBT              | USGA              | US        |   2500000 | PA      | $2230190.13   | 1.34%             | 2043-01-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E4FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6808 | PA      | $6663.59      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E4S93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16634 | PA      | $16282.42     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E4TV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7634 | PA      | $7472.91      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138E6A55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12885 | PA      | $12612.12     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138EG3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16302 | PA      | $15957.23     | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138EGF58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26271 | PA      | $26649.97     | 0.02%             | 2041-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138EGGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31311 | PA      | $31100.73     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138EGQJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4775 | PA      | $4843.97      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138EHBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33413 | PA      | $33895.14     | 0.02%             | 2041-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101332 | PA      | $102794.68    | 0.06%             | 2042-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138EMY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22265 | PA      | $21430.61     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167112 | PA      | $144491.79    | 0.09%             | 2043-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WFCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197920 | PA      | $189999.17    | 0.11%             | 2045-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WFGF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34150 | PA      | $31826.17     | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                 | CUSIP: 3138WG6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132654 | PA      | $123445.98    | 0.07%             | 2046-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Ellington Financial Mortgage T            | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70603 | PA      | $54761.33     | 0.03%             | 2066-06-25      | Variable      | 0.93%                 | No            | 2                  | On Loan: No      |
| Ellington Financial Mortgage T            | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224550 | PA      | $189246.35    | 0.11%             | 2067-01-25      | Variable      | 2.21%                 | No            | 2                  | On Loan: No      |
| FIFTH THIRD BANK                          | Fifth Third Bank NA                                                             | CUSIP: 31677QBT5<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252824.23    | 0.15%             | 2025-10-27      | Variable      | 5.85%                 | No            | 2                  | On Loan: No      |
| Firstkey Homes Trust                      | FirstKey Homes 2022-SFR2 Trust                                                  | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482273 | PA      | $456794.95    | 0.27%             | 2039-07-17      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Firstkey Homes Trust                      | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114353 | PA      | $107512.34    | 0.06%             | 2039-05-17      | Fixed         | 4.14%                 | No            | 2                  | On Loan: No      |
| 510 Assets Backed Trust                   | 510 Asset Backed 2021-NPL2 Trust                                                | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276095 | PA      | $249092.01    | 0.15%             | 2061-06-25      | Variable      | 2.12%                 | No            | 2                  | On Loan: No      |
| Flagship Credit Auto Trust                | Flagship Credit Auto Trust 2022-3                                               | CUSIP: 33845PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204000 | PA      | $199445.84    | 0.12%             | 2028-07-17      | Fixed         | 4.69%                 | No            | 2                  | On Loan: No      |
| FLORIDA ST BRD OF ADMIN FIN CO            | State Board of Administration Finance Corp                                      | CUSIP: 341271AD6<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    250000 | PA      | $229648.38    | 0.14%             | 2025-07-01      | Fixed         | 1.26%                 | No            | 2                  | On Loan: No      |
| RR Ltd                                    | RR 16 Ltd                                                                       | CUSIP: 74971CAA1<br>LEI: 549300FLUOZC8QYYKL96 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $322973.64    | 0.19%             | 2036-07-15      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| Regatta VI Funding Ltd.                   | Regatta VI Funding Ltd                                                          | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $409056.06    | 0.25%             | 2034-04-20      | Floating      | 5.40%                 | No            | 2                  | On Loan: No      |
| REYNOLDS AMERICAN INC                     | Reynolds American Inc                                                           | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     85000 | PA      | $77167.56     | 0.05%             | 2035-08-15      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| RIVERSIDE CNTY CA PENSN OBLG              | County of Riverside CA                                                          | CUSIP: 76913CBB4<br>LEI: 254900CB5HEOBAVTY629 | Long             | DBT              | MUN               | US        |    345000 | PA      | $318155.65    | 0.19%             | 2027-02-15      | Fixed         | 2.96%                 | No            | 2                  | On Loan: No      |
| RIVERSIDE CNTY CA PENSN OBLG              | County of Riverside CA                                                          | CUSIP: 76913CBC2<br>LEI: 254900CB5HEOBAVTY629 | Long             | DBT              | MUN               | US        |    345000 | PA      | $313421.56    | 0.19%             | 2028-02-15      | Fixed         | 3.07%                 | No            | 2                  | On Loan: No      |
| ROGERS COMMUNICATIONS IN                  | Rogers Communications Inc                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $78041.66     | 0.05%             | 2052-03-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                   | Romanian Government International Bond                                          | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    246000 | PA      | $218753.04    | 0.13%             | 2027-02-27      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| ROYALTY PHARMA PLC                        | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    190000 | PA      | $161387.93    | 0.10%             | 2027-09-02      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| ROYALTY PHARMA PLC                        | Royalty Pharma PLC                                                              | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $204483.35    | 0.12%             | 2030-09-02      | Fixed         | 2.20%                 | No            | 2                  | On Loan: No      |
| ROYALTY PHARMA PLC                        | Royalty Pharma PLC                                                              | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    210000 | PA      | $159865.46    | 0.10%             | 2031-09-02      | Fixed         | 2.15%                 | No            | 2                  | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     65000 | PA      | $56043.90     | 0.03%             | 2028-02-15      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94837.66     | 0.06%             | 2033-01-15      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Taco Bell Funding, LLC                    | Taco Bell Funding LLC                                                           | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    730620 | PA      | $588739.15    | 0.35%             | 2051-08-25      | Fixed         | 2.29%                 | No            | 2                  | On Loan: No      |
| TARGA RESOURCES PARTNERS                  | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $197682.00    | 0.12%             | 2032-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| TARGA RESOURCES CORP                      | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    125000 | PA      | $122898.81    | 0.07%             | 2027-07-01      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Thompson Park CLO, LTD                    | Thompson Park CLO Ltd                                                           | CUSIP: 884887AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    415000 | PA      | $403607.84    | 0.24%             | 2034-04-15      | Floating      | 5.08%                 | No            | 2                  | On Loan: No      |
| TIME WARNER CABLE LLC                     | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25097.22     | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| TIME WARNER CABLE LLC                     | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $36965.41     | 0.02%             | 2042-09-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Toorak Mortgage Corp.                     | Toorak Mortgage Corp 2021-1 Ltd                                                 | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $218490.89    | 0.13%             | 2024-06-25      | Variable      | 2.24%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-3                                                | CUSIP: 89169DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12120 | PA      | $11837.06     | 0.01%             | 2057-07-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-5                                                | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60483 | PA      | $59885.66     | 0.04%             | 2057-02-25      | Floating      | 3.77%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-1                                                | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60544 | PA      | $59622.31     | 0.04%             | 2056-10-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-2                                                | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29302 | PA      | $28960.49     | 0.02%             | 2057-04-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-4                                                | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102165 | PA      | $97388.36     | 0.06%             | 2057-06-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-6                                                | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152726 | PA      | $146319.71    | 0.09%             | 2057-10-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2018-3                                                | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84897 | PA      | $80486.61     | 0.05%             | 2058-05-25      | Variable      | 3.75%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2018-2                                                | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92275 | PA      | $88443.12     | 0.05%             | 2058-03-25      | Variable      | 3.25%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27440 | PA      | $26548.41     | 0.02%             | 2058-01-25      | Variable      | 3.00%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2019-1                                                | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215559 | PA      | $204044.01    | 0.12%             | 2058-03-25      | Variable      | 3.72%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2020-4                                                | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147267 | PA      | $130980.63    | 0.08%             | 2060-10-25      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430372 | PA      | $347844.84    | 0.21%             | 2060-11-30      | Variable      | 2.92%                 | No            | 2                  | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2022-EBO1                                             | CUSIP: 89180EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138811 | PA      | $135994.09    | 0.08%             | 2052-01-25      | Variable      | 2.16%                 | No            | 2                  | On Loan: No      |
| TRANSCANADA PIPELINES                     | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $64445.85     | 0.04%             | 2030-04-15      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| TRANSCANADA PIPELINES                     | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HBC2<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    105000 | PA      | $83922.22     | 0.05%             | 2031-10-12      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| TRANSCONT GAS PIPE LINE                   | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $61089.21     | 0.04%             | 2030-05-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Genworth Mortgage Insurance Co            | Triangle Re 2021-3 Ltd                                                          | CUSIP: 89600HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    100670 | PA      | $100249.47    | 0.06%             | 2034-02-25      | Floating      | 5.83%                 | No            | 2                  | On Loan: No      |
| Tricon Residential                        | Tricon Residential 2022-SFR2 Trust                                              | CUSIP: 89616QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505000 | PA      | $468099.95    | 0.28%             | 2039-04-17      | Fixed         | 3.86%                 | No            | 2                  | On Loan: No      |
| TRUIST FINANCIAL CORP                     | Truist Financial Corp                                                           | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     85000 | PA      | $71430.35     | 0.04%             | 2029-06-07      | Variable      | 1.89%                 | No            | 2                  | On Loan: No      |
| UBS GROUP AG                              | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $191980.58    | 0.12%             | 2028-05-12      | Variable      | 4.75%                 | No            | 2                  | On Loan: No      |
| UNION PACIFIC CORP                        | Union Pacific Corp                                                              | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55433.49     | 0.03%             | 2067-09-15      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| UNITED MEXICAN STATES                     | Mexico Government International Bond                                            | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    280000 | PA      | $226889.52    | 0.14%             | 2044-03-08      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| UNITED MEXICAN STATES                     | Mexico Government International Bond                                            | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $154347.71    | 0.09%             | 2041-08-14      | Fixed         | 4.28%                 | No            | 2                  | On Loan: No      |
| UNITED MEXICAN STATES                     | Mexico Government International Bond                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    210000 | PA      | $168800.51    | 0.10%             | 2034-02-12      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2820000 | PA      | $2425200.00   | 1.46%             | 2043-02-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    795000 | PA      | $750995.51    | 0.45%             | 2043-11-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2220000 | PA      | $1891509.38   | 1.14%             | 2044-08-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                  | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $54215.75     | 0.03%             | 2052-02-28      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| APPLE INC                                 | Apple Inc                                                                       | CUSIP: 037833EF3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     85000 | PA      | $56765.19     | 0.03%             | 2051-02-08      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| Arbor Realty Collateralized Lo            | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                          | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97310.73     | 0.06%             | 2036-05-15      | Floating      | 5.42%                 | No            | 2                  | On Loan: No      |
| Arroyo Mortgage Trust                     | Arroyo Mortgage Trust 2019-2                                                    | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71730 | PA      | $66722.69     | 0.04%             | 2049-04-25      | Variable      | 3.35%                 | No            | 2                  | On Loan: No      |
| Arroyo Mortgage Trust                     | Arroyo Mortgage Trust 2019-3                                                    | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65241 | PA      | $59939.72     | 0.04%             | 2048-10-25      | Variable      | 2.96%                 | No            | 2                  | On Loan: No      |
| ATHENE GLOBAL FUNDING                     | Athene Global Funding                                                           | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    235000 | PA      | $180704.17    | 0.11%             | 2031-10-04      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| Atrium CDO Corp                           | Madison Park Funding XLI Ltd                                                    | CUSIP: 04965CAJ7<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |    334595 | PA      | $331395.21    | 0.20%             | 2027-04-22      | Floating      | 5.15%                 | No            | 2                  | On Loan: No      |
| Avant Loans Funding Trust                 | Avant Loans Funding Trust 2021-REV1                                             | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $152464.82    | 0.09%             | 2030-07-15      | Fixed         | 1.21%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage S            | BBCMS Mortgage Trust 2022-C18                                                   | CUSIP: 054975AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $128960.18    | 0.08%             | 2055-12-15      | Variable      | 5.44%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage S            | BBCMS Mortgage Trust 2022-C18                                                   | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $42091.46     | 0.03%             | 2055-12-15      | Variable      | 5.71%                 | No            | 2                  | On Loan: No      |
| BAT CAPITAL CORP                          | BAT Capital Corp                                                                | CUSIP: 05526DBH7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86116.74     | 0.05%             | 2029-09-06      | Fixed         | 3.46%                 | No            | 2                  | On Loan: No      |
| BAT CAPITAL CORP                          | BAT Capital Corp                                                                | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    135000 | PA      | $112616.65    | 0.07%             | 2028-03-25      | Fixed         | 2.26%                 | No            | 2                  | On Loan: No      |
| BAT CAPITAL CORP                          | BAT Capital Corp                                                                | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    290000 | PA      | $258944.17    | 0.16%             | 2032-03-16      | Fixed         | 4.74%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                              | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     66000 | PA      | $57970.71     | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | No            | 2                  | On Loan: No      |
| BROOKLYN UNION GAS CO                     | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    245000 | PA      | $230501.65    | 0.14%             | 2032-08-05      | Fixed         | 4.87%                 | No            | 2                  | On Loan: No      |
| Buckhorn Park CLO, Ltd.                   | Buckhorn Park CLO Ltd                                                           | CUSIP: 118382AQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    380000 | PA      | $371505.10    | 0.22%             | 2034-07-18      | Floating      | 5.31%                 | No            | 2                  | On Loan: No      |
| CAMB Commercial Mortgage Trust            | CAMB Commercial Mortgage Trust 2019-LIFE                                        | CUSIP: 12482HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97305.16     | 0.06%             | 2037-12-15      | Floating      | 5.77%                 | No            | 2                  | On Loan: No      |
| PARAMOUNT GLOBAL                          | Paramount Global                                                                | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     45000 | PA      | $40262.90     | 0.02%             | 2029-06-01      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| CDW LLC/CDW FINANCE                       | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $53381.58     | 0.03%             | 2026-12-01      | Fixed         | 2.67%                 | No            | 2                  | On Loan: No      |
| CDW LLC/CDW FINANCE                       | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $47191.93     | 0.03%             | 2028-12-01      | Fixed         | 3.28%                 | No            | 2                  | On Loan: No      |
| CDW LLC/CDW FINANCE                       | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $45333.42     | 0.03%             | 2031-12-01      | Fixed         | 3.57%                 | No            | 2                  | On Loan: No      |
| CF Hippolyta Issuer LLC                   | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88839 | PA      | $73579.23     | 0.04%             | 2060-07-15      | Fixed         | 1.99%                 | No            | 2                  | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2013-300P Mortgage Trust                                                   | CUSIP: 12625XAA5<br>LEI: 549300NMFC2YLCA2NF13 | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $116112.14    | 0.07%             | 2030-08-10      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| CSAIL Commercial Mortgage Trus            | CSAIL 2016-C6 Commercial Mortgage Trust                                         | CUSIP: 12636MAF5<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    238487 | PA      | $229153.43    | 0.14%             | 2049-01-15      | Fixed         | 2.96%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2020-NQM1 Trust                                                            | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111734 | PA      | $101866.22    | 0.06%             | 2065-05-25      | Variable      | 1.21%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211146 | PA      | $188485.81    | 0.11%             | 2060-01-25      | Variable      | 2.00%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2022-NQM1                                                                  | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479064 | PA      | $414066.93    | 0.25%             | 2066-11-25      | Variable      | 2.27%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2020-NET                                                                   | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97732 | PA      | $87497.60     | 0.05%             | 2037-08-15      | Fixed         | 2.26%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2017-FHA1 Trust                                                            | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24901 | PA      | $22263.03     | 0.01%             | 2047-04-25      | Variable      | 3.25%                 | No            | 2                  | On Loan: No      |
| CPT MORTGAGE TRUST                        | Century Plaza Towers 2019-CPT                                                   | CUSIP: 12654YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $116288.35    | 0.07%             | 2039-11-13      | Fixed         | 2.87%                 | No            | 2                  | On Loan: No      |
| COLT Funding LLC                          | COLT 2020-2R Mortgage Loan Trust                                                | CUSIP: 12656GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68715 | PA      | $61739.35     | 0.04%             | 2065-10-26      | Variable      | 1.32%                 | No            | 2                  | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2022-HC Mortgage Trust                                                     | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $86120.05     | 0.05%             | 2039-01-10      | Fixed         | 2.82%                 | No            | 2                  | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2022-HC Mortgage Trust                                                     | CUSIP: 12659DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $83821.25     | 0.05%             | 2039-01-10      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193231 | PA      | $165154.80    | 0.10%             | 2066-10-25      | Variable      | 1.84%                 | No            | 2                  | On Loan: No      |
| CSL FINANCE PLC                           | CSL Finance PLC                                                                 | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    170000 | PA      | $160953.83    | 0.10%             | 2029-04-27      | Fixed         | 4.05%                 | No            | 2                  | On Loan: No      |
| CSL FINANCE PLC                           | CSL Finance PLC                                                                 | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    170000 | PA      | $161132.60    | 0.10%             | 2032-04-27      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2021-NQM2                                                                  | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189384 | PA      | $157973.16    | 0.09%             | 2066-02-25      | Variable      | 1.18%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2021-RPL4 Trust                                                            | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107145 | PA      | $98475.48     | 0.06%             | 2060-12-27      | Variable      | 1.80%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust              | CSMC 2021-NQM6                                                                  | CUSIP: 12662KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376030 | PA      | $294632.43    | 0.18%             | 2066-07-25      | Variable      | 1.17%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                           | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13683.56     | 0.01%             | 2045-07-20      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                           | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43683.55     | 0.03%             | 2028-03-25      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| CVS HEALTH CORP                           | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84046.61     | 0.05%             | 2040-04-01      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Countrywide Home Loans                    | CHL Mortgage Pass-Through Trust 2004-HYB6                                       | CUSIP: 12669GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4851 | PA      | $4483.64      | 0.00%             | 2034-11-20      | Variable      | 3.87%                 | No            | 2                  | On Loan: No      |
| Countrywide Home Loans                    | CHL Mortgage Pass-Through Trust 2005-11                                         | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57206 | PA      | $39633.58     | 0.02%             | 2035-03-25      | Floating      | 4.99%                 | No            | 2                  | On Loan: No      |
| CALIFORNIA ST                             | State of California                                                             | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     30000 | PA      | $37624.87     | 0.02%             | 2039-04-01      | Fixed         | 7.55%                 | No            | 2                  | On Loan: No      |
| CALIFORNIA ST                             | State of California                                                             | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     60000 | PA      | $73028.00     | 0.04%             | 2039-10-01      | Fixed         | 7.30%                 | No            | 2                  | On Loan: No      |
| VCAT Asset Securitization, LLC            | VCAT 2021-NPL2 LLC                                                              | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56004 | PA      | $50914.66     | 0.03%             | 2051-03-27      | Variable      | 2.12%                 | No            | 2                  | On Loan: No      |
| VCAT Asset Securitization, LLC            | VCAT 2021-NPL4 LLC                                                              | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243707 | PA      | $222066.75    | 0.13%             | 2051-08-25      | Variable      | 1.87%                 | No            | 2                  | On Loan: No      |
| VCAT Asset Securitization, LLC            | VCAT 2021-NPL5 LLC                                                              | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310052 | PA      | $273486.82    | 0.16%             | 2051-08-25      | Variable      | 1.87%                 | No            | 2                  | On Loan: No      |
| VCAT Asset Securitization, LLC            | VCAT 2021-NPL3 LLC                                                              | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172657 | PA      | $150579.68    | 0.09%             | 2051-05-25      | Variable      | 1.74%                 | No            | 2                  | On Loan: No      |
| VCAT Asset Securitization, LLC            | VCAT 2021-NPL6 LLC                                                              | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388747 | PA      | $340812.40    | 0.20%             | 2051-09-25      | Variable      | 1.92%                 | No            | 2                  | On Loan: No      |
| Vericrest Opportunity Loan Tra            | VOLT C LLC                                                                      | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94463 | PA      | $84947.13     | 0.05%             | 2051-05-25      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| Venture CLO 43 Limited                    | Venture 43 CLO Ltd                                                              | CUSIP: 92290CAB5<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |    180000 | PA      | $174816.18    | 0.10%             | 2034-04-15      | Floating      | 5.32%                 | No            | 2                  | On Loan: No      |
| Venture CDO Ltd                           | Venture 42 CLO Ltd                                                              | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $397162.08    | 0.24%             | 2034-04-15      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                    | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     85000 | PA      | $58078.05     | 0.03%             | 2040-11-20      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| VERIZON COMMUNICATIONS                    | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    420000 | PA      | $334513.22    | 0.20%             | 2032-03-15      | Fixed         | 2.35%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2019-4                                               | CUSIP: 92537KAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38321 | PA      | $36724.37     | 0.02%             | 2059-11-25      | Variable      | 3.14%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2021-R2                                              | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86535 | PA      | $78886.78     | 0.05%             | 2064-02-25      | Variable      | 0.92%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2021-2                                               | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87518 | PA      | $73208.94     | 0.04%             | 2066-02-25      | Variable      | 1.03%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2021-8                                               | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202554 | PA      | $171851.23    | 0.10%             | 2066-11-25      | Variable      | 1.82%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2021-4                                               | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125483 | PA      | $97353.41     | 0.06%             | 2066-07-25      | Variable      | 0.94%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2021-5                                               | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329467 | PA      | $265083.64    | 0.16%             | 2066-09-25      | Variable      | 1.01%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2022-1                                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300082 | PA      | $262668.84    | 0.16%             | 2067-01-25      | Variable      | 2.72%                 | No            | 2                  | On Loan: No      |
| PARAMOUNT GLOBAL                          | Paramount Global                                                                | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    130000 | PA      | $90393.26     | 0.05%             | 2043-03-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| PARAMOUNT GLOBAL                          | Paramount Global                                                                | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33534.98     | 0.02%             | 2043-09-01      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| PARAMOUNT GLOBAL                          | Paramount Global                                                                | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13403.91     | 0.01%             | 2031-01-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| PARAMOUNT GLOBAL                          | Paramount Global                                                                | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    255000 | PA      | $210092.92    | 0.13%             | 2032-05-19      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| VICI PROPERTIES LP                        | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119158.42    | 0.07%             | 2030-02-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| VICI PROPERTIES LP                        | VICI Properties LP                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    170000 | PA      | $157738.75    | 0.09%             | 2032-05-15      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Vericrest Opportunity Loan Tra            | VOLT XCIX LLC                                                                   | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235105 | PA      | $209574.20    | 0.13%             | 2051-04-25      | Variable      | 2.12%                 | No            | 2                  | On Loan: No      |
| Vericrest Opportunity Loan Tra            | VOLT CIII LLC                                                                   | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208491 | PA      | $195481.49    | 0.12%             | 2051-08-25      | Variable      | 1.99%                 | No            | 2                  | On Loan: No      |
| Voya CLO Ltd                              | Voya CLO 2015-1 Ltd                                                             | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |    317129 | PA      | $314281.03    | 0.19%             | 2029-01-18      | Floating      | 5.09%                 | No            | 2                  | On Loan: No      |
| Wellfleet CLO Ltd                         | Wellfleet CLO X LTD                                                             | CUSIP: 94949WAM8<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $361177.72    | 0.22%             | 2032-07-20      | Floating      | 5.41%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                | CUSIP: 949746RW3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $112410.04    | 0.07%             | 2026-04-22      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    135000 | PA      | $125111.83    | 0.08%             | 2026-10-23      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| BAT INTL FINANCE PLC                      | BAT International Finance PLC                                                   | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    205000 | PA      | $190812.84    | 0.11%             | 2028-03-16      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage S            | BBCMS 2017-DELC Mortgage Trust                                                  | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132000 | PA      | $129777.44    | 0.08%             | 2036-08-15      | Floating      | 5.29%                 | No            | 2                  | On Loan: No      |
| BINOM Securitization Trust                | BINOM Securitization Trust 2021-INV1                                            | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124804 | PA      | $110075.62    | 0.07%             | 2056-06-25      | Variable      | 2.03%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage S            | BBCMS Mortgage Trust 2022-C16                                                   | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96742.18     | 0.06%             | 2055-06-15      | Variable      | 4.60%                 | No            | 2                  | On Loan: No      |
| BPCE SA                                   | BPCE SA                                                                         | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $215739.21    | 0.13%             | 2027-10-19      | Variable      | 2.04%                 | No            | 2                  | On Loan: No      |
| BX Commercial Mortgage Trust 2            | BX Commercial Mortgage Trust 2019-XL                                            | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259667 | PA      | $256642.59    | 0.15%             | 2036-10-15      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Bain Capital Credit CLO, Limit            | Bain Capital Credit CLO 2017-2 Ltd                                              | CUSIP: 05683HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $439092.45    | 0.26%             | 2034-07-25      | Floating      | 5.54%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    155000 | PA      | $123086.60    | 0.07%             | 2051-03-20      | Variable      | 4.08%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                            | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    720000 | PA      | $552325.62    | 0.33%             | 2031-10-24      | Variable      | 1.92%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    780000 | PA      | $628217.92    | 0.38%             | 2032-04-22      | Variable      | 2.69%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    115000 | PA      | $89163.02     | 0.05%             | 2032-07-21      | Variable      | 2.30%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    120000 | PA      | $94623.96     | 0.06%             | 2032-10-20      | Variable      | 2.57%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    235000 | PA      | $230244.54    | 0.14%             | 2028-07-22      | Variable      | 4.95%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    135000 | PA      | $129002.23    | 0.08%             | 2033-07-22      | Variable      | 5.01%                 | No            | 2                  | On Loan: No      |
| Bank                                      | BANK 2019-BNK18                                                                 | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    983309 | PA      | $42352.91     | 0.03%             | 2062-05-15      | Variable      | 0.89%                 | No            | 2                  | On Loan: No      |
| Bank                                      | BANK 2019-BNK20                                                                 | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159610 | PA      | $48286.41     | 0.03%             | 2062-09-15      | Variable      | 0.81%                 | No            | 2                  | On Loan: No      |
| Bank                                      | BANK 2020-BNK26                                                                 | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    983846 | PA      | $60771.31     | 0.04%             | 2063-03-15      | Variable      | 1.23%                 | No            | 2                  | On Loan: No      |
| Bank                                      | BANK 2019-BNK24                                                                 | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985922 | PA      | $34651.72     | 0.02%             | 2062-11-15      | Variable      | 0.64%                 | No            | 2                  | On Loan: No      |
| Bank                                      | BANK 2019-BNK22                                                                 | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1309431 | PA      | $42054.36     | 0.03%             | 2062-11-15      | Variable      | 0.60%                 | No            | 2                  | On Loan: No      |
| Bank                                      | BANK 2020-BNK28                                                                 | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1527751 | PA      | $151678.03    | 0.09%             | 2063-03-15      | Variable      | 1.78%                 | No            | 2                  | On Loan: No      |
| Bank                                      | BANK 2019-BNK23                                                                 | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2136272 | PA      | $79251.01     | 0.05%             | 2052-12-15      | Variable      | 0.69%                 | No            | 2                  | On Loan: No      |
| BARCLAYS PLC                              | Barclays PLC                                                                    | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $208834.31    | 0.13%             | 2028-11-02      | Variable      | 7.38%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2019-B11 Mortgage Trust                                               | CUSIP: 08162BBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234206 | PA      | $226440.86    | 0.14%             | 2052-05-15      | Fixed         | 3.41%                 | No            | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2023-02-24

**Name of Applicant:** GPS Funds I

**Signature:** /s/ Patrick Young

**Name of Signer:** Patrick Young

**Title:** Principal Financial Officer/Treasurer