# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0001752724-23-046451
**Filing Date:** 2023-2
**Character Count:** 1309699
**Document Hash:** bd41e3ed95262c5d757b8be2536d1720
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046451.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046451

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** WESTERN ASSET FUNDS INC
- **CENTRAL INDEX KEY:** 0000863520
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 23682471

**BUSINESS ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-454-2760

**MAIL ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **STREET 2:** 7TH FLOOR
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LM INSTITUTIONAL FUND ADVISORS I INC
- **DATE OF NAME CHANGE:** 19980818

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Western Asset Core Plus Bond Fund (Series ID: S000000714)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002081 | Class I      | WACPX           |
| C000002082 | Class FI     | WACIX           |
| C000066989 | Class IS     | WAPSX           |
| C000113704 | CLASS A      | WAPAX           |
| C000113705 | CLASS C      | WAPCX           |
| C000113706 | CLASS R      | WAPRX           |
| C000117035 | Class C1     | LWCPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Western Asset Funds Inc

- **b. Investment Company Act file number:** 811-06110

- **c. CIK number of Registrant:** 0000863520

- **d. LEI of Registrant:** 5493004NC00X8WKL1P34

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-721-1926

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

- **a. Name of Series:** Western Asset Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000000714

- **c. LEI of Series:** 549300M92SFKO7RZX103

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

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

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $32928496003.54

**Total Liabilities:** $6405904306.05

**Net Assets:** $26522591697.49

**Delayed Delivery Securities:** $59657561.77

**Stand-by Commitments:** $4497953173.11

**Cash Not Reported:** $270365768.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -317655.78000000 | **1-Year:** 1382318.95000000 | **5-Year:** 7041441.04000000 | **10-Year:** 3070154.93000000 | **30-Year:** -484080.96000000

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

- **3-Month:** 1536.53000000 | **1-Year:** 305131.46000000 | **5-Year:** 766836.69000000 | **10-Year:** 450800.26000000 | **30-Year:** 31373.40000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117035 | -1.28%               | 5.60%                | -1.09%               |
| Class ID C000113704 | -1.23%               | 5.52%                | -1.06%               |
| Class ID C000113706 | -1.26%               | 5.61%                | -1.19%               |
| Class ID C000002081 | -1.20%               | 5.55%                | -1.02%               |
| Class ID C000002082 | -1.22%               | 5.64%                | -1.15%               |
| Class ID C000066989 | -1.20%               | 5.67%                | -1.13%               |
| Class ID C000113705 | -1.29%               | 5.57%                | -1.21%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-629281039.90           | $323284697.57                              |
| Month 2  | $-102695915.79           | $1076160174.89                             |
| Month 3  | $-61770740.34            | $-262532625.13                             |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36210ARL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19795 | PA      | $20339.34      | 0.00%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        169771 | PA      | $153316.34     | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       8050000 | PA      | $7873868.58    | 0.03%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                                      | Chubb INA Holdings Inc                                                          | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |       5420000 | PA      | $5195073.47    | 0.02%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           185 | NC      | $-689513.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Residential Funding Securities                                              | RFSC Series 2002-RP2 Trust                                                      | CUSIP: 760985PC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1040813 | PA      | $1027665.80    | 0.00%             | 2032-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                                    | Provincia de Buenos Aires/Government Bonds                                      | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |      47380394 | PA      | $16523912.41   | 0.06%             | 2037-09-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380VXF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3143551 | PA      | $2813826.53    | 0.01%             | 2048-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68608542 | PA      | $56089540.27   | 0.21%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -212 | NC      | $-33125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EMHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1148104 | PA      | $1128829.91    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      45830000 | PA      | $44041529.62   | 0.17%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200WY54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7956 | PA      | $8348.50       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                                     | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |       9190000 | PA      | $8282922.46    | 0.03%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1660000 | PA      | $1571334.09    | 0.01%             | 2032-06-01      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            77 | NC      | $24062.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTR Reperforming Loan Trust                                               | MASTR Reperforming Loan Trust 2005-1                                            | CUSIP: 576436AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1260812 | PA      | $843896.42     | 0.00%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           210 | NC      | $126328.23     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      36920000 | PA      | $35261547.69   | 0.13%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        215002 | PA      | $24381.30      | 0.00%             | 2042-07-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                         | PayPal Holdings Inc                                                             | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |       6750000 | PA      | $5560461.41    | 0.02%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 31398WQK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1882490 | PA      | $1861821.16    | 0.01%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                                     | Loanpal Solar Loan 2021-1 Ltd                                                   | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6471301 | PA      | $4938767.50    | 0.02%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      13375000 | PA      | $11535937.50   | 0.04%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1186920 | PA      | $1050591.78    | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Private Education Refi Loan Trust 2020-G                                | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2375653 | PA      | $2108253.01    | 0.01%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4623542 | PA      | $3985954.16    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBM1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       5000000 | PA      | $3997497.45    | 0.02%             | 2030-08-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13233241 | PA      | $12290811.48   | 0.05%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7197774 | PA      | $6232508.35    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200NEQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2349 | PA      | $2480.33       | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7A97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2621 | PA      | $2679.97       | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |             1 | NC      | $2261382.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      30300000 | PA      | $28247802.21   | 0.11%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WRJU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        497831 | PA      | $483177.32     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2918431 | PA      | $2678801.37    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2125463 | PA      | $2039250.28    | 0.01%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL GAS                                                        | Southern Natural Gas Co LLC                                                     | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       9413000 | PA      | $10357907.53   | 0.04%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                    | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     370741000 | PA      | $60314095.87   | 0.23%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       8840000 | PA      | $8723595.23    | 0.03%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                                    | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |       7755000 | PA      | $7127441.44    | 0.03%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                      | Standard Chartered PLC                                                          | CUSIP: 853254AN0<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |        715000 | PA      | $658345.70     | 0.00%             | 2044-03-26      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |        472000 | PA      | $426203.92     | 0.00%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Lo                                              | National Collegiate Student Loan Trust 2006-4                                   | CUSIP: 63543WAD3<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |       2496441 | PA      | $2387375.18    | 0.01%             | 2032-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23849597 | PA      | $1431667.46    | 0.01%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H3K85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         36185 | PA      | $34770.79      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      27800000 | PA      | $27304398.00   | 0.10%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102200000 | PA      | $99180952.72   | 0.37%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7026000 | PA      | $6970561.07    | 0.03%             | 2032-12-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      20000000 | PA      | $15836975.80   | 0.06%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |      16340000 | PA      | $15016894.64   | 0.06%             | 2050-05-10      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                                         | American International Group Inc                                                | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |       5319000 | PA      | $5012257.53    | 0.02%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411AR6<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       1006000 | PA      | $932944.38     | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                                              | Structured Asset Mortgage Investments II Trust 2006-AR6                         | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         78788 | PA      | $64583.19      | 0.00%             | 2046-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280AP4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       4910000 | PA      | $4825150.83    | 0.02%             | 2024-03-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       7180000 | PA      | $5802870.69    | 0.02%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       5730000 | PA      | $5885856.00    | 0.02%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131X1BH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3974 | PA      | $3929.45       | 0.00%             | 2023-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                              | Merck & Co Inc                                                                  | CUSIP: 58933YAY1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      17050000 | PA      | $15115240.68   | 0.06%             | 2026-02-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MD5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        186780 | PA      | $179053.22     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371MGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2175 | PA      | $2251.87       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                                              | MASTR Adjustable Rate Mortgages Trust 2004-6                                    | CUSIP: 576433PD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         69064 | PA      | $66315.89      | 0.00%             | 2034-07-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| PROGRESS ENERGY INC                                                         | Progress Energy Inc                                                             | CUSIP: 743263AP0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |       4800000 | PA      | $4874817.07    | 0.02%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           855 | NC      | $309937.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JOHNSON & JOHNSON                                                           | Johnson & Johnson                                                               | CUSIP: 478160CP7<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      19580000 | PA      | $16890381.16   | 0.06%             | 2027-09-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                       | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-1339044.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380LEB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7853371 | PA      | $7752364.80    | 0.03%             | 2068-05-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        385656 | PA      | $369347.31     | 0.00%             | 2032-07-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      33160000 | PA      | $30647155.43   | 0.12%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36241KA65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19735 | PA      | $20931.85      | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      17380000 | PA      | $16705588.74   | 0.06%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $167753651.44  | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       1455000 | PA      | $1414250.56    | 0.01%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      20750000 | PA      | $15970133.75   | 0.06%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Focus Financial Partners LLC                                                | Focus Financial Partners LLC                                                    | CUSIP: 000000000<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |      28160621 | PA      | $27884928.98   | 0.11%             | 2028-06-30      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                                              | First Horizon Alternative Mortgage Securities Trust 2007-FA3                    | CUSIP: 32053GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6747645 | PA      | $1936597.18    | 0.01%             | 2037-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                             | Impac CMB Trust Series 2007-A                                                   | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3606674 | PA      | $3362854.17    | 0.01%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FNUJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        601831 | PA      | $538610.08     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36197LFL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        932188 | PA      | $899912.49     | 0.00%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VKQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69908 | PA      | $70235.03      | 0.00%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                         | Abbott Laboratories                                                             | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      17140000 | PA      | $16711265.87   | 0.06%             | 2026-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       9820000 | PA      | $9351436.74    | 0.04%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M3XW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        340535 | PA      | $327347.33     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                           | NatWest Group PLC                                                               | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       3000000 | PA      | $2832129.42    | 0.01%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      21650000 | PA      | $20208915.81   | 0.08%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38374MJ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        334234 | PA      | $24477.10      | 0.00%             | 2036-04-20      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FQGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        307200 | PA      | $274713.83     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      29575000 | PA      | $22642767.88   | 0.09%             | 2047-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5612536 | PA      | $4618257.28    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A65W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        184536 | PA      | $162839.62     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                                                  | Sotera Health Holdings LLC                                                      | CUSIP: 83600VAE1<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |      36479289 | PA      | $33834540.66   | 0.13%             | 2026-12-11      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5081607 | PA      | $4200248.78    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1005344 | PA      | $980318.55     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371LBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1031 | PA      | $1015.77       | 0.00%             | 2023-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17324443 | PA      | $16802979.91   | 0.06%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       1535000 | PA      | $1407378.64    | 0.01%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       1610000 | PA      | $1218887.39    | 0.00%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| USAA CAPITAL CORP                                                           | USAA Capital Corp                                                               | CUSIP: 90327QD55<br>LEI: 5493007XLF4LU3U2W757 | Long             | DBT              | CORP              | US        |       1100000 | PA      | $904093.23     | 0.00%             | 2030-05-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417AJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3395069 | PA      | $3368790.26    | 0.01%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19421751 | PA      | $719577.81     | 0.00%             | 2026-07-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 05581KAC5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       3290000 | PA      | $3124695.40    | 0.01%             | 2027-03-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MNX96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        849319 | PA      | $816437.03     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2014-CCRE19 Mortgage Trust                                                 | CUSIP: 12592GBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8410000 | PA      | $8025450.23    | 0.03%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8848 | PA      | $9183.63       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                                        | Tencent Holdings Ltd                                                            | CUSIP: 88032WBC9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |      28020000 | PA      | $19904876.18   | 0.08%             | 2051-04-22      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1073696 | PA      | $1097509.07    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14600000 | PA      | $11895910.49   | 0.04%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           634 | NC      | $188218.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |             1 | NC      | $4266525.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                                                             | Yamana Gold Inc                                                                 | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |      10350000 | PA      | $9708369.55    | 0.04%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XRLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31285 | PA      | $30762.67      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      18620000 | PA      | $17393163.21   | 0.07%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                                                | ADT Security Corp/The                                                           | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |        810000 | PA      | $689962.93     | 0.00%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNY31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1494100 | PA      | $1487368.34    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291SZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1869 | PA      | $1918.51       | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        472091 | PA      | $81257.12      | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                                           | Service Corp International/US                                                   | CUSIP: 817565BT0<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |       3167000 | PA      | $3253470.88    | 0.01%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                                              | Structured Asset Securities Corp Trust 2005-SC1                                 | CUSIP: 86359DTG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3767088 | PA      | $3035527.11    | 0.01%             | 2031-05-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J3CZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         40525 | PA      | $38924.14      | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Edelman Financial Engines Center LLC (The)                                  | Edelman Financial Engines Center LLC/The                                        | CUSIP: 27943UAK2<br>LEI: 549300Z31KZXNP05U733 | Long             | LON              | CORP              | US        |       2781368 | PA      | $2602664.97    | 0.01%             | 2028-04-07      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corp Trust 2022-SROA                                     | CUSIP: 36266KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       7398149 | PA      | $7375666.33    | 0.03%             | 2024-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                              | JPMBB Commercial Mortgage Securities Trust 2015-C31                             | CUSIP: 46644YBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10543000 | PA      | $9739676.12    | 0.04%             | 2048-08-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                  | 3M Co                                                                           | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |      20000000 | PA      | $15408669.60   | 0.06%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      10140000 | PA      | $9891124.35    | 0.04%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      33395000 | PA      | $27477572.98   | 0.10%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36292LFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3261 | PA      | $3355.85       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-13039110.79  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Scientific Games International, Inc.                                        | Scientific Games International Inc                                              | CUSIP: 000000000<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |      28436575 | PA      | $28121782.11   | 0.11%             | 2029-04-13      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -212 | NC      | $-29812.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       3600000 | PA      | $3281439.60    | 0.01%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EMY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18097 | PA      | $17957.56      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WQMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5561408 | PA      | $5219083.36    | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200XYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57727 | PA      | $59432.03      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                    | Benchmark 2020-IG1 Mortgage Trust                                               | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28980000 | PA      | $23242417.88   | 0.09%             | 2043-09-15      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      18900000 | PA      | $17646790.14   | 0.07%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                 | Workday Inc                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      10220000 | PA      | $9397715.05    | 0.04%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BQ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      17270000 | PA      | $15785746.43   | 0.06%             | 2025-06-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |       2500000 | PA      | $2302442.30    | 0.01%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16132861 | PA      | $14437447.28   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5140000 | PA      | $4839574.71    | 0.02%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                | Alphabet Inc                                                                    | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       7900000 | PA      | $6200757.48    | 0.02%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9TA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11741865 | PA      | $10004152.96   | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291QYB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           327 | PA      | $335.90        | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         75658 | PA      | $75479.11      | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                                                     | Schlumberger Holdings Corp                                                      | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |       5110000 | PA      | $4770377.34    | 0.02%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FMU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111099 | PA      | $117431.94     | 0.00%             | 2040-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                                              | Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1                  | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1079596 | PA      | $27446.79      | 0.00%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       5450000 | PA      | $4960562.75    | 0.02%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       5670000 | PA      | $5637353.90    | 0.02%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Ziggo Financing Partnership                                                 | Ziggo Financing Partnership                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       5004824 | PA      | $4891840.22    | 0.02%             | 2028-04-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       3200000 | PA      | $3183691.55    | 0.01%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133BEBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3913695 | PA      | $3795516.71    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF POLAND                                                          | Republic of Poland Government International Bond                                | CUSIP: 857524AC6<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |         20000 | PA      | $19769.40      | 0.00%             | 2024-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4785781 | PA      | $3937985.55    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -2326 | NC      | $-4688343.77   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        820665 | PA      | $815095.61     | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63930 | PA      | $2786.55       | 0.00%             | 2027-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213FW33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170980 | PA      | $177033.41     | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21971325 | PA      | $18058994.25   | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291RAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3504 | PA      | $3597.26       | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      14670000 | PA      | $14330192.34   | 0.05%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      12860000 | PA      | $11786079.53   | 0.04%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36292HRK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48297 | PA      | $49630.67      | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36294YN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10729 | PA      | $11022.80      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        251031 | PA      | $238589.82     | 0.00%             | 2048-06-16      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                    | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |       7630000 | PA      | $7431216.22    | 0.03%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Peraton Corp                                                                | Peraton Corp                                                                    | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |      34024647 | PA      | $33287502.61   | 0.13%             | 2028-02-01      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ACNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1379976 | PA      | $1173897.56    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26880375 | PA      | $22209751.21   | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                                          | Panama Government International Bond                                            | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      39170000 | PA      | $29152484.80   | 0.11%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                               | MASTR Reperforming Loan Trust 2005-1                                            | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1602184 | PA      | $1219659.05    | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12746790 | PA      | $11761825.96   | 0.04%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                         | PayPal Holdings Inc                                                             | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |      12430000 | PA      | $11550590.05   | 0.04%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      10633000 | PA      | $9981969.48    | 0.04%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                   | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      68670000 | PA      | $53108749.67   | 0.20%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312941MT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          7262 | PA      | $7368.74       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36292DB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24124 | PA      | $24980.88      | 0.00%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | CNY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-5384420.99   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        589794 | PA      | $566477.36     | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Horizon Therapeutics USA Inc                                                | Horizon Therapeutics USA Inc                                                    | CUSIP: 44055UAD7<br>LEI: 254900IS87RLPXY88S03 | Long             | LON              | CORP              | US        |      16061914 | PA      | $16066250.98   | 0.06%             | 2028-03-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     170750000 | PA      | $101659613.62  | 0.38%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      21910000 | PA      | $13443981.70   | 0.05%             | 2046-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                                                            | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      17640000 | PA      | $13880176.88   | 0.05%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31413DUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         33556 | PA      | $34609.12      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                           | General Motors Co                                                               | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       1170000 | PA      | $1150059.49    | 0.00%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      26672000 | PA      | $24119356.24   | 0.09%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9476838 | PA      | $7784015.59    | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       6340000 | PA      | $5234145.50    | 0.02%             | 2050-02-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24306732 | PA      | $21196403.92   | 0.08%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MBGH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1050935 | PA      | $1009807.74    | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6880000 | PA      | $6803623.33    | 0.03%             | 2032-11-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36212DBQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           270 | PA      | $269.95        | 0.00%             | 2031-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |        430000 | PA      | $400543.61     | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8206736200 | PA      | $367895435.69  | 1.39%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 362194MY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           260 | PA      | $260.18        | 0.00%             | 2023-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BCAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7941730 | PA      | $1341212.02    | 0.01%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                         | Elevance Health Inc                                                             | CUSIP: 036752AC7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       4140000 | PA      | $4015848.15    | 0.02%             | 2024-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                                              | Wells Fargo Alternative Loan 2007-PA1 Trust                                     | CUSIP: 94984TAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5926533 | PA      | $236068.04     | 0.00%             | 2037-03-25      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | Banco Santander SA                                                              | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      43500000 | PA      | $40749898.68   | 0.15%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617AEBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        735818 | PA      | $703798.48     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6785299 | PA      | $5852123.12    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                                    | Brighthouse Financial Inc                                                       | CUSIP: 10922NAF0<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |        374000 | PA      | $275031.30     | 0.00%             | 2047-06-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-7R 1A1                                                            | CSMC 2022-7R 1A1                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      44384496 | PA      | $44608140.24   | 0.17%             | 2066-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200CC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2007 | PA      | $2060.43       | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4666726 | PA      | $3857381.76    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       2230000 | PA      | $1798952.73    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38377EEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        195146 | PA      | $21291.40      | 0.00%             | 2040-04-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4140087 | PA      | $3584581.30    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                                     | Fannie Mae Grantor Trust 2017-T1                                                | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3985715 | PA      | $3719790.07    | 0.01%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-4SZN                                                                  | CUSIP: 12663FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000000 | PA      | $48577040.00   | 0.18%             | 2023-11-15      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                                           | Multifamily Trust 2016-1                                                        | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1305413 | PA      | $1307044.68    | 0.00%             | 2046-04-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                           | General Motors Co                                                               | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       8120000 | PA      | $7113171.32    | 0.03%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       2790000 | PA      | $2754863.72    | 0.01%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       5790000 | PA      | $5401771.12    | 0.02%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5715210 | PA      | $5148467.92    | 0.02%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24851070 | PA      | $21883105.33   | 0.08%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412NUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52403 | PA      | $53524.37      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                          | Ford Motor Co                                                                   | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       2720000 | PA      | $1958530.29    | 0.01%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      16950000 | PA      | $10759568.97   | 0.04%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       1430000 | PA      | $1126446.75    | 0.00%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LUT47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        167480 | PA      | $161116.78     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           318 | NC      | $94406.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1545017 | PA      | $1632757.45    | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |       3510000 | PA      | $3466945.43    | 0.01%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1304983 | PA      | $50355.51      | 0.00%             | 2037-08-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortg                                              | Wachovia Bank Commercial Mortgage Trust Series 2007-C33                         | CUSIP: 92978NAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1897569 | PA      | $1681246.36    | 0.01%             | 2051-02-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5904000 | PA      | $5580048.46    | 0.02%             | 2032-09-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73700000 | PA      | $74744337.84   | 0.28%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31402QTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           573 | PA      | $593.13        | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       4740000 | PA      | $4284262.94    | 0.02%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AUH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        308378 | PA      | $302449.07     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        678784 | PA      | $612647.62     | 0.00%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      32450000 | PA      | $31704759.47   | 0.12%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MGZF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        227012 | PA      | $218981.41     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381ETU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3300000 | PA      | $1944125.70    | 0.01%             | 2061-02-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      28960000 | PA      | $28950365.30   | 0.11%             | 2023-01-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      16630000 | PA      | $14100257.70   | 0.05%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      29510000 | PA      | $27313773.73   | 0.10%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications Inc                                                    | iHeartCommunications Inc                                                        | CUSIP: 45174UAF5<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |      16530418 | PA      | $15202859.77   | 0.06%             | 2026-05-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31413CL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           469 | PA      | $474.51        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MNZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        205951 | PA      | $197464.46     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MFDE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151366 | PA      | $146010.71     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                                              | Banc of America Funding 2015-R2 Trust                                           | CUSIP: 05990TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10687334 | PA      | $10445931.30   | 0.04%             | 2037-04-29      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |        518000 | PA      | $512939.43     | 0.00%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2469532 | PA      | $2118673.92    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       1790000 | PA      | $1771449.03    | 0.01%             | 2024-06-24      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | IDR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |             1 | NC      | $3049312.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36212DLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7003 | PA      | $7026.95       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MN2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        979339 | PA      | $941404.54     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -35800000 | PA      | $-33579413.35  | -0.13%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RHW5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       1250000 | PA      | $1194784.14    | 0.00%             | 2027-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          7038 | PA      | $7363.71       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SINOPEC GRP OVERSEA 2014                                                    | Sinopec Group Overseas Development 2014 Ltd                                     | CUSIP: 82937WAE5<br>LEI: 549300ZIMV82UUECOQ45 | Long             | DBT              | CORP              | VG        |      17660000 | PA      | $17542754.38   | 0.07%             | 2024-04-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       8121000 | PA      | $7249738.11    | 0.03%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HERSHEY COMPANY                                                             | Hershey Co/The                                                                  | CUSIP: 427866BF4<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |       4030000 | PA      | $3681727.60    | 0.01%             | 2025-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200GB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3887 | PA      | $3990.21       | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B7GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10440581 | PA      | $9663124.49    | 0.04%             | 2027-02-25      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBF8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       3000000 | PA      | $2712684.15    | 0.01%             | 2040-03-19      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      12240000 | PA      | $10967454.20   | 0.04%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7650646 | PA      | $7461806.91    | 0.03%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764BL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |          4000 | PA      | $3798.69       | 0.00%             | 2026-05-16      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12972906 | PA      | $529655.19     | 0.00%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A5J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1937489 | PA      | $2013689.85    | 0.01%             | 2042-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412NXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         85780 | PA      | $87682.37      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2096417 | PA      | $1736715.88    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159900000 | PA      | $158467571.03  | 0.60%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617AEA55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1766163 | PA      | $1688268.39    | 0.01%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2022-MARK                                                                  | CUSIP: 12666KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131200000 | PA      | $77808.16      | 0.00%             | 2039-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      12748000 | PA      | $11490770.06   | 0.04%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10926586 | PA      | $9671611.82    | 0.04%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11464421 | PA      | $9847786.17    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AHOLD LEASE SERIES 2001-                                                    | Ahold Lease Series 2001-A-2 Pass Through Trust                                  | CUSIP: 00868PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        935377 | PA      | $961805.47     | 0.00%             | 2025-01-02      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| Gainwell Acquisition Corp                                                   | Gainwell Acquisition Corp                                                       | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      35228095 | PA      | $33158444.58   | 0.13%             | 2027-10-01      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      57100000 | PA      | $42158178.21   | 0.16%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                       | Texas Instruments Inc                                                           | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |       8690000 | PA      | $7163833.00    | 0.03%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BR4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      54765000 | PA      | $51138042.75   | 0.19%             | 2026-08-08      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12                 | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        887454 | PA      | $791342.38     | 0.00%             | 2051-02-15      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      16970000 | PA      | $16333514.53   | 0.06%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20469972 | PA      | $18435808.46   | 0.07%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                    | International Business Machines Corp                                            | CUSIP: 459200JY8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      40290000 | PA      | $39204653.07   | 0.15%             | 2024-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -428 | NC      | $-465170.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       9310000 | PA      | $8139719.50    | 0.03%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1179612 | PA      | $1171613.25    | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                            | Peruvian Government International Bond                                          | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      14280000 | PA      | $14171835.71   | 0.05%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617BKV81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        516757 | PA      | $481713.38     | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                                                       | Molson Coors Beverage Co                                                        | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |       3245000 | PA      | $3015659.79    | 0.01%             | 2026-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37787 | PA      | $38887.67      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Entain Holdings (Gibraltar) Limited                                         | Entain Holdings Gibraltar Ltd                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GI        |       4696964 | PA      | $4669815.72    | 0.02%             | 2027-03-29      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X62B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16534334 | PA      | $15308377.62   | 0.06%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       3240000 | PA      | $2802447.72    | 0.01%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3534769 | PA      | $3285749.29    | 0.01%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        226762 | PA      | $235361.58     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      16690000 | PA      | $16130245.94   | 0.06%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $23942485.30   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291K6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54681 | PA      | $56133.46      | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291RNU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2740 | PA      | $2833.86       | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2653843 | PA      | $2486188.92    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       1996000 | PA      | $1961463.43    | 0.01%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2282291 | PA      | $2220861.01    | 0.01%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      34580000 | PA      | $32163657.14   | 0.12%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       9960000 | PA      | $9492325.51    | 0.04%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       7837000 | PA      | $5799380.00    | 0.02%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31390HYH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9951 | PA      | $10101.01      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201H6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5379 | PA      | $5521.45       | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200AKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6222 | PA      | $6386.51       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      32010000 | PA      | $21724307.69   | 0.08%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -43400000 | PA      | $-38654232.13  | -0.15%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      17250000 | PA      | $14040727.37   | 0.05%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7787937 | PA      | $6612965.36    | 0.02%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11629402 | PA      | $10692960.16   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |       3620000 | PA      | $3230456.07    | 0.01%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201P4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16991 | PA      | $17767.54      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        984322 | PA      | $920644.74     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617BGBA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        145267 | PA      | $135416.44     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      26340000 | PA      | $21822539.34   | 0.08%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3559663 | PA      | $3035765.22    | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2506985 | PA      | $2405180.88    | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                                                   | Triton Water Holdings Inc                                                       | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |      27541453 | PA      | $25706504.09   | 0.10%             | 2028-03-31      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       2370000 | PA      | $2158994.80    | 0.01%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ARUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9777869 | PA      | $954227.09     | 0.00%             | 2045-11-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292G4U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11265 | PA      | $11685.38      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       3699094 | PA      | $3309764.54    | 0.01%             | 2028-08-21      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       3000000 | PA      | $2595169.14    | 0.01%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      17870000 | PA      | $18287621.90   | 0.07%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        238699 | PA      | $241937.13     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                   | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       1933000 | PA      | $1673336.30    | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      23710000 | PA      | $17121184.24   | 0.06%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAD3<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      19249000 | PA      | $18854972.97   | 0.07%             | 2023-07-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31387NWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5546 | PA      | $5656.65       | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      28980000 | PA      | $28671313.73   | 0.11%             | 2033-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75959049 | PA      | $3118832.97    | 0.01%             | 2028-05-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6508436 | PA      | $959467.18     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65643654 | PA      | $3481391.49    | 0.01%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32190000 | PA      | $31348530.87   | 0.12%             | 2042-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                                                    | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd            | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       1745000 | PA      | $1582540.50    | 0.01%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     262096000 | PA      | $240647127.47  | 0.91%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36204C4L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           338 | PA      | $338.01        | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Lo                                              | National Collegiate Student Loan Trust 2006-1                                   | CUSIP: 63543PCD6<br>LEI: 635400ZLDAQQL4PJBJ98 | Long             | ABS-O            | CORP              | US        |       6389921 | PA      | $6078377.41    | 0.02%             | 2033-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25644986 | PA      | $24010760.61   | 0.09%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                | Broadcom Inc                                                                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       1207000 | PA      | $1084607.97    | 0.00%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31387XVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6382 | PA      | $6524.79       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Nexstar Broadcasting Inc                                                    | Nexstar Media Inc                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |      13024639 | PA      | $12941606.48   | 0.05%             | 2026-09-18      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       9009000 | PA      | $8579526.74    | 0.03%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      14580000 | PA      | $15286602.64   | 0.06%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      22380000 | PA      | $20847401.71   | 0.08%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      22301000 | PA      | $10772777.04   | 0.04%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69290823 | PA      | $1575694.09    | 0.01%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -93800000 | PA      | $-91007108.75  | -0.34%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6264851 | PA      | $6166221.63    | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31388JTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           564 | PA      | $579.53        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        534539 | PA      | $554819.87     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      51040000 | PA      | $50550448.31   | 0.19%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                                                 | Origen Manufactured Housing Contract Trust 2007-A                               | CUSIP: 68620CAB6<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |       5969304 | PA      | $5496475.34    | 0.02%             | 2037-04-15      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                    | Constellation Brands Inc                                                        | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       7860000 | PA      | $7708975.76    | 0.03%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-2102270.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BLC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2989963 | PA      | $2967523.44    | 0.01%             | 2061-03-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12460983 | PA      | $332870.25     | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |         70000 | PA      | $60149.05      | 0.00%             | 2030-05-11      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     529920000 | PA      | $427165200.00  | 1.61%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381HMU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5600000 | PA      | $4437956.32    | 0.02%             | 2063-10-16      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      12450000 | PA      | $9879395.21    | 0.04%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31297VKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2694 | PA      | $2745.45       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1402717 | PA      | $1206573.64    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8558753 | PA      | $7180215.72    | 0.03%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225B2S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        225012 | PA      | $238685.00     | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MDZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1691534 | PA      | $1623856.80    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           210 | NC      | $383906.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KTHM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1221349 | PA      | $1038146.98    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                                               | Bear Stearns Mortgage Funding Trust 2007-AR2                                    | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8165678 | PA      | $7416942.74    | 0.03%             | 2037-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24319203 | PA      | $20840277.46   | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       1690000 | PA      | $1576773.72    | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        624306 | PA      | $570793.61     | 0.00%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4264733 | PA      | $3755449.39    | 0.01%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                                      | Barrick North America Finance LLC                                               | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       8260000 | PA      | $8382705.36    | 0.03%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MED Trust                                                                   | Med Trust 2021-MDLN                                                             | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36130000 | PA      | $33644559.49   | 0.13%             | 2038-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14930117 | PA      | $13936120.25   | 0.05%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       3700000 | PA      | $3503900.00    | 0.01%             | N/A             | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201RR60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19216 | PA      | $19777.67      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      13440000 | PA      | $12444991.64   | 0.05%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       4655000 | PA      | $5139966.93    | 0.02%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36241KF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1611 | PA      | $1708.26       | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                                                       | Molson Coors Beverage Co                                                        | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |       3390000 | PA      | $2643390.74    | 0.01%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12551445 | PA      | $10398253.76   | 0.04%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2014-CCRE21 Mortgage Trust                                                 | CUSIP: 12592RBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        517997 | PA      | $498801.23     | 0.00%             | 2047-12-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35800000 | PA      | $32922784.43   | 0.12%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201HY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5995 | PA      | $6256.24       | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       3070000 | PA      | $2479730.21    | 0.01%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                                          | Panama Government International Bond                                            | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |       8130000 | PA      | $5957624.73    | 0.02%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          9908 | PA      | $10058.90      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A3X47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        196024 | PA      | $198683.50     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       5720000 | PA      | $5337186.08    | 0.02%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9456319 | PA      | $1401225.08    | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                              | Alternative Loan Trust 2006-18CB                                                | CUSIP: 02147FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4785610 | PA      | $4511923.57    | 0.02%             | 2036-07-25      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3134609 | PA      | $2954956.15    | 0.01%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312935NT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2766 | PA      | $2773.98       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AUUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1723961 | PA      | $171616.65     | 0.00%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       4410000 | PA      | $3333334.49    | 0.01%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | Royal Bank of Canada                                                            | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      20990000 | PA      | $20810846.78   | 0.08%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9248383 | PA      | $8512752.79    | 0.03%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8701873 | PA      | $8572194.59    | 0.03%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       3810000 | PA      | $2997721.30    | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                                         | Nigeria Government International Bond                                           | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |       9270000 | PA      | $7131920.85    | 0.03%             | 2030-02-23      | Fixed         | 7.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30496 | PA      | $29986.72      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      28210000 | PA      | $26369861.70   | 0.10%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6ZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1133613 | PA      | $1051644.32    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31389X7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6027 | PA      | $6042.04       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       1661000 | PA      | $1594590.05    | 0.01%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |        810000 | PA      | $774427.34     | 0.00%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4343032 | PA      | $3573691.00    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EAQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         59311 | PA      | $57099.27      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -1140 | NC      | $-160312.51    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      19060000 | PA      | $17036880.68   | 0.06%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      21460000 | PA      | $21038881.19   | 0.08%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      12310000 | PA      | $10214062.47   | 0.04%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BRAZOS Student Finance Corp                                                 | Brazos Student Finance Corp                                                     | CUSIP: 10623PDS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        598267 | PA      | $600274.47     | 0.00%             | 2039-12-27      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3TR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        866578 | PA      | $710354.33     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617GQY31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        325176 | PA      | $310717.87     | 0.00%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      11060000 | PA      | $8480572.20    | 0.03%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201RYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9811 | PA      | $10071.99      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                     | Flagstar Mortgage Trust 2018-2                                                  | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        808357 | PA      | $793710.05     | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6042124 | PA      | $520846.19     | 0.00%             | 2047-11-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      14120000 | PA      | $12893830.64   | 0.05%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                       | Northrop Grumman Corp                                                           | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      16925000 | PA      | $16244216.25   | 0.06%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       8180000 | PA      | $7142119.64    | 0.03%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                                        | Southern Copper Corp                                                            | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |      30800000 | PA      | $29461043.30   | 0.11%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       6950000 | PA      | $4672982.27    | 0.02%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Energizer Holdings Inc                                                      | Energizer Holdings Inc                                                          | CUSIP: 000000000<br>LEI: 5493000D6NN0V57UME20 | Long             | LON              | CORP              | US        |       5399127 | PA      | $5311391.03    | 0.02%             | 2027-12-22      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       8640000 | PA      | $9255573.04    | 0.03%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200N5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193121 | PA      | $200285.92     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68899 | PA      | $68947.94      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                              | Morgan Stanley Mortgage Loan Trust 2005-3AR                                     | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        550915 | PA      | $480112.22     | 0.00%             | 2035-07-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       6560000 | PA      | $5916811.42    | 0.02%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                              | JPMBB Commercial Mortgage Securities Trust 2014-C25                             | CUSIP: 46643PBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5930000 | PA      | $5657152.99    | 0.02%             | 2047-11-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       2700000 | PA      | $2249066.25    | 0.01%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97700000 | PA      | $92464251.14   | 0.35%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        344502 | PA      | $342165.96     | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2417358 | PA      | $2201980.47    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4972881 | PA      | $699081.18     | 0.00%             | 2046-10-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-215375.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582BF8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      13770000 | PA      | $12100339.03   | 0.05%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MJ7H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6011994 | PA      | $5540440.67    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1574765 | PA      | $1463841.46    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2066749 | PA      | $1984079.57    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 31329N4B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        316821 | PA      | $294298.40     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31409VMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1943 | PA      | $1973.97       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                      | ConocoPhillips Co                                                               | CUSIP: 208251AE8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |        693000 | PA      | $767945.44     | 0.00%             | 2029-04-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4D89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        105596 | PA      | $105323.53     | 0.00%             | 2031-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Phoenix Newco Inc                                                           | Phoenix Newco Inc                                                               | CUSIP: 71911KAC8<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |       2902050 | PA      | $2801290.82    | 0.01%             | 2028-11-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        628258 | PA      | $514695.20     | 0.00%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |        330000 | PA      | $328261.22     | 0.00%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                              | Wells Fargo Commercial Mortgage Trust 2013-LC12                                 | CUSIP: 94988QAQ4<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |        450000 | PA      | $427195.31     | 0.00%             | 2046-07-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      35353000 | PA      | $32435580.64   | 0.12%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                         | Bank of Nova Scotia/The                                                         | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      14860000 | PA      | $13628387.45   | 0.05%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | Petroleos Mexicanos                                                             | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       2350000 | PA      | $2224737.25    | 0.01%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FFWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        537554 | PA      | $109475.13     | 0.00%             | 2038-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201FBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9925 | PA      | $10195.58      | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1893055 | PA      | $1571778.47    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18512637 | PA      | $17790513.17   | 0.07%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                              | Air Lease Corp                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |       9600000 | PA      | $9088759.10    | 0.03%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17610635 | PA      | $15273654.49   | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AR2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2784130 | PA      | $2366791.50    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           602 | NC      | $432687.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36290WMW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17035 | PA      | $17656.09      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                     | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       4490000 | PA      | $3543842.10    | 0.01%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       4417000 | PA      | $3224355.36    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELXS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18180 | PA      | $17917.06      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       6090000 | PA      | $4684702.05    | 0.02%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MPQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         96081 | PA      | $91467.83      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31389NBG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15110 | PA      | $15496.75      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -159900000 | PA      | $-158467571.03 | -0.60%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36210AN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1340 | PA      | $1379.84       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -423 | NC      | $-33046.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4352411 | PA      | $3581416.45    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200KZ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84095 | PA      | $86443.32      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1040354 | PA      | $1012378.24    | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RFK5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      18110000 | PA      | $17706737.39   | 0.07%             | 2027-02-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3768729 | PA      | $3240198.38    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4144183 | PA      | $3449424.22    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        913144 | PA      | $819124.49     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      21477000 | PA      | $15581780.42   | 0.06%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                                                     | CIT Mortgage Loan Trust 2007-1                                                  | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23685000 | PA      | $22554043.62   | 0.09%             | 2037-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |       1800000 | PA      | $1672167.56    | 0.01%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1120067 | PA      | $41718.21      | 0.00%             | 2026-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381EQD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2457137 | PA      | $1276885.83    | 0.00%             | 2064-03-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           107 | NC      | $63531.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      11559000 | PA      | $10782527.87   | 0.04%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GDKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8960 | PA      | $9067.86       | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200D7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47180 | PA      | $48432.47      | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JASV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        225646 | PA      | $220847.16     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      23231912 | PA      | $23679809.54   | 0.09%             | 2024-07-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31384KME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2434 | PA      | $2428.18       | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      15280000 | PA      | $14383594.98   | 0.05%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                      | CVS Pass-Through Trust                                                          | CUSIP: 126650BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       2167811 | PA      | $2144725.46    | 0.01%             | 2028-01-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                              | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                   | CUSIP: 92922FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          3792 | PA      | $3496.65       | 0.00%             | 2033-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 31329QBK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19337003 | PA      | $18966155.45   | 0.07%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      10000000 | PA      | $8368956.00    | 0.03%             | 2047-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDQ4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      26770000 | PA      | $24942428.16   | 0.09%             | 2026-03-20      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179S2S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4767 | PA      | $4823.88       | 0.00%             | 2047-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-6217592.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                             | Deere & Co                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |       4080000 | PA      | $3663503.89    | 0.01%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                              | BCAP LLC 2010-RR9 Trust                                                         | CUSIP: 05533GCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8514603 | PA      | $6726919.85    | 0.03%             | 2035-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WVRU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        650824 | PA      | $627718.84     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6247 | PA      | $6382.27       | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201TJ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93769 | PA      | $96514.35      | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        972568 | PA      | $870254.74     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                                              | JPMDB Commercial Mortgage Securities Trust 2017-C5                              | CUSIP: 46590TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        620000 | PA      | $580027.73     | 0.00%             | 2050-03-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335AVG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3313 | PA      | $3348.87       | 0.00%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        290000 | PA      | $255583.57     | 0.00%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38376R6U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16485098 | PA      | $678312.35     | 0.00%             | 2067-09-20      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                                    | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      10180000 | PA      | $8334824.10    | 0.03%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36212NAN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34973 | PA      | $36223.97      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36212TW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1769 | PA      | $1765.32       | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41053090 | PA      | $38221576.41   | 0.14%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      20000000 | PA      | $15344629.00   | 0.06%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                                           | Republic of Kenya Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |       5780000 | PA      | $5336298.30    | 0.02%             | 2024-06-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JWB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2873202 | PA      | $2579407.97    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -1692 | NC      | $-185062.51    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      11796000 | PA      | $9480731.61    | 0.04%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       9750000 | PA      | $7632251.25    | 0.03%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       9215000 | PA      | $7703256.95    | 0.03%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12462761 | PA      | $10520142.58   | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                      | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      19600000 | PA      | $17557586.70   | 0.07%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          4164 | NC      | $-25224526.80  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddiemac Strip                                                            | Freddie Mac Strips                                                              | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10945554 | PA      | $968358.71     | 0.00%             | 2046-12-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FKR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33687 | PA      | $35611.62      | 0.00%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       4390000 | PA      | $4203482.38    | 0.02%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36290VJ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4231 | PA      | $4368.50       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213EUP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6594 | PA      | $6785.60       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2292 | PA      | $2343.78       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       2620000 | PA      | $1931089.37    | 0.01%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18974060 | PA      | $18217710.50   | 0.07%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201UBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59484 | PA      | $61221.37      | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1090543 | PA      | $978561.61     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KSTZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10272 | PA      | $10345.53      | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38374YVW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28173 | PA      | $319.45        | 0.00%             | 2040-01-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31383BZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4957 | PA      | $5040.20       | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      28670000 | PA      | $25305754.69   | 0.10%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412GQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           263 | PA      | $262.17        | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       4690000 | PA      | $3160821.04    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AEPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        945597 | PA      | $812177.72     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       9713000 | PA      | $8573611.68    | 0.03%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291PV60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        103454 | PA      | $107483.29     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8264214 | PA      | $7077020.73    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24988680 | PA      | $729239.64     | 0.00%             | 2032-06-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          4829 | PA      | $4941.12       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                                         | BHMS 2018-MZB                                                                   | CUSIP: 05549GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93060000 | PA      | $79431828.30   | 0.30%             | 2025-07-15      | Floating      | 10.95%                | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       2960000 | PA      | $2928070.30    | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10345116 | PA      | $9607986.01    | 0.04%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      16970000 | PA      | $16598215.98   | 0.06%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36203UTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           105 | PA      | $104.80        | 0.00%             | 2023-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      11725000 | PA      | $11413189.57   | 0.04%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -90100000 | PA      | $-90304643.23  | -0.34%            | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3738294 | PA      | $3096906.74    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJWR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4296868 | PA      | $4127349.19    | 0.02%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1563131 | PA      | $1499651.86    | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      15300000 | PA      | $14405095.81   | 0.05%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       5450000 | PA      | $5138446.28    | 0.02%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      23330000 | PA      | $21460452.78   | 0.08%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                                     | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |      31080000 | PA      | $20453973.02   | 0.08%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       3420000 | PA      | $2972158.25    | 0.01%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2966550 | PA      | $2881576.30    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31413AH71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10526 | PA      | $10740.58      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                            | ABN AMRO Bank NV                                                                | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |       8210000 | PA      | $7971613.04    | 0.03%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7461506 | PA      | $7583683.40    | 0.03%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201LHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48157 | PA      | $51027.98      | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6FG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8059 | PA      | $8229.08       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9340221 | PA      | $753197.25     | 0.00%             | 2030-07-25      | Variable      | 1.43%                 | 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        |     290600000 | PA      | $236527770.31  | 0.89%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       4800000 | PA      | $4230152.35    | 0.02%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                 | Hertz Vehicle Financing LLC                                                     | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |       1660000 | PA      | $1535155.55    | 0.01%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                     | Honeywell International Inc                                                     | CUSIP: 438516CB0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |       9750000 | PA      | $9022036.82    | 0.03%             | 2025-06-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3600336 | PA      | $3299918.41    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      19417000 | PA      | $17898396.43   | 0.07%             | 2026-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                   | Amgen Inc                                                                       | CUSIP: 031162BV1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       1480000 | PA      | $1451560.33    | 0.01%             | 2024-05-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2015-2                                                | CUSIP: 89171YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8883500 | PA      | $7321420.03    | 0.03%             | 2060-11-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412TZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1791 | PA      | $1927.05       | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139415 | PA      | $140928.03     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2862334 | PA      | $2678501.14    | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379U6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16838694 | PA      | $617488.39     | 0.00%             | 2057-02-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9980000 | PA      | $9284177.43    | 0.04%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| DCert Buyer Inc                                                             | Dcert Buyer Inc                                                                 | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |      36145080 | PA      | $34996208.67   | 0.13%             | 2026-10-16      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BF0<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |         96000 | PA      | $94927.68      | 0.00%             | 2027-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136BBBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41689301 | PA      | $3323575.31    | 0.01%             | 2034-09-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31298YSP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          1355 | PA      | $1391.40       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      37160000 | PA      | $34115835.33   | 0.13%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       3276000 | PA      | $3664430.83    | 0.01%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WDZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2185587 | PA      | $2101243.85    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5716392 | PA      | $5297134.84    | 0.02%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| EFS Volunteer No 2 LLC                                                      | EFS Volunteer No 2 LLC                                                          | CUSIP: 26845BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4920137 | PA      | $4869765.27    | 0.02%             | 2036-03-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9048804 | PA      | $1270220.40    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213RXM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2758 | PA      | $2836.26       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      19812000 | PA      | $17084727.83   | 0.06%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BM5<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       2380000 | PA      | $2206545.60    | 0.01%             | 2027-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      28270000 | PA      | $23762207.15   | 0.09%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68373662 | PA      | $65573491.90   | 0.25%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412XS88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           362 | PA      | $373.18        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        685254 | PA      | $664667.79     | 0.00%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        559911 | PA      | $507055.38     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $5557752.33    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2022-R07                                    | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15415322 | PA      | $15559788.36   | 0.06%             | 2042-06-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       8370000 | PA      | $6927666.53    | 0.03%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                       | Jane Street Group LLC                                                           | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |       8511798 | PA      | $8275722.82    | 0.03%             | 2028-01-26      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        345860 | PA      | $358699.72     | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                              | Lowe's Cos Inc                                                                  | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       5940000 | PA      | $5707135.13    | 0.02%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2526482 | PA      | $2562560.95    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                     | GSR Mortgage Loan Trust 2005-AR7                                                | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        547801 | PA      | $315878.70     | 0.00%             | 2035-11-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                                                      | Teck Resources Ltd                                                              | CUSIP: 878742BG9<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |       5000000 | PA      | $4483295.05    | 0.02%             | 2030-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131XECV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        972253 | PA      | $932752.22     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Castlelake Aviation One Designated Activity Company                         | Castlelake Aviation One DAC                                                     | CUSIP: 14855NAB2<br>LEI: 2138003EQK2PETKID103 | Long             | LON              | CORP              | IE        |      30688959 | PA      | $30472447.95   | 0.11%             | 2026-10-22      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                                               | UBS AG/London                                                                   | CUSIP: 902674XN5<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |      10093000 | PA      | $8556609.63    | 0.03%             | 2048-06-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                              | Merck & Co Inc                                                                  | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |       9130000 | PA      | $7305283.95    | 0.03%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131XXLE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        287559 | PA      | $281139.91     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       1560000 | PA      | $1468513.80    | 0.01%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7122 | PA      | $6954.27       | 0.00%             | 2035-11-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     138000000 | PA      | $20290528.41   | 0.08%             | 2025-11-30      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      14500000 | PA      | $14026498.01   | 0.05%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -635 | NC      | $-3214687.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Cloudera Inc                                                                | Cloudera Inc                                                                    | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |      12247450 | PA      | $11587251.21   | 0.04%             | 2028-10-08      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           558 | PA      | $574.27        | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9967772 | PA      | $1459452.29    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      10560000 | PA      | $6964687.17    | 0.03%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       5413000 | PA      | $5141565.12    | 0.02%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412XSD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           182 | PA      | $188.80        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2404194 | PA      | $1996148.51    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31413QM21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1597 | PA      | $1630.08       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AH6<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       7830000 | PA      | $7485429.18    | 0.03%             | 2025-03-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201Q3R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34130 | PA      | $35650.90      | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       7800000 | PA      | $5636472.11    | 0.02%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9589884 | PA      | $9424554.55    | 0.04%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                                              | MASTR Adjustable Rate Mortgages Trust 2006-OA1                                  | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         77460 | PA      | $66733.81      | 0.00%             | 2046-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24732000 | PA      | $23214343.08   | 0.09%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      10270000 | PA      | $9629799.01    | 0.04%             | 2028-08-08      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                                                | Harbor Freight Tools USA Inc                                                    | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |      19651726 | PA      | $18771820.28   | 0.07%             | 2027-10-19      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2096837 | PA      | $1812380.61    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -129100000 | PA      | $-109345513.05 | -0.41%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AGE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2284537 | PA      | $193263.57     | 0.00%             | 2041-10-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                           | NatWest Group PLC                                                               | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      10000000 | PA      | $9908969.10    | 0.04%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6425805 | PA      | $5539720.57    | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3824094 | PA      | $3432743.67    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200SBX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15544 | PA      | $15956.71      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      18947288 | PA      | $16938117.48   | 0.06%             | 2026-12-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        320000 | PA      | $315086.25     | 0.00%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LTAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        229353 | PA      | $220737.23     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                             | Deere & Co                                                                      | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |      24850000 | PA      | $21109155.55   | 0.08%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8F48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1331135 | PA      | $1226868.57    | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18932573 | PA      | $15613898.47   | 0.06%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202WHX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76304 | PA      | $78403.99      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       6760000 | PA      | $6552741.71    | 0.02%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4174557 | PA      | $3466045.58    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17294839 | PA      | $16912363.94   | 0.06%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32404043 | PA      | $2048884.96    | 0.01%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                                       | Thrust Engine Leasing 2021 DAC                                                  | CUSIP: 88603UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      18460433 | PA      | $13614115.14   | 0.05%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND WEEK 5                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -315 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X5LS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1140777 | PA      | $1071801.12    | 0.00%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      24380000 | PA      | $16564627.98   | 0.06%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6781820 | PA      | $6017111.56    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      21860000 | PA      | $19885359.31   | 0.07%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7378120 | PA      | $7048589.90    | 0.03%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3204071 | PA      | $2666250.77    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WXWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2809891 | PA      | $2723170.39    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Delos Finance Sarl                                                          | Delos Finance Sarl                                                              | CUSIP: 000000000<br>LEI: 549300HX549YWOJQT076 | Long             | LON              | CORP              | LU        |       5500000 | PA      | $5498955.00    | 0.02%             | 2023-10-06      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7639024 | PA      | $499831.29     | 0.00%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49600000 | PA      | $45096377.54   | 0.17%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213TFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         85933 | PA      | $91125.30      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A92X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11453 | PA      | $11410.70      | 0.00%             | 2026-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      16140000 | PA      | $12215621.46   | 0.05%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        206718 | PA      | $200563.35     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B1MH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2241669 | PA      | $1835949.89    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        981260 | PA      | $884624.98     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         76514 | PA      | $75235.47      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5702255 | PA      | $939331.28     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      41210000 | PA      | $28782443.71   | 0.11%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      56680000 | PA      | $42725870.88   | 0.16%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Trust 2018-J1 Trust                                                        | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34978603 | PA      | $30568780.75   | 0.12%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36208LZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7012 | PA      | $7216.71       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2598371 | PA      | $2432933.19    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XCGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10014 | PA      | $9846.89       | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BG6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |        600000 | PA      | $529858.32     | 0.00%             | 2047-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      28460000 | PA      | $22718627.31   | 0.09%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFB5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      12680000 | PA      | $12091371.96   | 0.05%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131WHGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6591 | PA      | $6737.06       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          3650 | NC      | $-1327099.01   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AF4<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       6789000 | PA      | $3288761.33    | 0.01%             | 2029-05-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7JH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        208119 | PA      | $209611.23     | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AQX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2956939 | PA      | $3085471.54    | 0.01%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43162034 | PA      | $41263759.98   | 0.16%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3570574 | PA      | $3272193.22    | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFB0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |        230000 | PA      | $228115.86     | 0.00%             | 2024-01-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2020-522F                                                                  | CUSIP: 126417AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47520000 | PA      | $42079995.94   | 0.16%             | 2025-09-16      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7003 | PA      | $7250.03       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                              | Bear Stearns Asset Backed Securities I Trust 2004-AC6                           | CUSIP: 073879LN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1829171 | PA      | $1542111.70    | 0.01%             | 2034-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     132367000 | PA      | $82274363.44   | 0.31%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 949746RF0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       1840000 | PA      | $1792922.35    | 0.01%             | 2044-01-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      85750000 | PA      | $79274947.19   | 0.30%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36294T2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1833 | PA      | $1886.85       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AWH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        850329 | PA      | $814108.01     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381EX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28634512 | PA      | $1449990.14    | 0.01%             | 2063-01-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       7620000 | PA      | $6316018.81    | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AXES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1208815 | PA      | $65907.95      | 0.00%             | 2031-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      16970000 | PA      | $16564841.42   | 0.06%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                        | Charter Communications Operating LLC                                            | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |      21496184 | PA      | $21432340.80   | 0.08%             | 2025-04-30      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $14043437.72   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       5755000 | PA      | $5613945.87    | 0.02%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                           | General Motors Co                                                               | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       2050000 | PA      | $1775916.29    | 0.01%             | 2038-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        201892 | PA      | $182031.21     | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                            | Altice France SA/France                                                         | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |        300000 | PA      | $235581.00     | 0.00%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268367 | PA      | $226537.45     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       4380000 | PA      | $3961423.50    | 0.01%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME Euro Foreign Exchange Currency                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          3872 | NC      | $1557946.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           105 | NC      | $165703.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A4KN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2950602 | PA      | $2990630.93    | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4108097 | PA      | $3610056.40    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Garda World Security Corporation                                            | Garda World Security Corp                                                       | CUSIP: 000000000<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | LON              | CORP              | CA        |       7439555 | PA      | $7257285.83    | 0.03%             | 2026-10-30      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24                                      | SFE 10 YEAR AUSTRALIAN BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          4149 | NC      | $-18798020.11  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280AW9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       1750000 | PA      | $1694739.81    | 0.01%             | 2026-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31390KJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         55703 | PA      | $56702.54      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7103115 | PA      | $6510780.33    | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      13700000 | PA      | $10897225.92   | 0.04%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                                              | WFRBS Commercial Mortgage Trust 2014-C19                                        | CUSIP: 92938VAW5<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |      30381241 | PA      | $233886.94     | 0.00%             | 2047-03-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      33540000 | PA      | $30232385.48   | 0.11%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9000000 | PA      | $7630933.50    | 0.03%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9H46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2083893 | PA      | $1952586.30    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                              | Bear Stearns Asset Backed Securities I Trust 2005-CL1                           | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        671151 | PA      | $647356.28     | 0.00%             | 2034-09-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                                    | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      11735997 | PA      | $11794324.91   | 0.04%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A5LM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1233043 | PA      | $132293.39     | 0.00%             | 2042-04-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAC0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      10000000 | PA      | $9667804.80    | 0.04%             | 2025-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9610014 | PA      | $1496185.01    | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25685418 | PA      | $21597716.91   | 0.08%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 31397EWH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3459991 | PA      | $294044.92     | 0.00%             | 2037-02-15      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36294SN37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7962 | PA      | $8175.24       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      19620000 | PA      | $18912939.54   | 0.07%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202SDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49885 | PA      | $51250.31      | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                                  | Morgan Stanley ABS Capital I Inc Trust 2003-HE3                                 | CUSIP: 61746REH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         74798 | PA      | $73308.78      | 0.00%             | 2033-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                              | Mastercard Inc                                                                  | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |       4530000 | PA      | $3804848.88    | 0.01%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       7190000 | PA      | $6239170.74    | 0.02%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31406UHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         25915 | PA      | $26583.10      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312935S59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5271 | PA      | $5373.00       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $57773324.98   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Pilot Travel Centers LLC                                                    | Pilot Travel Centers LLC                                                        | CUSIP: 72165NBH1<br>LEI: 549300115UILLXNE1Z49 | Long             | LON              | CORP              | US        |      12756181 | PA      | $12633403.00   | 0.05%             | 2028-08-04      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       3210000 | PA      | $3178977.82    | 0.01%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 31397CTW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        629643 | PA      | $48783.17      | 0.00%             | 2036-11-15      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -46000000 | PA      | $-46235651.10  | -0.17%            | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      54640000 | PA      | $40660481.13   | 0.15%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B5FE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        276999 | PA      | $228009.29     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        235299 | PA      | $225662.44     | 0.00%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       7260000 | PA      | $6819409.77    | 0.03%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      16280000 | PA      | $15009497.89   | 0.06%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                              | VOC Escrow Ltd                                                                  | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       9225000 | PA      | $7948998.00    | 0.03%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33657663 | PA      | $31212740.07   | 0.12%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                         | Gilead Sciences Inc                                                             | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       6165000 | PA      | $5579226.98    | 0.02%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1087854 | PA      | $918302.93     | 0.00%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      19860000 | PA      | $18725949.71   | 0.07%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust 2005-3                                           | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1528971 | PA      | $1433745.27    | 0.01%             | 2035-06-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371LDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1005 | PA      | $1040.29       | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       4888000 | PA      | $4735902.06    | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WD4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2887298 | PA      | $2853171.65    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7638094 | PA      | $6540850.76    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52749728 | PA      | $43700740.96   | 0.16%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      12719000 | PA      | $10569075.63   | 0.04%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $23748945.57   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7D68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7134305 | PA      | $6673070.14    | 0.03%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        458000 | PA      | $436085.14     | 0.00%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| ILFC E-CAPITAL TRUST II                                                     | ILFC E-Capital Trust II                                                         | CUSIP: 44965UAA2<br>LEI: N/A                  | Long             | SN               | CORP              | US        |       2870000 | PA      | $1865500.00    | 0.01%             | 2065-12-21      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204200000 | PA      | $181870834.14  | 0.69%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAJ9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       7870000 | PA      | $7756616.99    | 0.03%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                 | Exelon Corp                                                                     | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |       5126000 | PA      | $5214754.59    | 0.02%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280BB4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      13485000 | PA      | $12860072.47   | 0.05%             | 2026-05-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       9390000 | PA      | $9185890.60    | 0.03%             | 2026-05-12      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      11042000 | PA      | $8461753.91    | 0.03%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201JJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29611 | PA      | $30473.71      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6763571 | PA      | $5822947.60    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                         | Station Casinos LLC                                                             | CUSIP: 85769EAZ4<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |      23986525 | PA      | $23456782.26   | 0.09%             | 2027-02-08      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3637187 | PA      | $3495478.80    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3059774 | PA      | $2812740.78    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | CSC Holdings LLC                                                                | CUSIP: 126307BB2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |        750000 | PA      | $531026.25     | 0.00%             | 2030-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371H2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           891 | PA      | $930.93        | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10108329 | PA      | $8967173.57    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AHWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         21999 | PA      | $22237.61      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7651215 | PA      | $7170257.81    | 0.03%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4419771 | PA      | $4238768.61    | 0.02%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      16360000 | PA      | $16183908.81   | 0.06%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411BA2<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      10830000 | PA      | $8190458.25    | 0.03%             | 2043-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225B2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9717 | PA      | $10307.25      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X5RY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8496 | PA      | $8150.76       | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      17260000 | PA      | $17875060.10   | 0.07%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MGQV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2854760 | PA      | $2624901.31    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1018099 | PA      | $1001090.32    | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      33870000 | PA      | $26358187.77   | 0.10%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7422455 | PA      | $6329998.45    | 0.02%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133BBP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        675446 | PA      | $657223.78     | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5426025 | PA      | $5352748.99    | 0.02%             | 2068-07-20      | Floating      | 4.14%                 | 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        |      22020000 | PA      | $20128828.15   | 0.08%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25368626 | PA      | $23561384.31   | 0.09%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -37900000 | PA      | $-38005327.89  | -0.14%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                         | American Express Co                                                             | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      14900000 | PA      | $14604431.98   | 0.06%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57850030 | PA      | $53685851.46   | 0.20%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379GYA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1117199 | PA      | $33456.09      | 0.00%             | 2026-07-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       4050000 | PA      | $3909090.50    | 0.01%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QPAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11618276 | PA      | $10987900.24   | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      21245000 | PA      | $21498599.44   | 0.08%             | 2030-10-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       1080000 | PA      | $735731.00     | 0.00%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WYETH LLC                                                                   | Wyeth LLC                                                                       | CUSIP: 983024AN0<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |       5098000 | PA      | $5504628.05    | 0.02%             | 2037-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3739545 | PA      | $122033.31     | 0.00%             | 2059-12-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12831318 | PA      | $12262551.48   | 0.05%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37900000 | PA      | $38005327.89   | 0.14%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                                    | Virgin Media Secured Finance PLC                                                | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      10960000 | PA      | $9842792.40    | 0.04%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      42045000 | PA      | $35944270.92   | 0.14%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           996 | NC      | $132281.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201ELX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9472 | PA      | $9729.72       | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74623615 | PA      | $61335296.91   | 0.23%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9267151 | PA      | $8442131.40    | 0.03%             | 2038-10-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117700000 | PA      | $113308139.85  | 0.43%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31416RRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9789 | PA      | $9678.10       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                                              | RAMP Series 2005-SL1 Trust                                                      | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        137158 | PA      | $91285.31      | 0.00%             | 2032-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-2449593.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                         | Elevance Health Inc                                                             | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       4000000 | PA      | $3437477.76    | 0.01%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37222 | PA      | $34698.12      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      27967000 | PA      | $23820599.72   | 0.09%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GDBU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          1949 | PA      | $1977.50       | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                    | Mars Inc                                                                        | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       4880000 | PA      | $4370693.77    | 0.02%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Trust 2013-GC16                                          | CUSIP: 36248GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4302000 | PA      | $4192409.99    | 0.02%             | 2046-11-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Rackspace Technology Global Inc                                             | Rackspace Technology Global Inc                                                 | CUSIP: 75009XAB6<br>LEI: 549300QTYCKLMFSE8I97 | Long             | LON              | CORP              | US        |       7054103 | PA      | $4444472.68    | 0.02%             | 2028-02-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73700000 | PA      | $74894040.97   | 0.28%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE WEEK 5                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -211 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36290TEV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        332380 | PA      | $349809.68     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MRW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        549911 | PA      | $491865.47     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36209T6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19386 | PA      | $19950.13      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        340000 | PA      | $313878.48     | 0.00%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84872 | PA      | $84854.54      | 0.00%             | 2050-01-20      | Fixed         | 5.00%                 | 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        |      15750000 | PA      | $11972287.37   | 0.05%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          2039 | NC      | $-21109869.40  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| MDC HOLDINGS INC                                                            | MDC Holdings Inc                                                                | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |        540000 | PA      | $440655.42     | 0.00%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1299399 | PA      | $220836.50     | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3492 | PA      | $3519.54       | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      11010000 | PA      | $10917132.85   | 0.04%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29825941 | PA      | $4069227.76    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        491451 | PA      | $432007.28     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378UGA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1010331 | PA      | $22485.01      | 0.00%             | 2042-11-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140K8Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1023314 | PA      | $939790.93     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       9920000 | PA      | $9297916.11    | 0.04%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       3720000 | PA      | $3284982.46    | 0.01%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375GB83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1541939 | PA      | $147185.65     | 0.00%             | 2042-08-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1725946 | PA      | $1619847.23    | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       5360000 | PA      | $4333292.00    | 0.02%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22020955 | PA      | $1279364.65    | 0.00%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A3RZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        275261 | PA      | $277078.25     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      22720000 | PA      | $19441923.64   | 0.07%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| ICON Luxembourg Sarl                                                        | ICON Luxembourg Sarl                                                            | CUSIP: 000000000<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |      21567490 | PA      | $21529854.37   | 0.08%             | 2028-07-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26150691 | PA      | $20885201.95   | 0.08%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3073287 | PA      | $2940930.38    | 0.01%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                 | Legacy Mortgage Asset Trust 2020-GS5                                            | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3151427 | PA      | $3105042.91    | 0.01%             | 2060-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15003608 | PA      | $14455724.72   | 0.05%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Finco I LLC                                                                 | FinCo I LLC                                                                     | CUSIP: 31774BAE4<br>LEI: 5493001RSEZ0X6VJMC68 | Long             | LON              | CORP              | US        |       1226214 | PA      | $1223915.17    | 0.00%             | 2025-06-27      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10508579 | PA      | $9108612.05    | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200STX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4958 | PA      | $5101.96       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31388EF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22394 | PA      | $22819.50      | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5764128 | PA      | $5523301.85    | 0.02%             | 2070-07-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Series 2015-2R                                                             | CUSIP: 12649QBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2366244 | PA      | $2362523.93    | 0.01%             | 2036-08-27      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FG4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        127575 | PA      | $26687.26      | 0.00%             | 2039-01-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GUU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        280877 | PA      | $273480.68     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9VA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        837580 | PA      | $875994.41     | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EAE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1916393 | PA      | $1842158.32    | 0.01%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BB7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       3460000 | PA      | $3036397.01    | 0.01%             | 2042-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7355497 | PA      | $212982.09     | 0.00%             | 2058-07-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FG4J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107019 | PA      | $24238.95      | 0.00%             | 2039-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      10510000 | PA      | $9292540.94    | 0.04%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31383SAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1386 | PA      | $1384.87       | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       6460000 | PA      | $6484729.66    | 0.02%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAK7<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |        830000 | PA      | $811154.85     | 0.00%             | 2028-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13310 | PA      | $13815.40      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        379357 | PA      | $3362.16       | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1988848 | PA      | $1702393.27    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7041219 | PA      | $6919421.00    | 0.03%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHVK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8798000 | PA      | $8622751.58    | 0.03%             | 2032-11-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28049 | PA      | $29650.76      | 0.00%             | 2040-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23383870 | PA      | $3621983.73    | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A5YC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2697895 | PA      | $2677017.51    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        997579 | PA      | $932803.60     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18136176 | PA      | $14808435.26   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202VS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11847 | PA      | $12160.92      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WRXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        284635 | PA      | $277140.29     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       1400000 | PA      | $1150805.92    | 0.00%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | Banco Santander SA                                                              | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |       6200000 | PA      | $6200914.87    | 0.02%             | 2023-04-12      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      10920000 | PA      | $10506069.43   | 0.04%             | 2026-01-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                 | Lennar Corp                                                                     | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       4650000 | PA      | $4590257.40    | 0.02%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        254534 | PA      | $214860.50     | 0.00%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       2385000 | PA      | $2185194.88    | 0.01%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                                                  | Applebee's Funding LLC / IHOP Funding LLC                                       | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      23789700 | PA      | $23450320.90   | 0.09%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                  | Pfizer Inc                                                                      | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |          5000 | PA      | $6071.47       | 0.00%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       1140000 | PA      | $755820.49     | 0.00%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412XYU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13663 | PA      | $14180.39      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200FPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58839 | PA      | $60521.79      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1473627 | PA      | $1553829.73    | 0.01%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                                            | UFC Holdings LLC                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |      26071906 | PA      | $25778597.47   | 0.10%             | 2026-04-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     501900000 | PA      | $435060375.94  | 1.64%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSRPM Mortgage Loan Trust                                                   | GSRPM Mortgage Loan Trust 2007-1                                                | CUSIP: 362707AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4542041 | PA      | $3845008.87    | 0.01%             | 2046-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           624 | PA      | $645.63        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7371215 | PA      | $6662458.19    | 0.03%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2179073 | PA      | $2125423.29    | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31407HJM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           912 | PA      | $950.35        | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317700000 | PA      | $288667055.39  | 1.09%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                                           | Magenta Buyer LLC                                                               | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      45356000 | PA      | $39048794.64   | 0.15%             | 2028-07-27      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L6G99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10075859 | PA      | $8242322.86    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      10070000 | PA      | $7865163.43    | 0.03%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Alterra Mountain Company                                                    | Alterra Mountain Co                                                             | CUSIP: 46124CAJ6<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |      14468299 | PA      | $14328173.15   | 0.05%             | 2028-08-17      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       5520000 | PA      | $4727962.80    | 0.02%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -19500000 | PA      | $-19777079.01  | -0.07%            | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16299000 | PA      | $15400784.11   | 0.06%             | 2032-10-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                         | Spectrum Brands Inc                                                             | CUSIP: 84762LAU9<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |        387000 | PA      | $383195.50     | 0.00%             | 2025-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4700000 | PA      | $4478338.79    | 0.02%             | 2032-08-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       4249000 | PA      | $4664658.13    | 0.02%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       4248000 | PA      | $3980646.00    | 0.02%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -118700000 | PA      | $-102892342.35 | -0.39%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36195R7E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3148091 | PA      | $3046559.58    | 0.01%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                                              | ML-CFC Commercial Mortgage Trust 2007-9                                         | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        145942 | PA      | $143479.94     | 0.00%             | 2049-09-12      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 91911KAN2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |        590000 | PA      | $502430.22     | 0.00%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31415WQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2296 | PA      | $2312.48       | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22984159 | PA      | $22332323.73   | 0.08%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                                                    | WEA Finance LLC / Westfield UK & Europe Finance PLC                             | CUSIP: 92890HAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      23980000 | PA      | $22679058.38   | 0.09%             | 2024-09-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         16051 | NC      | $-12317904.53  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8151215 | PA      | $6724515.67    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9581690 | PA      | $8056854.04    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -35500000 | PA      | $-36003039.26  | -0.14%            | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDH4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      33050000 | PA      | $29745689.75   | 0.11%             | 2026-06-24      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     174780000 | PA      | $8997092.20    | 0.03%             | 2024-12-05      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38377LAC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21112086 | PA      | $21218233.40   | 0.08%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31416WT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         77293 | PA      | $76694.97      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | 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        |      18970000 | PA      | $16285635.16   | 0.06%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      47110000 | PA      | $45102141.65   | 0.17%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                            | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      15851000 | PA      | $14506045.03   | 0.05%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225BPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14743 | PA      | $15691.79      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      27790000 | PA      | $21882222.00   | 0.08%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     214870000 | PA      | $147148180.15  | 0.55%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       4650000 | PA      | $3964621.39    | 0.01%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2949133 | PA      | $2457187.55    | 0.01%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2464562 | PA      | $2332184.17    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      19660000 | PA      | $15650475.51   | 0.06%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        822523 | PA      | $816940.77     | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       3120000 | PA      | $3006249.79    | 0.01%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                       | Vale Overseas Ltd                                                               | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |       6600000 | PA      | $6847194.02    | 0.03%             | 2026-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 75513EBX8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       6150000 | PA      | $5926712.81    | 0.02%             | 2024-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      12076000 | PA      | $12306659.09   | 0.05%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31389CLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5657 | PA      | $5649.69       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $-2315088.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -47793 | NC      | $61060908.95   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | Eurex 30 Year Euro BUXL                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -732 | NC      | $19632354.43   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SPECTRUM BRANDS INC                                                         | Spectrum Brands Inc                                                             | CUSIP: 84762LAV7<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |        950000 | PA      | $823703.45     | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      12960000 | PA      | $11606352.11   | 0.04%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9PU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        254858 | PA      | $274158.80     | 0.00%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $-12996972.19  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       7370000 | PA      | $6081225.27    | 0.02%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       3370000 | PA      | $2665916.21    | 0.01%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE CANADA                                                     | Glencore Finance Canada Ltd                                                     | CUSIP: 98417EAN0<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |       2120000 | PA      | $2005038.91    | 0.01%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 31397KL90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1000315 | PA      | $72315.20      | 0.00%             | 2037-09-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       4160000 | PA      | $3781612.02    | 0.01%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VFH Parent LLC                                                              | VFH Parent LLC                                                                  | CUSIP: 000000000<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |      13350000 | PA      | $13036275.00   | 0.05%             | 2029-01-13      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412XG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           725 | PA      | $751.96        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     517580000 | PA      | $278735028.11  | 1.05%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617GQY49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        569256 | PA      | $543471.31     | 0.00%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       1789000 | PA      | $1620618.41    | 0.01%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1290946 | PA      | $1173806.42    | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                                    | Telefonica Emisiones SA                                                         | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |       6160000 | PA      | $4972098.33    | 0.02%             | 2047-03-08      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                       | Lehman Mortgage Trust 2006-7                                                    | CUSIP: 52520QBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5335625 | PA      | $919041.14     | 0.00%             | 2036-11-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9FB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |             0 | PA      | $0.01          | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                                                    | WEA Finance LLC / Westfield UK & Europe Finance PLC                             | CUSIP: 92890HAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        600000 | PA      | $417018.64     | 0.00%             | 2044-09-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSEMC 2020-1OTF A                                                           | CSEMC 2020-1OTF A                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      59819900 | PA      | $58482924.86   | 0.22%             | 2024-08-09      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FHWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1958081 | PA      | $1752781.34    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                 | Lennar Corp                                                                     | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       6200000 | PA      | $5987617.76    | 0.02%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                    | Visa Inc                                                                        | CUSIP: 92826CAM4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |       9790000 | PA      | $8295361.09    | 0.03%             | 2030-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M8GU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        641446 | PA      | $599759.63     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           211 | NC      | $178031.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EMKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1266588 | PA      | $1292606.50    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      46530000 | PA      | $44079510.11   | 0.17%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                      | Philip Morris International Inc                                                 | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       8220000 | PA      | $8119125.89    | 0.03%             | 2023-05-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FKCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4167109 | PA      | $3731604.50    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Back                                              | Ownit Mortgage Loan Trust Series 2004-1                                         | CUSIP: 691215AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1272396 | PA      | $1243452.21    | 0.00%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36180JBV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1143698 | PA      | $1097321.42    | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       3060000 | PA      | $2593732.50    | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -95400000 | PA      | $-95963251.14  | -0.36%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5866405 | PA      | $5234319.69    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                              | Alternative Loan Trust 2006-43CB                                                | CUSIP: 02149FBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10555150 | PA      | $1313366.72    | 0.00%             | 2037-02-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        402218 | PA      | $386318.65     | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | 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        |       6700000 | PA      | $4315029.81    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                              | Wynn Macau Ltd                                                                  | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      21370000 | PA      | $18299024.15   | 0.07%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2013-CCRE12 Mortgage Trust                                                 | CUSIP: 12591KAK1<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |        730000 | PA      | $500480.55     | 0.00%             | 2046-10-10      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55169593 | PA      | $46570561.38   | 0.18%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756BZ2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      14440000 | PA      | $13865970.43   | 0.05%             | 2028-01-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                            | Bank of Montreal                                                                | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       3780000 | PA      | $3334461.72    | 0.01%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       5920000 | PA      | $5190190.39    | 0.02%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11808371 | PA      | $10967577.99   | 0.04%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                         | Sprint Capital Corp                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |        635000 | PA      | $660523.83     | 0.00%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36195JJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        116348 | PA      | $107060.25     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295616672 | PA      | $6884557.56    | 0.03%             | 2032-08-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        266202 | PA      | $261185.57     | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                                    | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      14175914 | PA      | $14124906.47   | 0.05%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                      | AthenaHealth Group Inc                                                          | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |       6400183 | PA      | $5794469.41    | 0.02%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | CBOT 30 Day Federal Funds                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -13641 | NC      | $-310128.14    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        664032 | PA      | $633964.19     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JBDV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1920698 | PA      | $1863508.38    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6114326 | PA      | $5700067.77    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                | Barclays PLC                                                                    | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      65350000 | PA      | $60326320.70   | 0.23%             | 2030-06-20      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967DR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |        133000 | PA      | $133754.18     | 0.00%             | 2036-08-25      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                        | Colombia Government International Bond                                          | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      23030000 | PA      | $14481825.01   | 0.05%             | 2042-02-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       3770000 | PA      | $3554320.41    | 0.01%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EK3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        860204 | PA      | $833656.57     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      41130000 | PA      | $40466402.00   | 0.15%             | 2024-06-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 42307TAH1<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        290000 | PA      | $320061.43     | 0.00%             | 2039-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31387NR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2512 | PA      | $2581.31       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312941FV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          7694 | PA      | $7806.73       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      54120000 | PA      | $38669374.29   | 0.15%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                                     | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |      12990000 | PA      | $12112622.41   | 0.05%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412ACJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        338621 | PA      | $350277.07     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225BPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           505 | PA      | $519.62        | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |       3721000 | PA      | $3172933.91    | 0.01%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      25680000 | PA      | $22878624.53   | 0.09%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12177302 | PA      | $364790.56     | 0.00%             | 2027-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      25651000 | PA      | $17230811.20   | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                    | New York Life Global Funding                                                    | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |      10670000 | PA      | $9671298.56    | 0.04%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      15430000 | PA      | $15213677.42   | 0.06%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       4965000 | PA      | $3792732.27    | 0.01%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      35480000 | PA      | $28774156.17   | 0.11%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | Mexico Government International Bond                                            | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |       9190000 | PA      | $7766510.26    | 0.03%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3896304 | PA      | $3637386.97    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31396L4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1824887 | PA      | $120947.86     | 0.00%             | 2036-12-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        645586 | PA      | $639667.98     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31413AGT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22932 | PA      | $23167.49      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                         | Carrier Global Corp                                                             | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |        840000 | PA      | $602797.36     | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9661616 | PA      | $8273797.12    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VanEck J. P. Morgan EM Local Currency Bond ETF                              | VanEck J. P. Morgan EM Local Currency Bond ETF                                  | CUSIP: 92189H300<br>LEI: 549300CNWPR88MZBEA63 | Long             | EC               | RF                | US        |       2000000 | NS      | $48460000.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4907622 | PA      | $3976817.59    | 0.01%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2015-DC1 Mortgage Trust                                                    | CUSIP: 12629NAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3070000 | PA      | $2646906.72    | 0.01%             | 2048-02-10      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                    | OCP SA                                                                          | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      14510000 | PA      | $14204448.42   | 0.05%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFF1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      13890000 | PA      | $13721721.54   | 0.05%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A3MG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1595964 | PA      | $1656390.40    | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12206765 | PA      | $10052791.99   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      13470000 | PA      | $7548764.46    | 0.03%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                        | Colombia Government International Bond                                          | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      18820000 | PA      | $13747019.88   | 0.05%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      20974000 | PA      | $10079849.78   | 0.04%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                    | Mars Inc                                                                        | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       9380000 | PA      | $8937241.39    | 0.03%             | 2025-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       8310000 | PA      | $7194165.61    | 0.03%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       5040000 | PA      | $4852272.45    | 0.02%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F8ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27872027 | PA      | $1289407.36    | 0.00%             | 2030-12-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                  | NOK/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-204147.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |      -1400000 | PA      | $-1421095.98   | -0.01%            | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       9300000 | PA      | $8552481.72    | 0.03%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       7500000 | PA      | $6931132.20    | 0.03%             | 2026-01-08      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       7640000 | PA      | $6905926.34    | 0.03%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20227 | PA      | $20762.51      | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PCI Gaming Authority                                                        | PCI Gaming Authority                                                            | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |      11357770 | PA      | $11310464.68   | 0.04%             | 2026-05-29      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NAV1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      92550000 | PA      | $92116928.01   | 0.35%             | 2025-01-27      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448EQ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       1580000 | PA      | $1505273.19    | 0.01%             | 2025-03-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                      | Reperforming Loan REMIC Trust 2006-R2                                           | CUSIP: 125435AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7133393 | PA      | $250363.53     | 0.00%             | 2036-07-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31296UYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6953 | PA      | $7009.26       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273RBB4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       3892000 | PA      | $3958197.32    | 0.01%             | 2024-02-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      12570000 | PA      | $11759386.59   | 0.04%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       7890000 | PA      | $6900861.31    | 0.03%             | 2030-04-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14375430 | PA      | $11882339.37   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3222365 | PA      | $2899130.35    | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AARL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3930054 | PA      | $409619.69     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9205291 | PA      | $8648595.41    | 0.03%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS APACHE CORP                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |             1 | NC      | $-944154.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                            | Freddie Mac Strips                                                              | CUSIP: 31352DC24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        528533 | PA      | $20686.97      | 0.00%             | 2038-02-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      12207000 | PA      | $12129063.55   | 0.05%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       2920000 | PA      | $2754789.03    | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       3096000 | PA      | $2241926.67    | 0.01%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21373597 | PA      | $18303439.16   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AM5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      15332000 | PA      | $12076544.33   | 0.05%             | 2050-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                                              | Renaissance Home Equity Loan Trust 2003-4                                       | CUSIP: 759950BR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3957811 | PA      | $3539306.41    | 0.01%             | 2034-03-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31384VQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4903 | PA      | $4976.44       | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |        600000 | PA      | $552201.05     | 0.00%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       1686000 | PA      | $1117603.49    | 0.00%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 3650281000000 | PA      | $228149890.03  | 0.86%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -9366 | NC      | $244049.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JASZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        169939 | PA      | $164879.50     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13164361 | PA      | $12375522.58   | 0.05%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7412080 | PA      | $6346768.72    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95400000 | PA      | $95963251.14   | 0.36%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       3247000 | PA      | $2314047.41    | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WLWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        164779 | PA      | $162091.33     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                          | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      12800000 | PA      | $11843616.00   | 0.04%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200NTU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1721 | PA      | $1817.12       | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      29327000 | PA      | $28771778.89   | 0.11%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       9610000 | PA      | $7730284.00    | 0.03%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                                                 | United States Treasury Strip Principal                                          | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     152060000 | PA      | $53653070.89   | 0.20%             | 2049-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201TMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25068 | PA      | $25732.27      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                    | Lloyds Banking Group PLC                                                        | CUSIP: 539439AT6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |        200000 | PA      | $188547.52     | 0.00%             | 2028-08-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9731221 | PA      | $8410394.68    | 0.03%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291QUS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2200787 | PA      | $2132423.20    | 0.01%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                                           | Republic of Kenya Government International Bond                                 | CUSIP: 491798AG9<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |       6600000 | PA      | $5806086.00    | 0.02%             | 2028-02-28      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |             1 | NC      | $55790216.63   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                            | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      39905000 | PA      | $28345976.44   | 0.11%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      20450000 | PA      | $17306569.35   | 0.07%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7175883 | PA      | $6135798.00    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6502505 | PA      | $5803428.26    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WDW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1586453 | PA      | $1570449.59    | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         44028 | PA      | $44624.81      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Setanta Aircraft Leasing DAC                                                | Setanta Aircraft Leasing DAC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |      35690000 | PA      | $35582930.00   | 0.13%             | 2028-11-05      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        402674 | PA      | $399943.43     | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                    | Constellation Brands Inc                                                        | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      10970000 | PA      | $10700026.22   | 0.04%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QG5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4023283 | PA      | $3422153.00    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B7QQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        235255 | PA      | $9516.69       | 0.00%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      67950000 | PA      | $69502549.46   | 0.26%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                           | Clarios Global LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | CA        |      14413363 | PA      | $14173164.31   | 0.05%             | 2026-04-30      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13761234 | PA      | $12120924.62   | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corp II                                                  | CUSIP: 36255TAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |     127297327 | PA      | $107229361.53  | 0.40%             | 2031-09-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                           | Johnson & Johnson                                                               | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |       3700000 | PA      | $2560420.72    | 0.01%             | 2040-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      45320000 | PA      | $45013763.70   | 0.17%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                    | Lloyds Banking Group PLC                                                        | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |       2261000 | PA      | $2036990.18    | 0.01%             | 2028-11-07      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                                    | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       6040000 | PA      | $4972899.49    | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Bonos del Tesoro                                                      | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      70110000 | PA      | $128712.32     | 0.00%             | 2023-10-17      | Fixed         | 16.00%                | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       2140000 | PA      | $1964446.88    | 0.01%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21103910 | PA      | $18375735.07   | 0.07%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       5610000 | PA      | $4022387.73    | 0.02%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | Southwestern Energy Co                                                          | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       3790000 | PA      | $3463847.76    | 0.01%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                                              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4              | CUSIP: 16678RET0<br>LEI: 5493000HGUJLFEQO2209 | Long             | ABS-MBS          | CORP              | US        |        205691 | PA      | $178984.65     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16031083 | PA      | $13893496.69   | 0.05%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -73700000 | PA      | $-74894040.97  | -0.28%            | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36292CK52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3228 | PA      | $3314.16       | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-206255.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -14600000 | PA      | $-14055215.31  | -0.05%            | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      10428000 | PA      | $9825034.27    | 0.04%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                                        | BANK 2020-BNK29                                                                 | CUSIP: 06541TBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2500000 | PA      | $1783891.00    | 0.01%             | 2053-11-15      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312929VG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3737 | PA      | $3746.99       | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201LK45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        160483 | PA      | $166734.58     | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      23185000 | PA      | $23700982.18   | 0.09%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       7880000 | PA      | $4964952.31    | 0.02%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      21862000 | PA      | $18309425.00   | 0.07%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1009412 | PA      | $915803.60     | 0.00%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        169461 | PA      | $168311.64     | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MJ7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        396961 | PA      | $380843.99     | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F9CW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6781330 | PA      | $1017316.14    | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A5GT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1250408 | PA      | $1233045.25    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20000000 | PA      | $16735212.00   | 0.06%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213UPE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5709 | PA      | $5875.21       | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31890515 | PA      | $27190798.12   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                      | Philip Morris International Inc                                                 | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       3085000 | PA      | $2615242.98    | 0.01%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5160109 | PA      | $5450667.05    | 0.02%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                      | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      15070000 | PA      | $14791599.83   | 0.06%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                                                      | Credit Agricole SA/London                                                       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      11750000 | PA      | $10720884.24   | 0.04%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      13677000 | PA      | $11635022.81   | 0.04%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                                        | FS Rialto 2022-FL6 Issuer LLC                                                   | CUSIP: 30328DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      10000000 | PA      | $9926475.45    | 0.04%             | 2037-08-17      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| THE VANGUARD GROUP INC                                                      | THE VANGUARD GROUP INC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      21230000 | PA      | $13713710.20   | 0.05%             | 2050-08-22      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48229505 | PA      | $44793790.88   | 0.17%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                         | Abbott Laboratories                                                             | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      10150000 | PA      | $9953072.44    | 0.04%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31390FC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           728 | PA      | $728.66        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      18350000 | PA      | $17746869.08   | 0.07%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           239 | PA      | $242.91        | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200DQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1982 | PA      | $2035.02       | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       7230000 | PA      | $6667279.48    | 0.03%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                                                 | United States Treasury Strip Principal                                          | CUSIP: 912803BD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       6080000 | PA      | $5603641.79    | 0.02%             | 2024-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      14080000 | PA      | $13871253.58   | 0.05%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                                 | Swedbank AB                                                                     | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |      17500000 | PA      | $17188672.38   | 0.06%             | 2023-06-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31126458 | PA      | $25665626.59   | 0.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       7960000 | PA      | $7277335.04    | 0.03%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       6900000 | PA      | $6273881.79    | 0.02%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AR4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6094305 | PA      | $5008991.40    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LWXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        358444 | PA      | $344268.43     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBJ4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       6530000 | PA      | $6276726.90    | 0.02%             | 2050-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      11330000 | PA      | $10862383.14   | 0.04%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ALB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        137637 | PA      | $135471.40     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31382LDQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13874 | PA      | $14231.39      | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                            | Freddie Mac Strips                                                              | CUSIP: 31283BCC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        249105 | PA      | $11847.35      | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16109892 | PA      | $13774858.08   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34303069 | PA      | $28168824.36   | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | 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        |       1520000 | PA      | $1280964.80    | 0.00%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                       | Northrop Grumman Corp                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      29720000 | PA      | $27461380.75   | 0.10%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                                     | Procter & Gamble Co/The                                                         | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |       6070000 | PA      | $5560461.26    | 0.02%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31411YGF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12211 | PA      | $12672.71      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBL8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |        130000 | PA      | $128297.25     | 0.00%             | 2024-11-14      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221300000 | PA      | $213016473.23  | 0.80%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138NXKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1319161 | PA      | $1179911.01    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBN0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       3940000 | PA      | $3804221.53    | 0.01%             | 2025-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       6000000 | PA      | $4547659.98    | 0.02%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      40390000 | PA      | $33975320.79   | 0.13%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0UB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      10790000 | PA      | $10898213.99   | 0.04%             | 2030-07-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                              | Wells Fargo Commercial Mortgage Trust 2022-JS2                                  | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10000000 | PA      | $6020865.00    | 0.02%             | 2039-12-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVM3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       5100000 | PA      | $5037862.67    | 0.02%             | 2024-03-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411BF1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |         10000 | PA      | $8866.82       | 0.00%             | 2030-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12168427 | PA      | $10517598.68   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378D2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        905703 | PA      | $92264.99      | 0.00%             | 2042-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43200000 | PA      | $38504789.42   | 0.15%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-RPL1 Trust                                                            | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13342155 | PA      | $12648128.30   | 0.05%             | 2060-09-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2644256 | PA      | $2599789.40    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38377YTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58739 | PA      | $9.45          | 0.00%             | 2026-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135CB0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      10000000 | PA      | $7172003.90    | 0.03%             | 2051-05-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A6Q56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        110419 | PA      | $97066.93      | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       3720000 | PA      | $3504929.76    | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2345504 | PA      | $228163.87     | 0.00%             | 2041-12-15      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $44978529.33   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           942 | NC      | $794812.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJNU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          1164 | PA      | $1180.70       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      10095000 | PA      | $9995490.46    | 0.04%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                 | PRKCM 2021-AFC1 Trust                                                           | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27667009 | PA      | $21956234.08   | 0.08%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                            | Peruvian Government International Bond                                          | CUSIP: 715638AU6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       2330000 | PA      | $2463447.09    | 0.01%             | 2037-03-14      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202SD96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22190 | PA      | $22801.60      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31394UEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1229379 | PA      | $52388.50      | 0.00%             | 2035-10-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        919000 | PA      | $876475.69     | 0.00%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       6620000 | PA      | $5997866.30    | 0.02%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      24093000 | PA      | $22861895.65   | 0.09%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53956 | PA      | $48647.56      | 0.00%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHVG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3535000 | PA      | $3522484.65    | 0.01%             | 2032-11-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     436420000 | PA      | $242664864.53  | 0.91%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123700000 | PA      | $123980958.57  | 0.47%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132LME44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        348028 | PA      | $334272.76     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      13760000 | PA      | $11290019.87   | 0.04%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36210XV53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2769 | PA      | $2842.25       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                            | Coca-Cola Co/The                                                                | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       6290000 | PA      | $4196528.80    | 0.02%             | 2050-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ARAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6243748 | PA      | $5131832.75    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       4610000 | PA      | $4382084.14    | 0.02%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        197490 | PA      | $200229.33     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     139180000 | PA      | $123316707.58  | 0.46%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66890819 | PA      | $7405174.88    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      27920000 | PA      | $24171025.81   | 0.09%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                  | 3M Co                                                                           | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |      10110000 | PA      | $8596143.26    | 0.03%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1200493 | PA      | $1133511.98    | 0.00%             | 2032-06-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MLCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        399359 | PA      | $383399.48     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                               | New Residential Mortgage Loan Trust 2022-NQM4                                   | CUSIP: 64831UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15070154 | PA      | $14739747.16   | 0.06%             | 2062-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M7SP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1720676 | PA      | $1528603.70    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           210 | NC      | $383906.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      40850000 | PA      | $40291309.26   | 0.15%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3G50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        659936 | PA      | $541085.27     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A1F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6459 | PA      | $6601.79       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      15489000 | PA      | $13622751.15   | 0.05%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8811373 | PA      | $7542219.18    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       2195000 | PA      | $2708686.89    | 0.01%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68900000 | PA      | $64642449.90   | 0.24%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      10480000 | PA      | $8310146.29    | 0.03%             | 2032-11-08      | Fixed         | 2.54%                 | 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        |      16149058 | PA      | $15960937.56   | 0.06%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                       | Quikrete Holdings Inc                                                           | CUSIP: 74839XAG4<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |      16616500 | PA      | $16508742.00   | 0.06%             | 2028-06-09      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2569434 | PA      | $80057.40      | 0.00%             | 2067-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201YCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79246 | PA      | $81563.64      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        535784 | PA      | $547374.20     | 0.00%             | 2035-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32100000 | PA      | $31635638.51   | 0.12%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        800839 | PA      | $748177.12     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EFBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         69832 | PA      | $67128.60      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | Petroleos Mexicanos                                                             | CUSIP: 71654QBE1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       3860000 | PA      | $2274698.00    | 0.01%             | 2044-06-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                         | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |       9280000 | PA      | $7943276.41    | 0.03%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                        | Charter Communications Operating LLC                                            | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |      11158008 | PA      | $10912531.98   | 0.04%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3055997 | PA      | $3029901.94    | 0.01%             | 2060-12-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13560833 | PA      | $7923319.26    | 0.03%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201V3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11036 | PA      | $11416.26      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2019-1                                                | Redwood Funding Trust 2019-1                                                    | CUSIP: 75806BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27597831 | PA      | $27428104.60   | 0.10%             | 2024-09-27      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29328225 | PA      | $1907188.08    | 0.01%             | 2062-10-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                    | Mars Inc                                                                        | CUSIP: 571676AN5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       6740000 | PA      | $4592261.93    | 0.02%             | 2040-07-16      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2709976 | PA      | $2862086.70    | 0.01%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291NXP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         23392 | PA      | $24186.78      | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1083014 | PA      | $1074320.84    | 0.00%             | 2061-02-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      59000000 | PA      | $51540474.83   | 0.19%             | N/A             | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31415XJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3440 | PA      | $3508.37       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3971086 | PA      | $3410852.98    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      16733000 | PA      | $14248469.43   | 0.05%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412X4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15988 | PA      | $16661.57      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291S6H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4706 | PA      | $4830.66       | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2DH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1869053 | PA      | $1957608.58    | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAL5<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |       2985000 | PA      | $2931681.60    | 0.01%             | 2024-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          9065 | PA      | $9276.79       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE II                                                       | Fresenius Medical Care US Finance II Inc                                        | CUSIP: 35802XAJ2<br>LEI: 5493008GJ5TVVTY4UM62 | Long             | DBT              | CORP              | US        |        780000 | PA      | $765915.98     | 0.00%             | 2024-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36241LL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31531 | PA      | $31748.44      | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A65Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2091913 | PA      | $128244.95     | 0.00%             | 2042-03-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136AC7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1176930 | PA      | $1101014.73    | 0.00%             | 2043-02-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                           | General Motors Co                                                               | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       3640000 | PA      | $3381004.83    | 0.01%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      14090000 | PA      | $12395828.69   | 0.05%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3548948 | PA      | $2746363.36    | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                      | CVS Pass-Through Trust                                                          | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       6202467 | PA      | $6111618.76    | 0.02%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131WJ2A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          7050 | PA      | $7205.90       | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202EZH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2732 | PA      | $2887.77       | 0.00%             | 2039-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      14360000 | PA      | $11750961.47   | 0.04%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58503520 | PA      | $52400435.96   | 0.20%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMG83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        568307 | PA      | $545834.31     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       8320000 | PA      | $6474346.36    | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                                              | Renaissance Home Equity Loan Trust 2006-1                                       | CUSIP: 759950GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13383554 | PA      | $6838419.15    | 0.03%             | 2036-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3380000 | PA      | $3151117.22    | 0.01%             | 2032-07-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448EP9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       4750000 | PA      | $3417474.24    | 0.01%             | 2049-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3162854 | PA      | $3039634.25    | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34129982 | PA      | $4623458.95    | 0.02%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43107717 | PA      | $998085.92     | 0.00%             | 2027-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9UJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        219957 | PA      | $221442.38     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      15860000 | PA      | $12573143.62   | 0.05%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                        | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |       7740000 | PA      | $7183239.04    | 0.03%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4664000 | PA      | $4369278.99    | 0.02%             | 2032-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | CSC Holdings LLC                                                                | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       2720000 | PA      | $1778255.16    | 0.01%             | 2031-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage                                               | Waterfall Commercial Mortgage Trust 2015-SBC5                                   | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2569518 | PA      | $2520710.75    | 0.01%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25621578 | PA      | $20911895.34   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        739750 | PA      | $645175.27     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380RRS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21151892 | PA      | $16469095.83   | 0.06%             | 2063-06-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4FT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6769939 | PA      | $5570708.98    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                               | CommScope Inc                                                                   | CUSIP: 20338QAD5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |       2935000 | PA      | $2714728.25    | 0.01%             | 2026-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371NGG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6365 | PA      | $6606.87       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      30943000 | PA      | $27930245.64   | 0.11%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                                                    | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |       9740000 | PA      | $8816158.47    | 0.03%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8559039 | PA      | $1280819.10    | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -636 | NC      | $-69562.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43137919 | PA      | $802917.46     | 0.00%             | 2026-10-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W95X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        497855 | PA      | $489539.54     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                                          | TSE Japanese 10 Year Bond s                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          -407 | NC      | $7997823.83    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8850000 | PA      | $8857159.56    | 0.03%             | 2032-11-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4172999 | PA      | $3693959.88    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291Q4J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4608 | PA      | $4729.78       | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | 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        |     623100000 | PA      | $527755144.69  | 1.99%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      15845000 | PA      | $14328633.50   | 0.05%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202SYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9648 | PA      | $10236.48      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Trans Union LLC                                                             | Trans Union LLC                                                                 | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |      20000000 | PA      | $19751800.00   | 0.07%             | 2026-11-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2543809 | PA      | $2239995.38    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10985000 | PA      | $9596945.29    | 0.04%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397WW9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       1190000 | PA      | $1135551.55    | 0.00%             | 2024-09-08      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      27645000 | PA      | $25956271.72   | 0.10%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10234 | PA      | $9853.56       | 0.00%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -97700000 | PA      | $-92464251.14  | -0.35%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137APW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1760646 | PA      | $134571.67     | 0.00%             | 2039-08-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412XXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2687 | PA      | $2788.85       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39113701 | PA      | $36991347.84   | 0.14%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      27550000 | PA      | $28410799.75   | 0.11%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       6450000 | PA      | $5705950.25    | 0.02%             | 2025-09-11      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12668788 | PA      | $1454891.17    | 0.01%             | 2046-02-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      52150000 | PA      | $47130632.90   | 0.18%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBQ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       6633000 | PA      | $5353842.20    | 0.02%             | 2048-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       2000000 | PA      | $1603239.36    | 0.01%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523CM0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      10000000 | PA      | $8208545.40    | 0.03%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36208V4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4167 | PA      | $4287.84       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United AirLines Inc                                                         | United Airlines Inc                                                             | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |      27211100 | PA      | $26944703.33   | 0.10%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2937000 | PA      | $2799990.42    | 0.01%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36294PZF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           737 | PA      | $757.09        | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO                                               | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |      41500000 | PA      | $35040528.12   | 0.13%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120400000 | PA      | $118639470.26  | 0.45%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10645247 | PA      | $10467418.38   | 0.04%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201X5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68815 | PA      | $70720.97      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      59973058 | PA      | $16324045.05   | 0.06%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8460886 | PA      | $7678665.13    | 0.03%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Eagle Holdings Inc                                                    | First Eagle Holdings Inc                                                        | CUSIP: 05554JAH0<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |      10405116 | PA      | $10167099.21   | 0.04%             | 2027-02-01      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           731 | PA      | $731.40        | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412YBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6936 | PA      | $7150.83       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       8380000 | PA      | $7962586.08    | 0.03%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5754138 | PA      | $5675266.39    | 0.02%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                                              | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 86359BWB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           460 | PA      | $442.00        | 0.00%             | 2034-07-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                     | XPO Inc                                                                         | CUSIP: 983793AH3<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |       1161000 | PA      | $1176787.48    | 0.00%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                      | Anglo American Capital PLC                                                      | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |       9785000 | PA      | $9472719.36    | 0.04%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31388FSE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3982 | PA      | $3973.44       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202EPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        826938 | PA      | $876693.78     | 0.00%             | 2037-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       7130000 | PA      | $6711897.44    | 0.03%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS                                                              | ConocoPhillips                                                                  | CUSIP: 20825CAQ7<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | DBT              | CORP              | US        |         40000 | PA      | $45014.01      | 0.00%             | 2039-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       9310000 | PA      | $7439394.77    | 0.03%             | 2046-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371LCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4825 | PA      | $4796.32       | 0.00%             | 2023-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                                        | Wingstop Funding LLC                                                            | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3890700 | PA      | $3303579.36    | 0.01%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      65810000 | PA      | $62242370.80   | 0.23%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       1710000 | PA      | $1617171.59    | 0.01%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      10000000 | PA      | $7843188.20    | 0.03%             | 2032-04-19      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| II-VI Incorporated                                                          | Coherent Corp                                                                   | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |      20337386 | PA      | $20174686.62   | 0.08%             | 2029-07-02      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                                              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP2             | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         46068 | PA      | $24034.34      | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| DBCG Mortgage Trust                                                         | DBCG 2017-BBG Mortgage Trust                                                    | CUSIP: 233062AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20260000 | PA      | $19917962.58   | 0.08%             | 2034-06-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51139 | PA      | $51833.32      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      12373000 | PA      | $10503206.59   | 0.04%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WCTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6112871 | PA      | $5860967.40    | 0.02%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      12183000 | PA      | $12507779.29   | 0.05%             | 2030-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1929974 | PA      | $1897519.39    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WXV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3293456 | PA      | $3166336.58    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31387EKT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2550 | PA      | $2595.45       | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201FVV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3436 | PA      | $3536.32       | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                                                    | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        950625 | PA      | $939870.53     | 0.00%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Allspring Buyer LLC                                                         | Allspring Buyer LLC                                                             | CUSIP: 98922AAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      17591838 | PA      | $17385134.27   | 0.07%             | 2028-11-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                                       | Phoenix Guarantor Inc                                                           | CUSIP: 71913BAE2<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |      20760358 | PA      | $19514736.66   | 0.07%             | 2026-03-05      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X5QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4486625 | PA      | $4411728.53    | 0.02%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                | Alphabet Inc                                                                    | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       4870000 | PA      | $2868238.66    | 0.01%             | 2050-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      11500000 | PA      | $11140756.79   | 0.04%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      16715000 | PA      | $16382830.33   | 0.06%             | 2026-02-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36208CHE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           273 | PA      | $280.46        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       4230000 | PA      | $4263712.93    | 0.02%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O                                              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |      48520000 | PA      | $45667480.09   | 0.17%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                          | Credit Agricole SA                                                              | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |       8590000 | PA      | $7498309.18    | 0.03%             | 2033-01-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VBK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        128106 | PA      | $128340.46     | 0.00%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $24880942.39   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       5149404 | PA      | $1379821.01    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200DMM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        105197 | PA      | $108126.19     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31383JXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16032 | PA      | $16445.82      | 0.00%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2920412 | PA      | $2794451.65    | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BF4Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2449725 | PA      | $98516.68      | 0.00%             | 2041-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2021-RPL2Trust                                                             | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13410071 | PA      | $11240235.87   | 0.04%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                                                  | Sunrun Atlas Issuer 2019-2 LLC                                                  | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2389331 | PA      | $2107515.48    | 0.01%             | 2055-02-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FFZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10053806 | PA      | $1161233.70    | 0.00%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291X2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11390 | PA      | $11692.41      | 0.00%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213QXQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6567 | PA      | $6758.57       | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9140 | PA      | $9569.63       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1059882 | PA      | $950516.64     | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -147000000 | PA      | $-119647564.47 | -0.45%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                               | Citigroup Commercial Mortgage Trust 2017-P7                                     | CUSIP: 17325HBS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9194000 | PA      | $8100480.35    | 0.03%             | 2050-04-14      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNBT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         90329 | PA      | $88902.65      | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33812694 | PA      | $32986265.00   | 0.12%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                       | Costco Wholesale Corp                                                           | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      24175000 | PA      | $21211162.89   | 0.08%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      16404000 | PA      | $14197948.09   | 0.05%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27462871 | PA      | $23611646.22   | 0.09%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          2291 | NC      | $715937.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                                              | GreenPoint Mortgage Funding Trust 2006-AR3                                      | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         67881 | PA      | $77806.69      | 0.00%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7331232 | PA      | $7323767.48    | 0.03%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4183601 | PA      | $3582658.25    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15239 | PA      | $15445.48      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      12520000 | PA      | $11274348.89   | 0.04%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EAF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1091534 | PA      | $1049262.17    | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36180JBN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1524223 | PA      | $1459605.48    | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4201716 | PA      | $3908389.43    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B1TH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2610913 | PA      | $2140710.55    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131WHVU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           236 | PA      | $241.24        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Global Medical Response Inc                                                 | Global Medical Response Inc                                                     | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | LON              | CORP              | US        |      15426293 | PA      | $10904537.77   | 0.04%             | 2025-10-02      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA6                                         | CUSIP: 35564KH44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5000000 | PA      | $5105905.00    | 0.02%             | 2042-09-25      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        699088 | PA      | $708804.39     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Transdigm Inc                                                               | TransDigm Inc                                                                   | CUSIP: 89364MBR4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |       1813332 | PA      | $1794745.47    | 0.01%             | 2025-12-09      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GXX1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |         38627 | PA      | $30984.94      | 0.00%             | 2035-08-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $16764108.30   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       8460000 | PA      | $7591115.70    | 0.03%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | CSC Holdings LLC                                                                | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |        760000 | PA      | $613950.80     | 0.00%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC                                                               | CME Group Inc                                                                   | CUSIP: 12572QAF2<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | DBT              | CORP              | US        |       4500000 | PA      | $4686361.83    | 0.02%             | 2043-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BX1<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      19298000 | PA      | $18964107.74   | 0.07%             | 2024-02-06      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31398PFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        958360 | PA      | $92693.82      | 0.00%             | 2040-04-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       1860000 | PA      | $1195793.05    | 0.00%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36205GAG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53160 | PA      | $54644.44      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                                                    | Principal Life Global Funding II                                                | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |       5400000 | PA      | $4916075.17    | 0.02%             | 2025-06-23      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | Banco Santander SA                                                              | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |       8600000 | PA      | $8555035.24    | 0.03%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                        | Colombia Government International Bond                                          | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      10000000 | PA      | $6848358.50    | 0.03%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         50679 | PA      | $51044.29      | 0.00%             | 2031-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                    | JP MORGAN MORTGAGE TRUST 2018-5                                                 | CUSIP: 46649KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7229493 | PA      | $6367380.09    | 0.02%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AATF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1218093 | PA      | $136115.97     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       1170000 | PA      | $992706.18     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FNN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        868288 | PA      | $778624.17     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        282242 | PA      | $284910.59     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20551026 | PA      | $923787.13     | 0.00%             | 2029-10-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201ATP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7522 | PA      | $7721.02       | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      19090000 | PA      | $18754720.99   | 0.07%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                            | Altice France SA/France                                                         | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       7043000 | PA      | $5383070.55    | 0.02%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291NZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           595 | PA      | $611.07        | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                              | Halliburton Co                                                                  | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |        326000 | PA      | $317440.06     | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       3035000 | PA      | $3585326.87    | 0.01%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QAZ3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       7160000 | PA      | $6831272.51    | 0.03%             | 2027-04-14      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24135 | PA      | $24110.65      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -866 | NC      | $-3243768.13   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      10910000 | PA      | $8599873.94    | 0.03%             | 2031-08-08      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291XRL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        105251 | PA      | $106855.41     | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131X1DH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11184 | PA      | $11091.79      | 0.00%             | 2024-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           106 | NC      | $89437.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TIME WARNER CABLE LLC                                                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       4570000 | PA      | $4367408.70    | 0.02%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4C23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17855 | PA      | $17737.04      | 0.00%             | 2024-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $119060138.06  | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FLZK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        502690 | PA      | $449218.15     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201F5J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27738 | PA      | $28547.95      | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                              | Alternative Loan Trust 2006-6CB                                                 | CUSIP: 12668BRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2875943 | PA      | $2375332.27    | 0.01%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47182408 | PA      | $38516537.75   | 0.15%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                        | Targa Resources Corp                                                            | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |       5220000 | PA      | $4153227.28    | 0.02%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                         | Cheniere Energy Inc                                                             | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |       8500000 | PA      | $7699234.98    | 0.03%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1744174 | PA      | $1577916.76    | 0.01%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan 2020-3 Ltd                                               | Loanpal Solar Loan Ltd                                                          | CUSIP: 53948NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20857034 | PA      | $15898916.71   | 0.06%             | 2047-12-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | Mexico Government International Bond                                            | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      24680000 | PA      | $19138614.65   | 0.07%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                                              | GMACM Home Equity Loan Trust 2004-HE3                                           | CUSIP: 361856DG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1079276 | PA      | $1076782.61    | 0.00%             | 2034-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B5QY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52229907 | PA      | $1438174.00    | 0.01%             | 2029-06-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131WJYU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2033 | PA      | $2052.67       | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      27937000 | PA      | $26916945.54   | 0.10%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13209410 | PA      | $11904263.49   | 0.04%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       8140000 | PA      | $7605916.94    | 0.03%             | 2043-11-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617AD7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1986232 | PA      | $1917463.25    | 0.01%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1321476 | PA      | $1299360.37    | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                    | Visa Inc                                                                        | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      26130000 | PA      | $25220373.68   | 0.10%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MLBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1580067 | PA      | $1515923.75    | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                        | Lockheed Martin Corp                                                            | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       2420000 | PA      | $2318811.74    | 0.01%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FG4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        167721 | PA      | $26164.67      | 0.00%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      13210000 | PA      | $10774901.63   | 0.04%             | 2030-05-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                                                    | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |       5265000 | PA      | $4481462.70    | 0.02%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      17782662 | PA      | $17315866.72   | 0.07%             | 2024-11-03      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      15410000 | PA      | $16589973.44   | 0.06%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      11275000 | PA      | $9028838.70    | 0.03%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9NM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        745811 | PA      | $680157.81     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        712303 | PA      | $705720.14     | 0.00%             | 2058-08-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LHFT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        270273 | PA      | $253228.38     | 0.00%             | 2029-02-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31368HYU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           652 | PA      | $662.79        | 0.00%             | 2024-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       1720000 | PA      | $1170422.45    | 0.00%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170812 | PA      | $170637.67     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378ES38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        271068 | PA      | $5485.66       | 0.00%             | 2027-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103411529 | PA      | $84540657.35   | 0.32%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FG4Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        696507 | PA      | $142596.08     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                                              | RAMP Series 2004-SL4 Trust                                                      | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        361982 | PA      | $158548.91     | 0.00%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         79489 | PA      | $71883.81      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | 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        |      10450000 | PA      | $8598258.75    | 0.03%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       1550000 | PA      | $1142155.35    | 0.00%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAP6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       6442000 | PA      | $6322700.99    | 0.02%             | 2026-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DANONE SA                                                                   | Danone SA                                                                       | CUSIP: 23636TAE0<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |       6540000 | PA      | $6087189.69    | 0.02%             | 2026-11-02      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Trinity Rail Leasing L.P.                                                   | Trinity Rail Leasing 2020 LLC                                                   | CUSIP: 89656YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      22553000 | PA      | $19077616.53   | 0.07%             | 2050-11-19      | Fixed         | 2.56%                 | 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        |       6040000 | PA      | $4408521.47    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       3000000 | PA      | $2982630.12    | 0.01%             | 2040-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                                                     | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        830000 | PA      | $718804.90     | 0.00%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                    | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       2120000 | PA      | $1423559.86    | 0.01%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      10560000 | PA      | $8451625.25    | 0.03%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      34600000 | PA      | $36966394.69   | 0.14%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      42385000 | PA      | $37094292.38   | 0.14%             | 2030-02-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        661132 | PA      | $598417.36     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A76M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        370178 | PA      | $10922.25      | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                                                      | Teck Resources Ltd                                                              | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |        641000 | PA      | $614375.89     | 0.00%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27754501 | PA      | $21778501.76   | 0.08%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6P39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20325940 | PA      | $18879424.18   | 0.07%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $28471390.62   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WWKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2014221 | PA      | $1952058.42    | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3098389 | PA      | $2680721.68    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    7332630000 | PA      | $26844882.71   | 0.10%             | 2030-04-10      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -131100000 | PA      | $-126192768.37 | -0.48%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381XEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4232921 | PA      | $3794814.95    | 0.01%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        415387 | PA      | $420179.93     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                                              | Residential Asset Securitization Trust 2004-A2                                  | CUSIP: 45660NB46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          4283 | PA      | $4135.50       | 0.00%             | 2034-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                              | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      20400000 | PA      | $13729812.41   | 0.05%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                       | DB Master Finance LLC                                                           | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |      41490900 | PA      | $32087232.31   | 0.12%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291LMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90632 | PA      | $93166.91      | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           235 | NC      | $308437.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18231758 | PA      | $1920128.63    | 0.01%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       4790000 | PA      | $4546269.86    | 0.02%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1522599 | PA      | $1414068.13    | 0.01%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2946567 | PA      | $3150277.59    | 0.01%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225BEQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           921 | PA      | $968.52        | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5685446 | PA      | $5084959.50    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25577923 | PA      | $3369494.95    | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291LJ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22507 | PA      | $23118.58      | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne                                              | Oak Street Investment Grade Net Lease Fund Series 2020-1                        | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5782012 | PA      | $5138585.83    | 0.02%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LFY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1380000 | PA      | $1283530.87    | 0.00%             | 2032-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1433584 | PA      | $1332818.02    | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7122811 | PA      | $6986184.99    | 0.03%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      35640000 | PA      | $35121401.29   | 0.13%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                                              | PMT Credit Risk Transfer Trust 2021-1R                                          | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17561628 | PA      | $16839848.99   | 0.06%             | 2024-02-27      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B2DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1137079 | PA      | $81880.84      | 0.00%             | 2042-09-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16552750 | PA      | $2662945.24    | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        254902 | PA      | $265775.26     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                            | Coca-Cola Co/The                                                                | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      15310000 | PA      | $13538928.02   | 0.05%             | 2027-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CH6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       9455000 | PA      | $8862596.98    | 0.03%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       6895000 | PA      | $6640511.07    | 0.03%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      10830000 | PA      | $10373708.92   | 0.04%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W1VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40955 | PA      | $36631.67      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7838841 | PA      | $7318117.73    | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      10000000 | PA      | $7304901.60    | 0.03%             | 2041-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           286 | NC      | $372722.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2761603 | PA      | $2389309.78    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                                     | Walt Disney Co/The                                                              | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |       5240000 | PA      | $5958494.08    | 0.02%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GUX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        298476 | PA      | $286602.71     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      10310000 | PA      | $9652549.03    | 0.04%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31398NY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5518389 | PA      | $5391669.29    | 0.02%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                                              | RAMP Series 2003-RS7 Trust                                                      | CUSIP: 760985YC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        634745 | PA      | $616691.71     | 0.00%             | 2033-08-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LXVA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151943 | PA      | $146373.23     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Grifols Worldwide Operations USA Inc                                        | Grifols Worldwide Operations USA Inc                                            | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      35072086 | PA      | $33990813.26   | 0.13%             | 2027-11-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5840000 | PA      | $5461054.02    | 0.02%             | 2032-08-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6412829 | PA      | $5684539.64    | 0.02%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      22730000 | PA      | $19758455.96   | 0.07%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -14400000 | PA      | $-14268750.77  | -0.05%            | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |        680000 | PA      | $614322.59     | 0.00%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                              | Option One Mortgage Loan Trust 2007-FXD2                                        | CUSIP: 68403BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21673442 | PA      | $18924328.66   | 0.07%             | 2037-03-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8587222 | PA      | $7065993.76    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       1160000 | PA      | $1081961.59    | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3397776 | PA      | $3198872.69    | 0.01%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10563729 | PA      | $9457537.68    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REQ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |       5000000 | PA      | $4242281.50    | 0.02%             | 2026-08-20      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      18090000 | PA      | $12147317.05   | 0.05%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HJX9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |         20000 | PA      | $19665.42      | 0.00%             | 2024-05-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                       | Vale Overseas Ltd                                                               | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |       6581000 | PA      | $6958670.43    | 0.03%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS                                                              | ConocoPhillips                                                                  | CUSIP: 20825CAF1<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | DBT              | CORP              | US        |         10000 | PA      | $10703.60      | 0.00%             | 2032-10-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       6330000 | PA      | $5343849.30    | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus                                              | SunTrust Alternative Loan Trust 2006-1F                                         | CUSIP: 86800RAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15511058 | PA      | $4293980.56    | 0.02%             | 2036-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |        900000 | PA      | $861762.79     | 0.00%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291QZB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           425 | PA      | $436.69        | 0.00%             | 2035-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1931531 | PA      | $1792880.10    | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4CZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6744 | PA      | $6669.22       | 0.00%             | 2023-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8089730 | PA      | $111220.04     | 0.00%             | 2047-11-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JASY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        285823 | PA      | $275734.26     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36209YUL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3144 | PA      | $3155.47       | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9911133 | PA      | $9205325.94    | 0.03%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                         | Elevance Health Inc                                                             | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       5815000 | PA      | $5493132.54    | 0.02%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      23325000 | PA      | $17235804.19   | 0.06%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WX4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258768 | PA      | $249225.62     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                                              | Countrywide Asset-Backed Certificates                                           | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         38345 | PA      | $28435.84      | 0.00%             | 2036-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3780287 | PA      | $3276556.29    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                         | Gilead Sciences Inc                                                             | CUSIP: 375558AZ6<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       5000000 | PA      | $4845236.30    | 0.02%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                                              | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-477709.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B5PC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11714657 | PA      | $534854.93     | 0.00%             | 2034-06-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WNG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1192217 | PA      | $1106385.84    | 0.00%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WUH30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        490065 | PA      | $474941.18     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MUN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3556575 | PA      | $3612222.58    | 0.01%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5907193 | PA      | $5388181.82    | 0.02%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      15000000 | PA      | $14044715.25   | 0.05%             | 2031-03-24      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      20000000 | PA      | $16446417.80   | 0.06%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                               | UBS Commercial Mortgage Trust 2017-C3                                           | CUSIP: 90276GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6000000 | PA      | $5541408.00    | 0.02%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        154384 | PA      | $139189.58     | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KSGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        382619 | PA      | $367498.25     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31416YWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2033051 | PA      | $2061263.31    | 0.01%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      49746000 | PA      | $47626426.41   | 0.18%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      41290000 | PA      | $34057116.33   | 0.13%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27087 | PA      | $27380.45      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36211SC54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9889 | PA      | $10151.54      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      18320000 | PA      | $16523724.00   | 0.06%             | N/A             | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       1441000 | PA      | $1470886.34    | 0.01%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $15606103.92   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2020-DNA5                                         | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17633383 | PA      | $17778200.71   | 0.07%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M33W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        612741 | PA      | $541953.66     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      40950000 | PA      | $38078467.25   | 0.14%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AL4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       8060000 | PA      | $7686228.22    | 0.03%             | 2028-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $-13058865.93  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      24160000 | PA      | $23604472.69   | 0.09%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       3295000 | PA      | $3132972.96    | 0.01%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A8FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        430163 | PA      | $19086.24      | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EDLX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        499887 | PA      | $480524.86     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        548511 | PA      | $491865.63     | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ANV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         74514 | PA      | $67386.00      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3154878 | PA      | $2619456.86    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       5140000 | PA      | $4040082.87    | 0.02%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                   | TRS TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |             1 | NC      | $-21156900.59  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3129337A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          7651 | PA      | $7649.58       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12916118 | PA      | $11120042.53   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1200000 | PA      | $1166225.76    | 0.00%             | 2032-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLI LLC                                                      | J.G. Wentworth XLI LLC                                                          | CUSIP: 46651TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6502498 | PA      | $5399728.71    | 0.02%             | 2072-10-17      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5376729 | PA      | $4595941.95    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       1170000 | PA      | $1167199.37    | 0.00%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      18940000 | PA      | $18637153.00   | 0.07%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      20000000 | PA      | $18693753.40   | 0.07%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MFF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2643716 | PA      | $2541304.95    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      10890000 | PA      | $10142755.64   | 0.04%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                             | Israel Government International Bond                                            | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      14340000 | PA      | $13060513.50   | 0.05%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CTR PARTNERSHIP/CARETRST                                                    | CTR Partnership LP / CareTrust Capital Corp                                     | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       3294000 | PA      | $2797055.89    | 0.01%             | 2028-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -1165 | NC      | $-91015.65     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |       3130000 | PA      | $2512075.40    | 0.01%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       3050000 | PA      | $2992226.02    | 0.01%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | Hanesbrands Inc                                                                 | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |       4810000 | PA      | $4306493.72    | 0.02%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412W2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        234074 | PA      | $242934.83     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                           | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       5450000 | PA      | $5166561.47    | 0.02%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |        550000 | PA      | $484286.00     | 0.00%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      18680000 | PA      | $17197208.50   | 0.06%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       8540000 | PA      | $8046688.52    | 0.03%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                            | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      15802000 | PA      | $14734550.09   | 0.06%             | 2027-07-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| BIG Commercial Mortgage Trust                                               | BIG Commercial Mortgage Trust 2022-BIG                                          | CUSIP: 05551UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13160000 | PA      | $12299241.25   | 0.05%             | 2039-02-15      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FES60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        284845 | PA      | $54291.03      | 0.00%             | 2040-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         10323 | NC      | $1354893.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36290VXH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2423 | PA      | $2487.43       | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18038945 | PA      | $2463149.36    | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HBH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2801403 | PA      | $2685541.43    | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       1706000 | PA      | $1491153.32    | 0.01%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       8290000 | PA      | $7151929.98    | 0.03%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17412619 | PA      | $14272413.40   | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11838863 | PA      | $9741808.37    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| XPO Logistics Inc                                                           | XPO Inc                                                                         | CUSIP: 98379EAE6<br>LEI: 54930096DB9LCLPN7H13 | Long             | LON              | CORP              | US        |      17030000 | PA      | $16975418.85   | 0.06%             | 2025-02-24      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |        367000 | PA      | $326108.99     | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      22515000 | PA      | $18959607.72   | 0.07%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        451719 | PA      | $405208.49     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        148232 | PA      | $147064.09     | 0.00%             | 2051-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                                           | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       2988000 | PA      | $2795001.05    | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                    | Lloyds Banking Group PLC                                                        | CUSIP: 539439AU3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |       1000000 | PA      | $967207.12     | 0.00%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292K2L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6891 | PA      | $6991.96       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36203RZW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           255 | PA      | $254.83        | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        721856 | PA      | $691822.64     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ARQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2574701 | PA      | $2265293.93    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                      | CVS Pass-Through Trust                                                          | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       1600150 | PA      | $1629927.45    | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AN6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2713975 | PA      | $2750787.33    | 0.01%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3865066 | PA      | $3800089.36    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                               | UBS Commercial Mortgage Trust 2017-C1                                           | CUSIP: 90276EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5440000 | PA      | $5008207.07    | 0.02%             | 2050-06-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                                                | Morgan Stanley Resecuritization Trust 2015-R7                                   | CUSIP: 61765PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15532907 | PA      | $14474168.73   | 0.05%             | 2029-02-26      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213CYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22545 | PA      | $23606.45      | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B57A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6085811 | PA      | $5418113.88    | 0.02%             | 2029-09-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      18789000 | PA      | $17246235.21   | 0.07%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2873332 | PA      | $2600560.46    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AL55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         60067 | PA      | $54321.34      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      12350000 | PA      | $11455202.12   | 0.04%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2020-DNA6                                         | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29211525 | PA      | $29025938.02   | 0.11%             | 2050-12-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AJ3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38807 | PA      | $37893.28      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      30080000 | PA      | $27599281.64   | 0.10%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      76385000 | PA      | $69908901.72   | 0.26%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3327661 | PA      | $2738211.35    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WUHY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        382567 | PA      | $374015.03     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                             | State of Israel                                                                 | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |       5000000 | PA      | $3932790.00    | 0.01%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      11776000 | PA      | $9350519.89    | 0.04%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                                 | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7223822 | PA      | $6901741.82    | 0.03%             | 2038-07-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371KDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5344 | PA      | $5577.87       | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    9423889000 | PA      | $34501017.36   | 0.13%             | 2028-01-19      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      10213000 | PA      | $8229990.51    | 0.03%             | 2030-06-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39956476 | PA      | $31308640.05   | 0.12%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5749615 | PA      | $4887478.65    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                                      | Conseco Finance Corp                                                            | CUSIP: 393505ND0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        231858 | PA      | $278.25        | 0.00%             | 2026-07-15      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Trust 2022-PSB                                                               | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32780748 | PA      | $32757218.45   | 0.12%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9242822 | PA      | $471731.47     | 0.00%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      12769000 | PA      | $11697563.68   | 0.04%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       8648000 | PA      | $7970958.72    | 0.03%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Shops at Crystals Trust 2016-C                                              | Shops at Crystals Trust 2016-CSTL                                               | CUSIP: 82510WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6160000 | PA      | $5357761.64    | 0.02%             | 2036-07-05      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36290VVH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16641 | PA      | $17100.24      | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2014-CCRE21 Mortgage Trust                                                 | CUSIP: 12592RBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11948000 | PA      | $10741342.80   | 0.04%             | 2047-12-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9539508 | PA      | $9471191.76    | 0.04%             | 2032-10-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617GRCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        907009 | PA      | $865923.98     | 0.00%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3180214 | PA      | $358832.76     | 0.00%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZU5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |       9750000 | PA      | $9252830.54    | 0.03%             | 2024-10-28      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312926WU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6212 | PA      | $6356.86       | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       1680000 | PA      | $1439833.74    | 0.01%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175000000 | PA      | $160812351.00  | 0.61%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                                    | Dividend Solar Loans 2018-2 LLC                                                 | CUSIP: 255387AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        402309 | PA      | $357733.37     | 0.00%             | 2038-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      10480000 | PA      | $9360946.65    | 0.04%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3803441 | PA      | $3485839.37    | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CF0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      16480000 | PA      | $13340993.42   | 0.05%             | 2045-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      16140000 | PA      | $14001635.93   | 0.05%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4128847 | PA      | $3858697.91    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       9660000 | PA      | $7914862.27    | 0.03%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3785152 | PA      | $3232810.98    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7NU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        176210 | PA      | $177478.86     | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756CB4<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      61520000 | PA      | $43298748.63   | 0.16%             | 2050-01-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378B2Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22146429 | PA      | $359551.71     | 0.00%             | 2054-01-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $50572613.18   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                    | Virgin Media Bristol LLC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      36442675 | PA      | $35899314.57   | 0.14%             | 2028-01-31      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                            | Coca-Cola Co/The                                                                | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       7590000 | PA      | $7290850.47    | 0.03%             | 2027-03-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      11864000 | PA      | $11048870.71   | 0.04%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BE1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       2476000 | PA      | $2248357.65    | 0.01%             | 2044-10-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3226673 | PA      | $3087552.59    | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M8BA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        184014 | PA      | $177022.37     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       1570000 | PA      | $1072444.71    | 0.00%             | 2060-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31411WCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2785 | PA      | $2798.10       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       4792000 | PA      | $5298873.80    | 0.02%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31283HRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         58094 | PA      | $60142.80      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2581896 | PA      | $2143726.68    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371LGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4577 | PA      | $4548.07       | 0.00%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      65050000 | PA      | $59458781.42   | 0.22%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Verscend Holding Corp                                                       | Verscend Holding Corp                                                           | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      21735704 | PA      | $21640610.61   | 0.08%             | 2025-08-27      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3938441 | PA      | $3663901.81    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         17479 | NC      | $-34476267.09  | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       4660000 | PA      | $3743792.18    | 0.01%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FHES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98261 | PA      | $87626.09      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38948 | PA      | $41160.23      | 0.00%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       1120000 | PA      | $896000.00     | 0.00%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ADR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14687 | PA      | $14886.36      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1778903 | PA      | $1456220.87    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      12042000 | PA      | $11495675.53   | 0.04%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC                                                                     | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      11784279 | PA      | $10348129.02   | 0.04%             | 2027-07-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      14340000 | PA      | $15345951.00   | 0.06%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                                       | Phoenix Guarantor Inc                                                           | CUSIP: 71913BAH5<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |       7741455 | PA      | $7303327.35    | 0.03%             | 2026-03-05      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust 2006-2                                           | CUSIP: 41161PJ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        459645 | PA      | $150166.45     | 0.00%             | 2036-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     139610800 | PA      | $92293100.71   | 0.35%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                                                    | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       2060000 | PA      | $2295179.06    | 0.01%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2109210 | PA      | $2036054.36    | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BG2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       1990000 | PA      | $1940493.22    | 0.01%             | 2025-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        831509 | PA      | $777618.79     | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38376GUU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        799799 | PA      | $8.00          | 0.00%             | 2053-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                    | JP Morgan Mortgage Trust 2018-3                                                 | CUSIP: 46649TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5914878 | PA      | $5197629.33    | 0.02%             | 2048-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                 | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       6020000 | PA      | $5635204.67    | 0.02%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7832124 | PA      | $7725491.56    | 0.03%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21940890 | PA      | $19774370.74   | 0.07%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19360047 | PA      | $16714465.19   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $7614652.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                      | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      13490000 | PA      | $12739158.34   | 0.05%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                                              | Morgan Stanley Mortgage Loan Trust 2004-5AR                                     | CUSIP: 61748HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          8349 | PA      | $7625.58       | 0.00%             | 2034-07-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                          | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          1887 | NC      | $-12590675.13  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412XC44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16044 | PA      | $16650.77      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCDZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2601132 | PA      | $2285934.46    | 0.01%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4912272 | PA      | $4107061.36    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                                      | Mondelez International Inc                                                      | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |      22350000 | PA      | $20701537.53   | 0.08%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10854261 | PA      | $9875854.77    | 0.04%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       8610000 | PA      | $8259036.17    | 0.03%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                                        | Range Resources Corp                                                            | CUSIP: 75281AAS8<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |       5160000 | PA      | $4909910.64    | 0.02%             | 2025-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XA5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2452507 | PA      | $2351486.90    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15928947 | PA      | $14924288.57   | 0.06%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312932LK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3403 | PA      | $3462.93       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       9010000 | PA      | $5725944.11    | 0.02%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      24800000 | PA      | $23042873.87   | 0.09%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      27030000 | PA      | $23582342.42   | 0.09%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6JM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2070 | PA      | $2114.87       | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -106600000 | PA      | $-97957694.95  | -0.37%            | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 1675317000000 | PA      | $110449133.69  | 0.42%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       6465000 | PA      | $5149079.70    | 0.02%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -47000000 | PA      | $-46312750.02  | -0.17%            | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust 2006-13                                          | CUSIP: 41162KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         98279 | PA      | $69588.85      | 0.00%             | 2046-11-19      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3092581 | PA      | $2774091.15    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        630651 | PA      | $605711.32     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8189367 | PA      | $7317404.40    | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3321366 | PA      | $2745341.05    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10741917 | PA      | $9587179.68    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       3542000 | PA      | $3540577.46    | 0.01%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           477 | NC      | $62606.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       6469000 | PA      | $5231818.50    | 0.02%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5291891 | PA      | $4943587.31    | 0.02%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                                      | Conseco Finance Corp                                                            | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7407735 | PA      | $6490746.73    | 0.02%             | 2031-02-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | Mexico Government International Bond                                            | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      31650000 | PA      | $23899811.64   | 0.09%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DM2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11899592 | PA      | $10158931.89   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2692089 | PA      | $2407633.48    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                        | Lockheed Martin Corp                                                            | CUSIP: 539830BH1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       6559000 | PA      | $6378963.91    | 0.02%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BB9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       4322000 | PA      | $4155497.50    | 0.02%             | 2025-02-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      21210000 | PA      | $19280121.61   | 0.07%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LYKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        166421 | PA      | $159750.64     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1689675 | PA      | $1628963.52    | 0.01%             | 2070-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                 | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |       5493000 | PA      | $5319228.95    | 0.02%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | Sprint LLC                                                                      | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |        930000 | PA      | $945052.98     | 0.00%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X83T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6360485 | PA      | $5418948.82    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       2190000 | PA      | $2101852.48    | 0.01%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       1842000 | PA      | $1732460.15    | 0.01%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                             | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       7790000 | PA      | $6591374.98    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         10220 | NC      | $3704750.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5937251 | PA      | $5832725.09    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                      | Anglo American Capital PLC                                                      | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      13125000 | PA      | $12386939.12   | 0.05%             | 2027-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20634545 | PA      | $1088699.22    | 0.00%             | 2067-07-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WRJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        355973 | PA      | $344993.55     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582BY7<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |        690000 | PA      | $543603.38     | 0.00%             | 2046-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA FINANCE X DAC 2019-1                                               | Credit Suisse European Mortgage Capital Ltd                                     | CUSIP: 55960WAB7<br>LEI: 213800FNSN9L4EI3LC40 | Long             | ABS-O            | CORP              | IE        |      55286100 | PA      | $54101545.55   | 0.20%             | 2024-08-09      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       1260000 | PA      | $1145055.09    | 0.00%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       1595000 | PA      | $1488594.95    | 0.01%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                                          | Cold Storage Trust 2020-ICE5                                                    | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112444286 | PA      | $109477859.46  | 0.41%             | 2037-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371JWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           544 | PA      | $565.26        | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      22460000 | PA      | $18803854.29   | 0.07%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                  | US Bancorp                                                                      | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      30910000 | PA      | $28687290.96   | 0.11%             | 2025-05-12      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -846 | NC      | $-171843.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5736446 | PA      | $4945713.21    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 31329NAK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        896319 | PA      | $859357.05     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     309130000 | PA      | $1131730.17    | 0.00%             | 2034-05-10      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       8490000 | PA      | $7174752.72    | 0.03%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                              | Halliburton Co                                                                  | CUSIP: 406216BK6<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |       6490000 | PA      | $5777604.32    | 0.02%             | 2045-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22398359 | PA      | $21501183.81   | 0.08%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN CO LLC                                                       | Teva Pharmaceutical Finance Co LLC                                              | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |       2420000 | PA      | $2133947.97    | 0.01%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45482867 | PA      | $43111419.83   | 0.16%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    2696040000 | PA      | $9870248.14    | 0.04%             | 2027-02-03      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                                              | Freddie Mac Multiclass Certificates Series 2020-RR07                            | CUSIP: 3137FRVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34072000 | PA      | $3885669.69    | 0.01%             | 2028-09-27      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NAK5<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      17865000 | PA      | $17267436.29   | 0.07%             | 2044-03-17      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FG4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        243086 | PA      | $48879.22      | 0.00%             | 2039-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                       | Level 3 Financing Inc                                                           | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |      17119495 | PA      | $16448496.50   | 0.06%             | 2027-03-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $13476342.03   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                                                   | Sunrun Demeter Issuer 2021-2 LLC                                                | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      27593044 | PA      | $21591336.16   | 0.08%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        244000 | PA      | $226108.04     | 0.00%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31407PQJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        238363 | PA      | $242344.83     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410F2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3729 | PA      | $3870.72       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | Indonesia Government International Bond                                         | CUSIP: 455780CE4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      11090000 | PA      | $9608753.17    | 0.04%             | 2048-01-11      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2251032 | PA      | $2144396.74    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      15341000 | PA      | $13852583.96   | 0.05%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                        | Paraguay Government International Bond                                          | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |      11240000 | PA      | $9908909.97    | 0.04%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1581501 | PA      | $1484734.67    | 0.01%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJSP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        787814 | PA      | $718457.82     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KVHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9072717 | PA      | $7465593.69    | 0.03%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                      | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |       8130000 | PA      | $7561329.67    | 0.03%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8220 | PA      | $7903.39       | 0.00%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32240429 | PA      | $29694476.11   | 0.11%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                        | FREMF 2019-K103 Mortgage Trust                                                  | CUSIP: 30315DAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     686807963 | PA      | $3607218.44    | 0.01%             | 2051-12-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 913017DD8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      14150000 | PA      | $13837867.27   | 0.05%             | 2025-08-16      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NAF8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |         60000 | PA      | $63100.44      | 0.00%             | 2035-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                    | NIKE Inc                                                                        | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       6300000 | PA      | $5144535.08    | 0.02%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2242247 | PA      | $2151196.71    | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128K03Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          1984 | PA      | $1983.54       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       6529000 | PA      | $5549064.35    | 0.02%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PARSLEY ENERGY LLC/FINAN                                                    | Parsley Energy LLC / Parsley Finance Corp                                       | CUSIP: 701885AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       2070000 | PA      | $1905200.34    | 0.01%             | 2028-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Commscope Inc                                                               | CommScope Inc                                                                   | CUSIP: 20337EAQ4<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | LON              | CORP              | US        |       1935000 | PA      | $1829058.75    | 0.01%             | 2026-04-06      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                    | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAA1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      15350000 | PA      | $14990338.29   | 0.06%             | 2024-11-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6588601 | PA      | $1111763.89    | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                                    | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |        610000 | PA      | $457086.53     | 0.00%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      25080000 | PA      | $22844602.80   | 0.09%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Seattle SpinCo Inc                                                          | Seattle SpinCo Inc                                                              | CUSIP: 81271EAB7<br>LEI: 213800AAQDP1DDU8BK05 | Long             | LON              | CORP              | US        |       1308946 | PA      | $1308945.98    | 0.00%             | 2024-06-21      | Floating      | 7.13%                 | No            |                  3 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       2000000 | PA      | $1704663.50    | 0.01%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MQGP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         54146 | PA      | $52014.13      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -2117 | NC      | $-2745484.38   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36203N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           713 | PA      | $713.26        | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379RV34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4869140 | PA      | $162578.63     | 0.00%             | 2059-02-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5692925 | PA      | $5190417.88    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       2460000 | PA      | $2432322.37    | 0.01%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       1635000 | PA      | $1432189.50    | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           210 | NC      | $150937.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF NIGERIA                                                         | Nigeria Government International Bond                                           | CUSIP: 65412JAC7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |       8130000 | PA      | $6585056.10    | 0.02%             | 2027-11-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MCV76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        430385 | PA      | $413721.57     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417EQW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        226953 | PA      | $205564.38     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2018-R07                                    | CUSIP: 20753QAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8100000 | PA      | $8243825.22    | 0.03%             | 2031-04-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                                              | WFRBS Commercial Mortgage Trust 2014-C19                                        | CUSIP: 92938VAT2<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |        270000 | PA      | $258372.40     | 0.00%             | 2047-03-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           229 | NC      | $-947968.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      13120000 | PA      | $12267775.31   | 0.05%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3PL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         94934 | PA      | $77917.80      | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hunter Douglas Holding BV                                                   | Hunter Douglas Inc                                                              | CUSIP: 000000000<br>LEI: 529900811T142NS3H544 | Long             | LON              | CORP              | US        |      46099193 | PA      | $40793636.76   | 0.15%             | 2029-02-26      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      11759000 | PA      | $11822455.68   | 0.04%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M92R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4854187 | PA      | $4659298.80    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      15860000 | PA      | $14767855.34   | 0.06%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22658923 | PA      | $18623592.14   | 0.07%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                          | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      29539000 | PA      | $27626507.49   | 0.10%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31385XLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        340867 | PA      | $348408.13     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MKQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1050368 | PA      | $1017963.88    | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X75N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        146162 | PA      | $143720.87     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      18310000 | PA      | $17944693.89   | 0.07%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                                                | DP World Ltd/United Arab Emirates                                               | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |      27030000 | PA      | $25449393.72   | 0.10%             | 2048-09-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213UWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5513 | PA      | $5662.74       | 0.00%             | 2031-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ADXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        237776 | PA      | $7194.69       | 0.00%             | 2032-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      11800000 | PA      | $9983514.73    | 0.04%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      25023000 | PA      | $24305964.93   | 0.09%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       5700000 | PA      | $5202710.40    | 0.02%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-8089606.15   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNCZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        138860 | PA      | $136695.15     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5174766 | PA      | $4422431.13    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QC6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7501859 | PA      | $7320866.93    | 0.03%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                         | Gilead Sciences Inc                                                             | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       1560000 | PA      | $1505790.86    | 0.01%             | 2026-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |       5370000 | PA      | $5029873.38    | 0.02%             | 2025-12-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BCN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        259163 | PA      | $259217.23     | 0.00%             | 2060-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2919009 | PA      | $2501691.80    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202V2T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7254 | PA      | $7446.17       | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                      | Anglo American Capital PLC                                                      | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |       3400000 | PA      | $3291948.95    | 0.01%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22006241 | PA      | $20438747.85   | 0.08%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2242951 | PA      | $2153373.74    | 0.01%             | 2070-07-20      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       1780000 | PA      | $1718171.34    | 0.01%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      17880000 | PA      | $17871360.56   | 0.07%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       3690000 | PA      | $3576160.66    | 0.01%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FKL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        568011 | PA      | $508364.71     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4901868 | PA      | $4568258.35    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |       9050000 | PA      | $8134329.69    | 0.03%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust I LLC 2019-2                                           | CUSIP: 03463WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7000000 | PA      | $6715992.50    | 0.03%             | 2049-03-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      11776000 | PA      | $9833260.88    | 0.04%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3547384 | PA      | $3316526.47    | 0.01%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200GGA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1466 | PA      | $1508.79       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      20000000 | PA      | $15997800.40   | 0.06%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WA7H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66107 | PA      | $65003.20      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                                     | Walt Disney Co/The                                                              | CUSIP: 254687DZ6<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |        260000 | PA      | $283620.13     | 0.00%             | 2034-12-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16227006 | PA      | $16090894.30   | 0.06%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | Indonesia Government International Bond                                         | CUSIP: 455780CN4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |       3160000 | PA      | $2450994.21    | 0.01%             | 2049-10-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       5570000 | PA      | $4752671.74    | 0.02%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213UJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17766 | PA      | $18294.03      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24720913 | PA      | $23709698.51   | 0.09%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25991960 | PA      | $44363.08      | 0.00%             | 2048-10-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10264170 | PA      | $9204167.26    | 0.03%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WVAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         82975 | PA      | $80789.42      | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      23420000 | PA      | $22061434.61   | 0.08%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L2QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8002185 | PA      | $6584676.07    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL                                                               | ArcelorMittal SA                                                                | CUSIP: 03938LAP9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |       3490000 | PA      | $3556390.30    | 0.01%             | 2039-10-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       9038000 | PA      | $9036870.25    | 0.03%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |       2870000 | PA      | $2872246.58    | 0.01%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136APTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1753747 | PA      | $193976.20     | 0.00%             | 2045-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160100000 | PA      | $158640763.75  | 0.60%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       8770000 | PA      | $7612350.09    | 0.03%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        905805 | PA      | $904882.35     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       1440000 | PA      | $1459891.30    | 0.01%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | Builders FirstSource Inc                                                        | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |       3190000 | PA      | $2591820.13    | 0.01%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      20000000 | PA      | $16055697.00   | 0.06%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XJ4A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        293550 | PA      | $289880.94     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4762103 | PA      | $4682579.35    | 0.02%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280AU3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      15970000 | PA      | $15377946.11   | 0.06%             | 2025-08-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      39790000 | PA      | $29079618.66   | 0.11%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5803008 | PA      | $4818159.88    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13343257 | PA      | $12392819.20   | 0.05%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                                               | Nomura Resecuritization Trust 2015-5R                                           | CUSIP: 65540XAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8676941 | PA      | $6885649.76    | 0.03%             | 2046-02-26      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       7780000 | PA      | $7462259.59    | 0.03%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       6050000 | PA      | $6006137.50    | 0.02%             | N/A             | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        255531 | PA      | $228561.32     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AAXW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1593111 | PA      | $161882.43     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       4880000 | PA      | $4749976.40    | 0.02%             | 2025-09-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Series 2015-4R                                                             | CUSIP: 12650BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37260911 | PA      | $15281955.47   | 0.06%             | 2036-10-27      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                 | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       2670000 | PA      | $2282476.07    | 0.01%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       9510000 | PA      | $6569074.15    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                 | Lennar Corp                                                                     | CUSIP: 526057CV4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |         20000 | PA      | $19482.75      | 0.00%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      67480000 | PA      | $32477786.60   | 0.12%             | 2030-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                         | Abbott Laboratories                                                             | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |       6660000 | PA      | $6620103.60    | 0.02%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                                     | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      37240000 | PA      | $35882874.22   | 0.14%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137ASRX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        623243 | PA      | $60563.44      | 0.00%             | 2042-08-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28175045 | PA      | $4533139.30    | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FECF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3563777 | PA      | $3196811.35    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                                              | GreenPoint Mortgage Funding Trust 2005-AR4                                      | CUSIP: 39538WBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1368053 | PA      | $1326467.05    | 0.01%             | 2045-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2013-CCRE12 Mortgage Trust                                                 | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |       1723000 | PA      | $1572347.26    | 0.01%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11700000 | PA      | $9851381.28    | 0.04%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EMVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        926482 | PA      | $911008.63     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47566901 | PA      | $42758780.20   | 0.16%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      10385000 | PA      | $8183011.54    | 0.03%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                 | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      32310000 | PA      | $26868486.47   | 0.10%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MN4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         59852 | PA      | $57606.47      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A35F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        203053 | PA      | $206841.85     | 0.00%             | 2039-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AKTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2610015 | PA      | $113011.57     | 0.00%             | 2044-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                                                   | Aetna Inc                                                                       | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |       2610000 | PA      | $2582996.21    | 0.01%             | 2023-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X8HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7217654 | PA      | $6626780.09    | 0.02%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $2007752.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213EMK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8061 | PA      | $8298.23       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LHPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        612953 | PA      | $581189.14     | 0.00%             | 2029-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -950 | NC      | $-192968.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       5760000 | PA      | $5360729.07    | 0.02%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                                 | Cargill Inc                                                                     | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      13510000 | PA      | $13237918.87   | 0.05%             | 2023-07-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4908643 | PA      | $5131356.44    | 0.02%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1988701 | PA      | $1903198.41    | 0.01%             | 2032-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                                     | NYMT Loan Trust 2020-SP2                                                        | CUSIP: 62955DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25934607 | PA      | $25110698.11   | 0.09%             | 2060-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15002471 | PA      | $13210833.85   | 0.05%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21559526 | PA      | $1475771.11    | 0.01%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      12410000 | PA      | $11371190.30   | 0.04%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |       3298950 | PA      | $2993462.20    | 0.01%             | 2047-11-16      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550AQ9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       1497000 | PA      | $1620987.51    | 0.01%             | 2033-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6952370 | PA      | $6667659.82    | 0.03%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4170136 | PA      | $3446852.05    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448EY0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      16050000 | PA      | $15844384.57   | 0.06%             | 2023-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions) | Prime Security Services Borrower LLC                                            | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |      21895869 | PA      | $21731650.18   | 0.08%             | 2026-09-23      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | ZAR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |             1 | NC      | $2358925.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                       | Costco Wholesale Corp                                                           | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      13630000 | PA      | $11197939.67   | 0.04%             | 2030-04-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                     | Exxon Mobil Corp                                                                | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      11540000 | PA      | $11020072.92   | 0.04%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 31395TLN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5340926 | PA      | $5356982.89    | 0.02%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       8447000 | PA      | $7391360.76    | 0.03%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        451000 | PA      | $503550.23     | 0.00%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MLV76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        316937 | PA      | $304468.49     | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                        | Colombia Government International Bond                                          | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      19220000 | PA      | $14191519.26   | 0.05%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                              | Long Beach Mortgage Loan Trust 2006-9                                           | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3113326 | PA      | $995558.99     | 0.00%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2022-CNTR                                                                  | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33000000 | PA      | $29008831.50   | 0.11%             | 2024-01-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME Japanese Yen Currency                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          7813 | NC      | $23972852.18   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      14330000 | PA      | $13866921.18   | 0.05%             | 2026-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      10530000 | PA      | $9849324.58    | 0.04%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      23430000 | PA      | $18230880.66   | 0.07%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                                              | Structured Asset Securities Corp Mortgage Loan Trust 2007-WF2                   | CUSIP: 86364LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      17510000 | PA      | $15747984.46   | 0.06%             | 2037-08-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6435390 | PA      | $591607.37     | 0.00%             | 2043-12-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2022-R08                                    | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3000000 | PA      | $2979853.80    | 0.01%             | 2042-07-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1512968 | PA      | $1243812.03    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       5450000 | PA      | $4255389.54    | 0.02%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31388UEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2681 | PA      | $2708.54       | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLFR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        608591 | PA      | $105613.18     | 0.00%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                    | OCP SA                                                                          | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      12000000 | PA      | $10094520.00   | 0.04%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141EC23<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       5410000 | PA      | $5297006.47    | 0.02%             | 2024-07-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41280583 | PA      | $40860444.54   | 0.15%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18818551 | PA      | $16135766.42   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5787588 | PA      | $5272587.71    | 0.02%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      10920000 | PA      | $9331924.27    | 0.04%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122575894 | PA      | $105539470.49  | 0.40%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5170385 | PA      | $4628840.10    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MNP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         36463 | PA      | $35307.92      | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                           | EOG Resources Inc                                                               | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      19990000 | PA      | $19135348.74   | 0.07%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                                    | Telefonica Emisiones SA                                                         | CUSIP: 87938WAW3<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |      11960000 | PA      | $9240935.74    | 0.03%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        979135 | PA      | $1000799.91    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                            | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |        975000 | PA      | $937575.47     | 0.00%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                                               | ECMC Group Student Loan Trust 2020-2                                            | CUSIP: 26829HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7152192 | PA      | $6938856.59    | 0.03%             | 2069-11-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | Petroleos Mexicanos                                                             | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      14490000 | PA      | $10545564.08   | 0.04%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                            | Coca-Cola Co/The                                                                | CUSIP: 191216CW8<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       3050000 | PA      | $2234771.94    | 0.01%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -424 | NC      | $-86125.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412MBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1202 | PA      | $1222.60       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       6250000 | PA      | $5006918.81    | 0.02%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418Q4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         62965 | PA      | $61755.53      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M84T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        173908 | PA      | $167258.81     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       9440000 | PA      | $7584618.13    | 0.03%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3879237 | PA      | $3358742.12    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6996423 | PA      | $185356.25     | 0.00%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225A3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5450 | PA      | $5608.65       | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382T4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3933676 | PA      | $443272.52     | 0.00%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9798295 | PA      | $9164450.79    | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31347AX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3191072 | PA      | $3028686.96    | 0.01%             | 2047-03-01      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                           | Chord Energy Corp                                                               | CUSIP: 674215AL2<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |       2500000 | PA      | $2438300.00    | 0.01%             | 2026-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                                              | GreenPoint Mortgage Funding Trust 2005-AR5                                      | CUSIP: 39538WEE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11137827 | PA      | $6736503.90    | 0.03%             | 2045-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       3380000 | PA      | $2597952.13    | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L7FS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        886838 | PA      | $762579.22     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      10000000 | PA      | $7903732.40    | 0.03%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       1170000 | PA      | $964082.19     | 0.00%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FF3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1123105 | PA      | $1005688.04    | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      20418000 | PA      | $19586165.58   | 0.07%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31411X6E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6329 | PA      | $6380.39       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33000000 | PA      | $34551785.40   | 0.13%             | 2042-06-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      39180000 | PA      | $37686013.71   | 0.14%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       3870000 | PA      | $3864209.63    | 0.01%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7836075 | PA      | $6768249.93    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EyeCare Partners LLC                                                        | Eyecare Partners LLC                                                            | CUSIP: 30233PAB6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |      11522900 | PA      | $9371977.55    | 0.04%             | 2027-02-18      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      14210000 | PA      | $11143577.21   | 0.04%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                  | Pfizer Inc                                                                      | CUSIP: 717081EX7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      20340000 | PA      | $18645089.97   | 0.07%             | 2025-05-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379GZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        321236 | PA      | $56525.91      | 0.00%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4723440 | PA      | $3886704.97    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        119357 | NC      | $-25212809.19  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                 | Legacy Mortgage Asset Trust 2019-GS7                                            | CUSIP: 52474MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51725076 | PA      | $51684647.96   | 0.19%             | 2059-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43725401 | PA      | $33816447.15   | 0.13%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                             | State of Israel                                                                 | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |       8320000 | PA      | $6427782.40    | 0.02%             | 2050-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6602153 | PA      | $5679303.48    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     107410000 | PA      | $100772397.12  | 0.38%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201DY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         52095 | PA      | $53476.61      | 0.00%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc                                                       | GFL Environmental Inc                                                           | CUSIP: 000000000<br>LEI: 549300FYK4MBXWIVZU26 | Long             | LON              | CORP              | CA        |       3560622 | PA      | $3566301.09    | 0.01%             | 2025-05-30      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                         | Otis Worldwide Corp                                                             | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |       6550000 | PA      | $6133847.72    | 0.02%             | 2025-04-05      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                                                            | APi Group DE Inc                                                                | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |      14863932 | PA      | $14786491.38   | 0.06%             | 2026-10-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       8740000 | PA      | $8042848.48    | 0.03%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A1AK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8207 | PA      | $8388.20       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FKPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        684833 | PA      | $613469.81     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10282672 | PA      | $10117910.41   | 0.04%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJF21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5050 | PA      | $5167.63       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380LBS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8763868 | PA      | $8654191.76    | 0.03%             | 2068-02-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3684806 | PA      | $3540366.40    | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                 | Walmart Inc                                                                     | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       8480000 | PA      | $7283230.24    | 0.03%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617AEAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1845963 | PA      | $1768919.36    | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3129296L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10987 | PA      | $11159.29      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       9511000 | PA      | $7067849.23    | 0.03%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |        825000 | PA      | $660028.88     | 0.00%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1604000 | PA      | $1565754.85    | 0.01%             | 2032-07-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4448506 | PA      | $271696.98     | 0.00%             | 2046-09-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2887410000 | PA      | $133981217.57  | 0.51%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                              | JPMBB Commercial Mortgage Securities Trust 2013-C14                             | CUSIP: 46640LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4000000 | PA      | $3873658.40    | 0.01%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H5EK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1253516 | PA      | $1211038.26    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225B7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           811 | PA      | $860.32        | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BH8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       1720000 | PA      | $1708900.29    | 0.01%             | 2041-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMEB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        315378 | PA      | $302906.01     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                            | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4183591 | PA      | $439801.67     | 0.00%             | 2044-08-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      27063000 | PA      | $21594244.28   | 0.08%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -6654 | NC      | $2274640.44    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                                              | Alternative Loan Trust 2006-OA9                                                 | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        251575 | PA      | $186888.22     | 0.00%             | 2046-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291GUQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2214 | PA      | $2273.26       | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131XUM38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2976660 | PA      | $2768437.68    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                                              | ML-CFC Commercial Mortgage Trust 2007-5                                         | CUSIP: 55312YAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        312708 | PA      | $80650.92      | 0.00%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                    | OCP SA                                                                          | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      11820000 | PA      | $9017300.70    | 0.03%             | 2051-06-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201MCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6572 | PA      | $6897.38       | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6095216 | PA      | $5145169.58    | 0.02%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                          | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      20250000 | PA      | $15222364.43   | 0.06%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617BBKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        590261 | PA      | $550234.80     | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                   | Prosus NV                                                                       | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |       3740000 | PA      | $2272579.43    | 0.01%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2398636 | PA      | $491657.83     | 0.00%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7636548 | PA      | $6566830.97    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       6530000 | PA      | $5781336.68    | 0.02%             | 2033-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335ANN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        422843 | PA      | $405866.45     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QCDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3122089 | PA      | $2917888.12    | 0.01%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1732023 | PA      | $273260.54     | 0.00%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44272550 | PA      | $38196801.56   | 0.14%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QGX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56193 | PA      | $55592.61      | 0.00%             | 2070-08-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    5316800000 | PA      | $19464894.92   | 0.07%             | 2029-05-23      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                              | Salesforce Inc                                                                  | CUSIP: 79466LAF1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |       3480000 | PA      | $3344456.16    | 0.01%             | 2028-04-11      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14929543 | PA      | $13166018.09   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      16620000 | PA      | $14607075.02   | 0.06%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201UCH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11107 | PA      | $11430.33      | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       9840000 | PA      | $9326844.00    | 0.04%             | 2025-02-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      40670000 | PA      | $28181958.05   | 0.11%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       9754000 | PA      | $8598926.15    | 0.03%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                            | COLT 2022-6 Mortgage Loan Trust                                                 | CUSIP: 12662YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28815916 | PA      | $27725882.11   | 0.10%             | 2067-06-27      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | Royal Bank of Canada                                                            | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      14190000 | PA      | $13001308.67   | 0.05%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418U3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        171643 | PA      | $173509.01     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      32510000 | PA      | $20522144.91   | 0.08%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WXVV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        451035 | PA      | $431851.01     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                    | Berkshire Hathaway Energy Co                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |        156000 | PA      | $164319.79     | 0.00%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                                                     | CIT Mortgage Loan Trust 2007-1                                                  | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108930000 | PA      | $93156304.21   | 0.35%             | 2037-10-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      13780000 | PA      | $11398045.28   | 0.04%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | AUDUSD EURO CURRENCY 9AM                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           147 | NC      | $185220.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        256541 | PA      | $246035.13     | 0.00%             | 2055-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      10350000 | PA      | $9611279.10    | 0.04%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1400000 | PA      | $1421095.98    | 0.01%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M5Y45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        347144 | PA      | $333702.65     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-577275.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       4440000 | PA      | $3476211.20    | 0.01%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                                               | GS Mortgage-Backed Securities Trust 2022-NQM1                                   | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25551366 | PA      | $22962042.07   | 0.09%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       9530000 | PA      | $7806906.53    | 0.03%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                | Barclays PLC                                                                    | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      10900000 | PA      | $10256235.54   | 0.04%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFQS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88642 | PA      | $72587.73      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       8850000 | PA      | $8487389.57    | 0.03%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                                    | EQM Midstream Partners LP                                                       | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |       1280000 | PA      | $1146819.84    | 0.00%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200MY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         12774 | PA      | $13486.49      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582BQ4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       8940000 | PA      | $7332685.00    | 0.03%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                                              | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC2                   | CUSIP: 86362YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19256792 | PA      | $15172125.77   | 0.06%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       9150000 | PA      | $7933418.38    | 0.03%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18828 | PA      | $19542.26      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WDZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3086708 | PA      | $3050220.73    | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16429514 | PA      | $12486567.00   | 0.05%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZP6<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |       4300000 | PA      | $4264675.50    | 0.02%             | 2023-04-19      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B1TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3850498 | PA      | $3301224.96    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        795746 | PA      | $724928.71     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -30622 | NC      | $35450542.38   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      19080000 | PA      | $15268822.09   | 0.06%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216360 | PA      | $221155.27     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       2750000 | PA      | $2298824.72    | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME MEXICAN PESO CURRENCY                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          2363 | NC      | $1010182.50    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AWH72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7897546 | PA      | $6479625.45    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4764110 | PA      | $4773215.47    | 0.02%             | 2070-04-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       3195000 | PA      | $3129587.81    | 0.01%             | 2024-09-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -1055 | NC      | $-107148.96    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTENERGY CORP                                                            | FirstEnergy Corp                                                                | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |       5780000 | PA      | $5119833.66    | 0.02%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      22200000 | PA      | $6317878.46    | 0.02%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       6940000 | PA      | $5043179.19    | 0.02%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves                     | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |    1263116668 | NS      | $1263116668.19 | 4.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2146240 | PA      | $2044632.56    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                                      | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |      13780000 | PA      | $12413036.54   | 0.05%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B5NJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        808893 | PA      | $747337.99     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412X2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1519 | PA      | $1576.89       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRA Health Sciences Inc                                                     | PRA Health Sciences Inc                                                         | CUSIP: 000000000<br>LEI: 549300R1HR1VWWHIAK47 | Long             | LON              | CORP              | US        |       5374570 | PA      | $5365191.36    | 0.02%             | 2028-07-03      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131XT6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4589859 | PA      | $4399639.58    | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2490244 | PA      | $2487708.11    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       1030000 | PA      | $1154833.02    | 0.00%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $5799925.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2020-RPL3 Trust                                                            | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        164247 | PA      | $157264.73     | 0.00%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9605556 | PA      | $8224921.92    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                 | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      12300000 | PA      | $10892042.12   | 0.04%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201JGG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7119 | PA      | $7325.95       | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LYONDELLBASELL IND NV                                                       | LyondellBasell Industries NV                                                    | CUSIP: 552081AK7<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | DBT              | CORP              | NL        |       1533000 | PA      | $1537715.12    | 0.01%             | 2024-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                                              | ML-CFC Commercial Mortgage Trust 2007-5                                         | CUSIP: 55312YAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1980295 | PA      | $510742.00     | 0.00%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       4447000 | PA      | $4343831.69    | 0.02%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELK28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52152 | PA      | $52100.09      | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                              | Wells Fargo Commercial Mortgage Trust 2017-C41                                  | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30310327 | PA      | $1298564.14    | 0.00%             | 2050-11-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6756126 | PA      | $6032256.32    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      11385000 | PA      | $9940067.94    | 0.04%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DAZ8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |         40000 | PA      | $39957.63      | 0.00%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      35280000 | PA      | $32045411.76   | 0.12%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                               | United States Small Business Administration                                     | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       3861031 | PA      | $3558425.22    | 0.01%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    1952540000 | PA      | $290574541.24  | 1.10%             | 2029-05-23      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        860081 | PA      | $708495.37     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |         60000 | PA      | $53816.40      | 0.00%             | 2029-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40407274 | PA      | $6161329.43    | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23451131 | PA      | $21609070.41   | 0.08%             | 2039-02-15      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2015-C                                         | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |         49649 | PA      | $21062256.36   | 0.08%             | 2046-09-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FHEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1184818 | PA      | $1063646.78    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4383864 | PA      | $4017832.68    | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      33008000 | PA      | $32494216.62   | 0.12%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                     | Shell International Finance BV                                                  | CUSIP: 822582AY8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       6360000 | PA      | $5773470.62    | 0.02%             | 2043-08-12      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      27690000 | PA      | $24480643.71   | 0.09%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      41600000 | PA      | $36108480.51   | 0.14%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                             | Impac CMB Trust Series 2005-7                                                   | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1414087 | PA      | $1195290.18    | 0.00%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J9C63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1767620 | PA      | $1656976.18    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                                              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |       8010000 | PA      | $6987026.88    | 0.03%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                              | Alternative Loan Trust 2006-23CB                                                | CUSIP: 02147RAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2366739 | PA      | $1521456.46    | 0.01%             | 2036-08-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| DANONE SA                                                                   | Danone SA                                                                       | CUSIP: 23636TAD2<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |      20650000 | PA      | $20226670.87   | 0.08%             | 2023-11-02      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Brown Group Holding LLC                                                     | Brown Group Holding LLC                                                         | CUSIP: 11565HAB2<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |       4933111 | PA      | $4851591.19    | 0.02%             | 2028-06-07      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 31398W2M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1303775 | PA      | $118704.95     | 0.00%             | 2040-01-15      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                                  | Eaton Corp                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |       4160000 | PA      | $3574111.88    | 0.01%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JBDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1523461 | PA      | $1491059.59    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       9140000 | PA      | $8849809.66    | 0.03%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410FYQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           301 | PA      | $312.38        | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        762106 | PA      | $777605.61     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       7960000 | PA      | $7619358.88    | 0.03%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |        920000 | PA      | $916332.37     | 0.00%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5195697 | PA      | $4844821.36    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36207EJL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14789 | PA      | $15336.32      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8441695 | PA      | $362493.13     | 0.00%             | 2067-10-20      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                 | Lennar Corp                                                                     | CUSIP: 526057BV5<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       1350000 | PA      | $1342634.47    | 0.01%             | 2025-05-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 197677AG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |        723000 | PA      | $758532.17     | 0.00%             | 2025-06-15      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 31329L6Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        615465 | PA      | $590845.37     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FIN CO II                                                         | KKR Group Finance Co II LLC                                                     | CUSIP: 48249DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       1398000 | PA      | $1291840.97    | 0.00%             | 2043-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      29830000 | PA      | $27122838.01   | 0.10%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      23440000 | PA      | $21800076.89   | 0.08%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       8435000 | PA      | $7657293.00    | 0.03%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       3060000 | PA      | $2744056.47    | 0.01%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HMRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10459158 | PA      | $10297698.04   | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      46790000 | PA      | $38661059.60   | 0.15%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         90573 | PA      | $80564.13      | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE WEEK 5                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -157 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KINDER MORGAN ENER PART                                                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       1450000 | PA      | $1460114.75    | 0.01%             | 2040-09-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28396035 | PA      | $24240108.04   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      27181000 | PA      | $24659074.52   | 0.09%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      16020000 | PA      | $11900531.33   | 0.04%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       4000000 | PA      | $3516041.28    | 0.01%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FZD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28533 | PA      | $30152.88      | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       9430000 | PA      | $9147564.33    | 0.03%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8764371 | PA      | $7974328.22    | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                                                 | Freddie Mac Reference REMIC                                                     | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3382746 | PA      | $3473427.61    | 0.01%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAN1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      10230000 | PA      | $10189284.60   | 0.04%             | 2025-01-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        331127 | PA      | $333707.08     | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                                            | AccessLex Institute                                                             | CUSIP: 00432CBK6<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |       1525000 | PA      | $1450313.13    | 0.01%             | 2039-07-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2261940 | PA      | $2100920.19    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      12160000 | PA      | $11655624.24   | 0.04%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380LCX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15385065 | PA      | $15303762.64   | 0.06%             | 2068-05-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7NR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3042 | PA      | $3112.64       | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -420 | NC      | $-105000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Ali Group North America Corporation                                         | Ali Group North America Corp                                                    | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      28947867 | PA      | $28766942.50   | 0.11%             | 2029-07-30      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MG6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        128476 | PA      | $123324.45     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                              | Wynn Macau Ltd                                                                  | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |        790000 | PA      | $640472.75     | 0.00%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                                              | MF1 2022-FL10 LLC                                                               | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      15590000 | PA      | $15331032.95   | 0.06%             | 2037-09-17      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MEU4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       1719000 | PA      | $1664403.29    | 0.01%             | 2025-05-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      10000000 | PA      | $8367116.60    | 0.03%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                             | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      17811000 | PA      | $14402082.53   | 0.05%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | DISH DBS Corp                                                                   | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      12390000 | PA      | $8016144.15    | 0.03%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                                               | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64690000 | PA      | $49937587.82   | 0.19%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      37570000 | PA      | $32901477.04   | 0.12%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MDHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        184896 | PA      | $177827.02     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2020-A                                         | CUSIP: 78449UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3391120 | PA      | $3294950.92    | 0.01%             | 2037-09-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RKE1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       4250000 | PA      | $2845710.07    | 0.01%             | 2052-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                            | Williams Cos Inc/The                                                            | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       6418000 | PA      | $7099034.33    | 0.03%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18028893 | PA      | $2836388.42    | 0.01%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202WL56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38438 | PA      | $39457.74      | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L0RZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1633292 | PA      | $1450539.10    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756BR0<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |       6984000 | PA      | $5932377.64    | 0.02%             | 2041-01-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      24170000 | PA      | $19028237.35   | 0.07%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10324405 | PA      | $8487836.09    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $782070.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        111401 | PA      | $110992.53     | 0.00%             | 2026-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412XLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4051 | PA      | $4204.65       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131X1MD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        187834 | PA      | $185412.38     | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDEF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20137307 | PA      | $2618816.47    | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                 | PepsiCo Inc                                                                     | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       1617000 | PA      | $1504330.45    | 0.01%             | 2027-03-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                                                 | Origen Manufactured Housing Contract Trust 2006-A                               | CUSIP: 68620BAB8<br>LEI: 549300IF0XI4ZS5JC782 | Long             | ABS-O            | CORP              | US        |       4621531 | PA      | $4050630.85    | 0.02%             | 2037-10-15      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137A4CM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        245406 | PA      | $244765.41     | 0.00%             | 2039-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       4720000 | PA      | $3946391.06    | 0.01%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2020-RPL6 Trust                                                            | CUSIP: 12656HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28108238 | PA      | $26694413.09   | 0.10%             | 2059-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                       | GFL Environmental Inc                                                           | CUSIP: 36168QAJ3<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |       7650000 | PA      | $7320412.30    | 0.03%             | 2025-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A1KZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        265239 | PA      | $4246.69       | 0.00%             | 2026-10-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617BCRN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        763778 | PA      | $729183.21     | 0.00%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967HA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       2824000 | PA      | $3032636.27    | 0.01%             | 2043-09-13      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                          | Seasoned Credit Risk Transfer Trust Series 2017-2                               | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17551957 | PA      | $17136948.22   | 0.06%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                    | JP Morgan Mortgage Trust 2018-4                                                 | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4554265 | PA      | $3974653.83    | 0.01%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2399696 | PA      | $1987978.87    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B4A30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        901505 | PA      | $39807.65      | 0.00%             | 2027-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202VYM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         85783 | PA      | $88297.46      | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                 | Oracle Corp                                                                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      36230000 | PA      | $32475465.90   | 0.12%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6153000 | PA      | $5855030.15    | 0.02%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      50300000 | PA      | $48417357.01   | 0.18%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1230553 | PA      | $1178154.36    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                  | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |        140000 | PA      | $131412.06     | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201TLX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189441 | PA      | $196343.99     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      14550000 | PA      | $13426844.61   | 0.05%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       8066000 | PA      | $7127606.16    | 0.03%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    5422870000 | PA      | $19853218.98   | 0.07%             | 2039-03-16      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Jimmy John's Funding LLC                                                    | Jimmy Johns Funding LLC                                                         | CUSIP: 47760QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6306458 | PA      | $5815080.40    | 0.02%             | 2047-07-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming Inc                                                       | Genesee & Wyoming Inc                                                           | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |      23294020 | PA      | $23202357.55   | 0.09%             | 2026-12-30      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2020-CX Mortgage Trust                                                     | CUSIP: 12656KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5000000 | PA      | $3757463.00    | 0.01%             | 2046-11-10      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                                              | BBCMS Trust 2018-CBM                                                            | CUSIP: 05549RAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16390000 | PA      | $15481264.65   | 0.06%             | 2037-07-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3HD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        770998 | PA      | $631250.91     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES                                                      | H&E Equipment Services Inc                                                      | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |       4744000 | PA      | $4049217.48    | 0.02%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JWCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        499547 | PA      | $450394.07     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -607 | NC      | $-265562.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       1590000 | PA      | $1533973.73    | 0.01%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WMKZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         74573 | PA      | $72989.25      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8WB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        198635 | PA      | $190075.25     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312940ZX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3304 | PA      | $3327.04       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        162477 | PA      | $155252.09     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMEK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        324962 | PA      | $312111.58     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          1551 | NC      | $-7063954.36   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31384WK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1539 | PA      | $1589.62       | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      26282000 | PA      | $24499582.88   | 0.09%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25205 | PA      | $20834.10      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9305154 | PA      | $8025419.41    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36297AJ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        269065 | PA      | $281502.46     | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ABQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2275669 | PA      | $126663.75     | 0.00%             | 2042-03-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7Y59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          1994 | PA      | $2023.44       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AC3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2232367 | PA      | $337389.39     | 0.00%             | 2043-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23400000 | PA      | $21266303.76   | 0.08%             | 2032-07-15      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                                              | Wells Fargo Alternative Loan 2007-PA2 Trust                                     | CUSIP: 94985FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2110845 | PA      | $1710380.52    | 0.01%             | 2037-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200WS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24926 | PA      | $25668.85      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                                              | Alternative Loan Trust 2006-43CB                                                | CUSIP: 02149FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3646255 | PA      | $2095919.25    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                | Alphabet Inc                                                                    | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       7890000 | PA      | $5266647.35    | 0.02%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                                      | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      16960000 | PA      | $14243038.02   | 0.05%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -636 | NC      | $-3219750.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                     | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |             1 | NC      | $7267865.08    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31389X5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4967 | PA      | $4954.25       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12400000 | PA      | $10759308.76   | 0.04%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                   | Apple Inc                                                                       | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      33600000 | PA      | $30963298.80   | 0.12%             | 2025-05-11      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                      | CVS Pass-Through Trust                                                          | CUSIP: 126650AW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        155440 | PA      | $153804.41     | 0.00%             | 2027-01-11      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                              | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |       5090000 | PA      | $4727174.93    | 0.02%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                    | Lloyds Banking Group PLC                                                        | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      14100000 | PA      | $13407830.58   | 0.05%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Mortgage Repurchase Agreement                                               | Mortgage Repurchase Agreement Financing Trust II Series 2022-1                  | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44690000 | PA      | $44386599.59   | 0.17%             | 2025-03-30      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FLNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2698043 | PA      | $2412719.18    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                              | Wells Fargo Commercial Mortgage Trust 2018-C44                                  | CUSIP: 95001JAX5<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |       7530000 | PA      | $7148930.04    | 0.03%             | 2051-05-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                        | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      15750000 | PA      | $14887364.63   | 0.06%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      32910000 | PA      | $28804865.18   | 0.11%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                    | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAB1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |       2379000 | PA      | $1828568.89    | 0.01%             | 2045-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                                              | Structured Asset Mortgage Investments Trust 2003-AR1                            | CUSIP: 86358HRV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         47345 | PA      | $43181.22      | 0.00%             | 2033-10-19      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      14868000 | PA      | $12916575.00   | 0.05%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X83X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3659488 | PA      | $3134465.41    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      32320000 | PA      | $22484669.45   | 0.08%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       7140000 | PA      | $5535944.52    | 0.02%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                     | MPLX LP                                                                         | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       9800000 | PA      | $9727169.63    | 0.04%             | 2024-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36294RAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4610 | PA      | $4836.92       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2015-DC1 Mortgage Trust                                                    | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7160000 | PA      | $6622745.10    | 0.02%             | 2048-02-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       8130000 | PA      | $7400214.29    | 0.03%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      33330000 | PA      | $29463449.69   | 0.11%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XRVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75854 | PA      | $74863.86      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                                     | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |      14120000 | PA      | $12435110.38   | 0.05%             | 2032-03-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31417VLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10790 | PA      | $10707.06      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      13000000 | PA      | $10848186.70   | 0.04%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128L5D65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          7754 | PA      | $7920.14       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                                                      | Toll Brothers Finance Corp                                                      | CUSIP: 88947EAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       4740000 | PA      | $4719761.05    | 0.02%             | 2023-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1003534 | PA      | $935924.22     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                                      | Brazilian Government International Bond                                         | CUSIP: 105756BY5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      27670000 | PA      | $22013512.38   | 0.08%             | 2047-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2272559 | PA      | $1938049.20    | 0.01%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      10730000 | PA      | $10165921.22   | 0.04%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8894356 | PA      | $7554003.45    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4820394 | PA      | $4147915.46    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                | Ecopetrol SA                                                                    | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      14620000 | PA      | $11197236.51   | 0.04%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       2820000 | PA      | $2768139.55    | 0.01%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                         | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |      14390000 | PA      | $17157988.45   | 0.06%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                             | Chevron USA Inc                                                                 | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |      19795000 | PA      | $19139806.68   | 0.07%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131WLCE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        211918 | PA      | $216359.46     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | Hanesbrands Inc                                                                 | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |       1177000 | PA      | $1141875.52    | 0.00%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                            | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |       1140000 | PA      | $928307.70     | 0.00%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1436037 | PA      | $1251798.99    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14729412 | PA      | $13930193.38   | 0.05%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36290S7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           680 | PA      | $708.33        | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       6640000 | PA      | $5680827.76    | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                                              | Bear Stearns Asset Backed Securities I Trust 2006-AC4                           | CUSIP: 07388WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1466249 | PA      | $1448755.67    | 0.01%             | 2036-07-25      | Floating      | 17.23%                | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                    | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     350000000 | PA      | $61238399.07   | 0.23%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9BC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7570832 | PA      | $7444451.72    | 0.03%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225BZ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6863 | PA      | $7268.54       | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                              | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       2020000 | PA      | $1586181.57    | 0.01%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        511347 | PA      | $520397.80     | 0.00%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FJT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6115 | PA      | $6464.66       | 0.00%             | 2040-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332600000 | PA      | $291968922.13  | 1.10%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME AUSTRALIAN DOLLAR CURRENCY                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          7209 | NC      | $-2434534.70   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       5590000 | PA      | $5313199.75    | 0.02%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        514249 | PA      | $461380.64     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FKP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        393244 | PA      | $400312.90     | 0.00%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7523635 | PA      | $6746415.69    | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142300000 | PA      | $143028981.56  | 0.54%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       1520000 | PA      | $1055746.28    | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Trust 2017-GS8                                           | CUSIP: 36254KAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5490000 | PA      | $5060064.38    | 0.02%             | 2050-11-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1233037 | PA      | $1209790.10    | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       5050000 | PA      | $4565629.55    | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                                  | Air Canada                                                                      | CUSIP: 000000000<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | CA        |      14693175 | PA      | $14566887.16   | 0.05%             | 2028-08-11      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 42307TAG3<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        410000 | PA      | $446262.95     | 0.00%             | 2032-03-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        500000 | PA      | $477033.35     | 0.00%             | 2032-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      16030000 | PA      | $13753367.46   | 0.05%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        704291 | PA      | $703573.78     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       5920000 | PA      | $5285563.07    | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4782184 | PA      | $4211084.15    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                              | JPMBB Commercial Mortgage Securities Trust 2015-C30                             | CUSIP: 46644UBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19921000 | PA      | $18259524.85   | 0.07%             | 2048-07-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138NXKL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        474372 | PA      | $428992.20     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2798320 | PA      | $2291008.13    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HOUSING URBAN DEVELOPMNT                                                    | United States Department of Housing and Urban Development                       | CUSIP: 911759MF2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       4537000 | PA      | $4406944.72    | 0.02%             | 2024-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31395BT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        736160 | PA      | $32140.82      | 0.00%             | 2036-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                                    | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |             1 | NC      | $-13626424.57  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -289 | NC      | $-1618667.41   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14885874 | PA      | $12747695.65   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179S5P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8828 | PA      | $8896.92       | 0.00%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization                                              | Mortgage Loan Resecuritization Trust                                            | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29836781 | PA      | $27941796.09   | 0.11%             | 2036-04-16      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36207KHD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           559 | PA      | $575.39        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200EBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11200 | PA      | $11497.86      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74100000 | PA      | $65105687.17   | 0.25%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      25910000 | PA      | $23107759.40   | 0.09%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202SYR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        409490 | PA      | $431652.00     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                           | General Motors Co                                                               | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      10170000 | PA      | $10360619.77   | 0.04%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAK5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       1225000 | PA      | $1217549.98    | 0.00%             | 2025-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                | Chevron Corp                                                                    | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       5740000 | PA      | $5163726.96    | 0.02%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                     | BPCE SA                                                                         | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |       3300000 | PA      | $3232376.40    | 0.01%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       1460000 | PA      | $1209478.60    | 0.00%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132FGBJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         13013 | PA      | $12979.99      | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                        | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      36270000 | PA      | $30968452.18   | 0.12%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       4300000 | PA      | $4212078.55    | 0.02%             | 2025-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                     | Becton Dickinson and Co                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       8681000 | PA      | $8487882.47    | 0.03%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       8470000 | PA      | $7365754.58    | 0.03%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2485839 | PA      | $2053577.81    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                                      | National Securities Clearing Corp                                               | CUSIP: 637639AA3<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |       7360000 | PA      | $7284598.79    | 0.03%             | 2023-04-23      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        668851 | PA      | $649668.69     | 0.00%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201EGC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36116 | PA      | $37102.45      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SHOW 2022-BIZ A                                                             | SHOW 2022-BIZ A                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      15000000 | PA      | $14725226.25   | 0.06%             | 2024-01-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                                 | Allied Universal Holdco LLC                                                     | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |      29624443 | PA      | $28202618.00   | 0.11%             | 2028-05-12      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291VMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24813 | PA      | $25471.30      | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131WJMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          9323 | PA      | $9529.85       | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 03746AAA8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       5170000 | PA      | $5439368.37    | 0.02%             | 2029-12-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Avolon TLB Borrower 1 (US) LLC                                              | Avolon TLB Borrower 1 US LLC                                                    | CUSIP: 05400KAH3<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |       7509728 | PA      | $7506385.70    | 0.03%             | 2027-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      23976000 | PA      | $22965423.83   | 0.09%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                                              | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      31863233 | PA      | $27227789.40   | 0.10%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FQJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        753640 | PA      | $677526.36     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                                              | JPMBB Commercial Mortgage Securities Trust 2013-C17                             | CUSIP: 46640UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1602000 | PA      | $1555247.87    | 0.01%             | 2047-01-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292L6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        586198 | PA      | $534327.49     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MKRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        887647 | PA      | $853398.58     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                        | Prime Mortgage Trust 2006-1                                                     | CUSIP: 74161BAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6666328 | PA      | $750601.84     | 0.00%             | 2036-06-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31387TA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5468 | PA      | $5518.54       | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       4100000 | PA      | $3973238.21    | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9TS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         78841 | PA      | $77936.37      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5902396 | PA      | $4856776.50    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37087807 | PA      | $34445403.84   | 0.13%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                                    | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |      13410000 | PA      | $12254606.47   | 0.05%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce                                              | RBSGC Mortgage Loan Trust 2007-B                                                | CUSIP: 74927XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5126525 | PA      | $1817842.26    | 0.01%             | 2037-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | Sprint LLC                                                                      | CUSIP: 85207UAJ4<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |       5365000 | PA      | $5550274.91    | 0.02%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | Credit Suisse Group AG                                                          | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       9360000 | PA      | $9609441.47    | 0.04%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       7000000 | PA      | $5387798.29    | 0.02%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |        154000 | PA      | $111098.90     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       4840000 | PA      | $3857367.28    | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                                           | Republic of Kenya Government International Bond                                 | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      31980000 | PA      | $24784180.20   | 0.09%             | 2034-01-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |        970000 | PA      | $859694.53     | 0.00%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                     | Becton Dickinson and Co                                                         | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       1975000 | PA      | $1774880.91    | 0.01%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MBEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        479040 | PA      | $391495.57     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                             | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      15750000 | PA      | $15263432.10   | 0.06%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                   | Prosus NV                                                                       | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      24470000 | PA      | $15350939.82   | 0.06%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection LLC                                               | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |       5415949 | PA      | $5410749.89    | 0.02%             | 2024-12-23      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                                          | Roche Holdings Inc                                                              | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |      20900000 | PA      | $13634922.79   | 0.05%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS TEVA PHARMACEUT FIN BV                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |             1 | NC      | $-1584486.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                               | MHC Commercial Mortgage Trust 2021-MHC                                          | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        159000 | PA      | $150956.59     | 0.00%             | 2038-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                                     | Procter & Gamble Co/The                                                         | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |       2490000 | PA      | $2335552.65    | 0.01%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Deerfield Dakota Holding LLC                                                | Deerfield Dakota Holding LLC                                                    | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |      33844288 | PA      | $31692129.29   | 0.12%             | 2027-04-09      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15813442 | PA      | $15241352.87   | 0.06%             | 2047-11-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                           | HSBC Holdings PLC                                                               | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       3480000 | PA      | $3211993.40    | 0.01%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                           | Johnson & Johnson                                                               | CUSIP: 478160CN2<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |       9820000 | PA      | $8877894.73    | 0.03%             | 2025-09-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8814889 | PA      | $7626519.69    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       2622000 | PA      | $2506129.44    | 0.01%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CINTAS CORPORATION NO. 2                                                    | Cintas Corp No 2                                                                | CUSIP: 17252MAN0<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |       7500000 | PA      | $7241485.80    | 0.03%             | 2027-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2784480 | PA      | $2822250.27    | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Connecticut Avenue Securities Trust 2019-R05                                    | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4561503 | PA      | $4625751.68    | 0.02%             | 2039-07-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           944 | NC      | $457250.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      12610000 | PA      | $12579103.36   | 0.05%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      28139000 | PA      | $26038852.49   | 0.10%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       9240000 | PA      | $8502066.53    | 0.03%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        180465 | PA      | $172826.03     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFRD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4118732 | PA      | $3769891.60    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                                              | Freddie Mac Multiclass Certificates Series 2015-P001                            | CUSIP: 3137FQXW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15503008 | PA      | $1185137.52    | 0.00%             | 2028-08-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                | RBSSP Resecuritization Trust 2009-12                                            | CUSIP: 74928UBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4463219 | PA      | $3998520.70    | 0.02%             | 2036-03-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJY95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10440 | PA      | $10277.35      | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      47120000 | PA      | $35799654.66   | 0.13%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7191724 | PA      | $6582593.15    | 0.02%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       2120000 | PA      | $2140623.21    | 0.01%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3748657 | PA      | $3084580.65    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           470 | PA      | $486.29        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       3300000 | PA      | $3276391.27    | 0.01%             | 2042-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                                    | Visa Inc                                                                        | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      16470000 | PA      | $15123304.76   | 0.06%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                                     | United Rentals North America Inc                                                | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      10600000 | PA      | $8661578.00    | 0.03%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                 | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      61540000 | PA      | $53671378.67   | 0.20%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                                       | Argentine Republic Government International Bond                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      10131281 | PA      | $2595083.36    | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36294YN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3424 | PA      | $3532.97       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213ER73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35473 | PA      | $36414.18      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                | GS Mortgage Securities Corp Trust 2018-LUAU                                     | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12548000 | PA      | $11668127.97   | 0.04%             | 2032-11-15      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      16160000 | PA      | $15441870.12   | 0.06%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H5DR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15035869 | PA      | $210193.92     | 0.00%             | 2031-11-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                                      | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC     | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |        780000 | PA      | $619633.79     | 0.00%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      14430000 | PA      | $13222532.66   | 0.05%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136APB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5210850 | PA      | $178145.41     | 0.00%             | 2055-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBF2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       3350000 | PA      | $3141027.30    | 0.01%             | 2031-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25479823 | PA      | $21508074.04   | 0.08%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                    | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAH6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      10560000 | PA      | $10369769.94   | 0.04%             | 2024-03-12      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      11470000 | PA      | $9322185.15    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                | Alphabet Inc                                                                    | CUSIP: 02079KAH0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       3590000 | PA      | $3244248.50    | 0.01%             | 2025-08-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WXWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2107436 | PA      | $2021879.05    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2140975 | PA      | $2105112.21    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2381629 | PA      | $2365989.13    | 0.01%             | 2061-03-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                       | Republic Services Inc                                                           | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |       9100000 | PA      | $8726065.53    | 0.03%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200N6L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133585 | PA      | $141045.96     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      11310000 | PA      | $9357628.55    | 0.04%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36178WGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5986 | PA      | $5486.49       | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31405SBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2388 | PA      | $2441.12       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                              | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       1736000 | PA      | $1435986.81    | 0.01%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       4050000 | PA      | $3954076.32    | 0.01%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS CAPITAL II                                                    | Goldman Sachs Capital II                                                        | CUSIP: 381427AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        303000 | PA      | $229171.02     | 0.00%             | N/A             | Floating      | 5.53%                 | 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        |      36573609 | PA      | $3342762.03    | 0.01%             | 2030-04-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       8925000 | PA      | $8887296.16    | 0.03%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11455140 | PA      | $9425939.77    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8969239 | PA      | $7372199.26    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                       | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |       7579000 | PA      | $6487078.39    | 0.02%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6948593 | PA      | $1000436.86    | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | Southwestern Energy Co                                                          | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |        920000 | PA      | $854224.60     | 0.00%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91371050 | PA      | $87310006.02   | 0.33%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4446742 | PA      | $3904606.22    | 0.01%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335HXS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6221 | PA      | $6190.87       | 0.00%             | 2023-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                     | Becton Dickinson and Co                                                         | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       1072000 | PA      | $1046164.23    | 0.00%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WN4B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        244264 | PA      | $240045.62     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      17970000 | PA      | $16514878.53   | 0.06%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       4880000 | PA      | $4184652.17    | 0.02%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      15920000 | PA      | $14961355.39   | 0.06%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      24180000 | PA      | $19746170.95   | 0.07%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6300000 | PA      | $422086.14     | 0.00%             | 2029-06-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31382KW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16398 | PA      | $16820.91      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBH6<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      10360000 | PA      | $7013129.79    | 0.03%             | 2051-12-02      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       2200000 | PA      | $2027750.21    | 0.01%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31390BFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17370 | PA      | $17419.36      | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Jefferies & Co                                                              | Jefferies Resecuritization Trust 2015-R1                                        | CUSIP: 47234DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14584395 | PA      | $7724605.15    | 0.03%             | 2036-12-26      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                                       | Citadel Securities LP                                                           | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |      23306286 | PA      | $22921732.63   | 0.09%             | 2028-02-02      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                                                     | Guardian Life Global Funding                                                    | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |       5940000 | PA      | $5386066.19    | 0.02%             | 2025-06-23      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                              | Amazon.com Inc                                                                  | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       6800000 | PA      | $6051472.05    | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1012891 | PA      | $832210.53     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6080860000 | PA      | $278521580.81  | 1.05%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29567552 | PA      | $26451369.41   | 0.10%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      13790000 | PA      | $10731304.78   | 0.04%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71618631 | PA      | $1806651.57    | 0.01%             | 2055-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                                     | Reliance Industries Ltd                                                         | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |      10420000 | PA      | $8457565.56    | 0.03%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411BG9<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      12190000 | PA      | $9869893.63    | 0.04%             | 2049-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | Petroleos Mexicanos                                                             | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      14210000 | PA      | $8832295.13    | 0.03%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                                 | Target Corp                                                                     | CUSIP: 87612EBL9<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |      13960000 | PA      | $13255540.57   | 0.05%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      25869000 | PA      | $23821885.40   | 0.09%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M15V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133802 | PA      | $129069.27     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131XEB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1245363 | PA      | $1194783.55    | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      60389000 | PA      | $48030248.63   | 0.18%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31386GJU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12812 | PA      | $13018.50      | 0.00%             | 2031-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       8730000 | PA      | $8490412.57    | 0.03%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31413K6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2408 | PA      | $2420.35       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                                              | Countrywide Home Equity Loan Trust                                              | CUSIP: 126686AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        262036 | PA      | $228738.60     | 0.00%             | 2036-11-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       8754000 | PA      | $8229357.11    | 0.03%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19500000 | PA      | $19777079.01   | 0.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291LEN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38550 | PA      | $39671.84      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411AY1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       1646000 | PA      | $1355314.05    | 0.01%             | 2042-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBFY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        141630 | PA      | $125115.45     | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AH4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |       4400000 | PA      | $4275766.00    | 0.02%             | 2028-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36241LNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        373007 | PA      | $384214.19     | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECH LLC                                                          | CommScope Technologies LLC                                                      | CUSIP: 20338HAB9<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |       2740000 | PA      | $1865341.53    | 0.01%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15496000 | PA      | $1232276.01    | 0.00%             | 2030-01-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       2340000 | PA      | $2226817.85    | 0.01%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11218635 | PA      | $10014906.71   | 0.04%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       7840000 | PA      | $5360498.08    | 0.02%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           216 | PA      | $221.74        | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      11430000 | PA      | $10774207.29   | 0.04%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9883749 | PA      | $8851418.33    | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7152524 | PA      | $5885478.66    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132MAVM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        952851 | PA      | $937293.82     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 5 YEAR US TREASURY NOTE WEEK 5                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -1056 | NC      | $-8250.52      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2845100 | PA      | $2356942.55    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBG8<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |        730000 | PA      | $553443.62     | 0.00%             | 2041-12-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A9Z49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39957 | PA      | $39303.07      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11560000 | PA      | $10592851.10   | 0.04%             | 2034-01-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      10540000 | PA      | $8130980.87    | 0.03%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WD4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1998301 | PA      | $1978142.20    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | EQT Corp                                                                        | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       1230000 | PA      | $1234895.40    | 0.00%             | 2025-02-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                                            | SpringCastle America Funding LLC                                                | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12273927 | PA      | $11081956.03   | 0.04%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B24E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        191748 | PA      | $157017.51     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       3394000 | PA      | $2889142.50    | 0.01%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XB6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15823043 | PA      | $14706758.86   | 0.06%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36210AFQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3446 | PA      | $3443.33       | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4378709 | PA      | $3760978.59    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      81598000 | PA      | $71523094.94   | 0.27%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                                      | Bausch Health Americas Inc                                                      | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |       5181000 | PA      | $3634879.71    | 0.01%             | 2026-04-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                            | FirstEnergy Corp                                                                | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      10344000 | PA      | $9253365.67    | 0.03%             | 2047-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                           | French Government Bond s                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          1491 | NC      | $-15690997.79  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28643840 | PA      | $27984023.07   | 0.11%             | 2051-01-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                            | Peruvian Government International Bond                                          | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      14240000 | PA      | $11815350.93   | 0.04%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2020-FACT                                                                  | CUSIP: 126395AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7990000 | PA      | $6731960.92    | 0.03%             | 2037-10-15      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6441148 | PA      | $5614727.14    | 0.02%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26623685 | PA      | $23811903.70   | 0.09%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6430562 | PA      | $6126597.24    | 0.02%             | 2029-01-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       3169000 | PA      | $2207285.57    | 0.01%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2341712 | PA      | $2248056.94    | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                                                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       3010000 | PA      | $2585782.58    | 0.01%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                                                            | AmWINS Group Inc                                                                | CUSIP: 03234TAW8<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |       9558483 | PA      | $9400911.52    | 0.04%             | 2028-02-19      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      10000000 | PA      | $9561848.20    | 0.04%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30391432 | PA      | $948179.26     | 0.00%             | 2057-04-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                                               | Citigroup Commercial Mortgage Trust 2014-GC25                                   | CUSIP: 17322YAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2800000 | PA      | $2662546.60    | 0.01%             | 2047-10-10      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                         | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       3580000 | PA      | $3340599.85    | 0.01%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34936758 | PA      | $31436897.26   | 0.12%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |      59000000 | PA      | $8664194.37    | 0.03%             | 2025-05-21      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200AN54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51161 | PA      | $52650.47      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        250755 | PA      | $240721.47     | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31413EXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6378 | PA      | $6620.11       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        809785 | PA      | $754645.94     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                                              | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust                  | CUSIP: 92922F6B9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15890070 | PA      | $8531130.46    | 0.03%             | 2045-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44287293 | PA      | $40721230.91   | 0.15%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38235613 | PA      | $32694260.22   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       3780000 | PA      | $2799965.86    | 0.01%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                             | Danske Bank A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      18650000 | PA      | $18503072.69   | 0.07%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36189XM43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2491583 | PA      | $2326532.10    | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     116890000 | PA      | $87936895.21   | 0.33%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         10863 | NC      | $-3012074.80   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3560175 | PA      | $2962264.67    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        299621 | PA      | $296872.97     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBS63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3167576 | PA      | $3114671.32    | 0.01%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19712753 | PA      | $17723644.84   | 0.07%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29562803 | PA      | $24260569.72   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291PAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1041 | PA      | $1069.14       | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       5420000 | PA      | $4429175.76    | 0.02%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      12400000 | PA      | $11704475.32   | 0.04%             | 2027-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -10400000 | PA      | $-9129515.30   | -0.03%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                  | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       8340000 | PA      | $8007342.42    | 0.03%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                                     | NYMT Loan Trust 2022-SP1                                                        | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42387341 | PA      | $40725884.78   | 0.15%             | 2062-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      12160000 | PA      | $10352461.11   | 0.04%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                                    | Uruguay Government International Bond                                           | CUSIP: 917288BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |             1 | PA      | $1.25          | 0.00%             | 2033-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380LLH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4069952 | PA      | $4007682.21    | 0.02%             | 2068-10-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201NJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37108 | PA      | $38188.91      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138L9T85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3150000 | PA      | $3016404.28    | 0.01%             | 2025-04-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131Y6Q93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2256637 | PA      | $2110658.43    | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | Energy Transfer LP                                                              | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       2000000 | PA      | $1842807.44    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3097137 | PA      | $2652253.16    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        682823 | PA      | $639586.66     | 0.00%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                                           | JP Morgan Resecuritization Trust Series 2015-1                                  | CUSIP: 46644BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10701114 | PA      | $9467163.87    | 0.04%             | 2036-09-27      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36292CSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2614 | PA      | $2707.70       | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        484193 | PA      | $436074.41     | 0.00%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -212 | NC      | $-23187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1174020000 | PA      | $58639848.42   | 0.22%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                   | Ball Corp                                                                       | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      12830000 | PA      | $10320836.90   | 0.04%             | 2031-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36213RXN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37934 | PA      | $39718.60      | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31395NQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1721820 | PA      | $123460.72     | 0.00%             | 2036-07-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       1124000 | PA      | $1137862.25    | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XQYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        270642 | PA      | $262331.41     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      13830000 | PA      | $14093987.04   | 0.05%             | 2030-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LG2B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        469000 | PA      | $455100.66     | 0.00%             | 2032-07-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                            | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |             1 | NC      | $1307224.45    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201FSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27539 | PA      | $28340.61      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                   | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      32524000 | PA      | $24832086.68   | 0.09%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7XD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8600000 | PA      | $6695640.94    | 0.03%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2019-RIO                                                                   | CUSIP: 12597HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147129706 | PA      | $147066675.80  | 0.55%             | 2022-12-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Great Outdoors Group LLC                                                    | Great Outdoors Group LLC                                                        | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |       9987075 | PA      | $9618801.69    | 0.04%             | 2028-03-06      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6432955 | PA      | $897785.71     | 0.00%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                                              | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                            | CUSIP: 12668FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1960203 | PA      | $1808071.86    | 0.01%             | 2037-01-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |        700000 | PA      | $697425.06     | 0.00%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                         | Medline Borrower LP                                                             | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |      30735431 | PA      | $29263357.32   | 0.11%             | 2028-10-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        660020 | PA      | $590832.93     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2532433 | PA      | $2097957.59    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      23510000 | PA      | $19377382.81   | 0.07%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36200MWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26242 | PA      | $27473.54      | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XB2V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7664075 | PA      | $6299199.91    | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Lo                                              | National Collegiate Student Loan Trust 2005-2                                   | CUSIP: 63543PBU9<br>LEI: 635400WP3MSHUIUNQS85 | Long             | ABS-O            | CORP              | US        |      11316536 | PA      | $10609043.56   | 0.04%             | 2033-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                  | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      13010000 | PA      | $10734899.54   | 0.04%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B6XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6879680 | PA      | $5971921.45    | 0.02%             | 2031-10-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42472872 | PA      | $39621407.87   | 0.15%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9591409 | PA      | $669097.64     | 0.00%             | 2063-11-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL BV                                                     | Equate Petrochemical BV                                                         | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |      14230000 | PA      | $13640707.24   | 0.05%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617WHHM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5424483 | PA      | $4856560.78    | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4408278 | PA      | $3647822.83    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BBCCRE Trust                                                                | BBCCRE Trust 2015-GTP                                                           | CUSIP: 05490TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33260000 | PA      | $27832147.60   | 0.10%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ADKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2166332 | PA      | $364385.98     | 0.00%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PBN1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      10000000 | PA      | $10438260.30   | 0.04%             | 2040-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967BL4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       1660000 | PA      | $1753216.15    | 0.01%             | 2032-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     256110000 | PA      | $937623.05     | 0.00%             | 2026-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9569734 | PA      | $9196842.83    | 0.03%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                                      | Bausch Health Americas Inc                                                      | CUSIP: 91911XAW4<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |         36000 | PA      | $18890.28      | 0.00%             | 2027-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7ZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67235341 | PA      | $1330567.22    | 0.01%             | 2054-06-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31402WQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20252 | PA      | $20252.49      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      19180000 | PA      | $15083474.03   | 0.06%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6027940 | PA      | $5630495.91    | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                | CSMC 2017-TIME                                                                  | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21200000 | PA      | $18104259.40   | 0.07%             | 2039-11-13      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                                              | IndyMac INDX Mortgage Loan Trust 2005-AR13                                      | CUSIP: 45660LQW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        105859 | PA      | $52135.16      | 0.00%             | 2035-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4048938 | PA      | $3891339.96    | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                               | CoreCivic Inc                                                                   | CUSIP: 21871NAA9<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |        540000 | PA      | $469540.05     | 0.00%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3617B14D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        545668 | PA      | $508664.74     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRETE 2020-ML07 TRUST                                                       | Freddie Mac Multifamily ML Certificates                                         | CUSIP: 35833FAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33570804 | PA      | $5094033.76    | 0.02%             | 2036-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291FHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28126 | PA      | $28930.07      | 0.00%             | 2035-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 949746RE3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       1802000 | PA      | $1788994.95    | 0.01%             | 2024-01-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       4120000 | PA      | $3731825.30    | 0.01%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16573978 | PA      | $14808700.12   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25952 | PA      | $25925.30      | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ENPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7666995 | PA      | $7937488.15    | 0.03%             | 2041-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       2000000 | PA      | $1584125.40    | 0.01%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31388SE50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7283 | PA      | $7471.19       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 31329QM57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6899457 | PA      | $6589428.39    | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3870705 | PA      | $3726673.67    | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                  | Cigna Corp                                                                      | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       8400000 | PA      | $7612783.33    | 0.03%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                    | Virgin Media Bristol LLC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       4840000 | PA      | $4804910.00    | 0.02%             | 2029-01-31      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                               | CommScope Inc                                                                   | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |       4927000 | PA      | $3981385.53    | 0.02%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38375BJK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        208100 | PA      | $206148.54     | 0.00%             | 2060-12-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4642550 | PA      | $3828762.17    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85104195 | PA      | $2075878.54    | 0.01%             | 2031-09-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust 2005-7                                           | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1858043 | PA      | $928360.03     | 0.00%             | 2045-06-19      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                  | Pfizer Inc                                                                      | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      14195000 | PA      | $12502801.42   | 0.05%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4449394 | PA      | $3859745.87    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                             | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      17380000 | PA      | $14908390.20   | 0.06%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       1140000 | PA      | $1018911.50    | 0.00%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | Apache Corp                                                                     | CUSIP: 037411BC8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      18548000 | PA      | $13089743.16   | 0.05%             | 2044-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                       | General Dynamics Corp                                                           | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       1740000 | PA      | $1687480.99    | 0.01%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                                                        | Ambac Assurance Corp                                                            | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |        298643 | PA      | $418473.94     | 0.00%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J92F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        202519 | PA      | $198212.06     | 0.00%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2013-CCRE12 Mortgage Trust                                                 | CUSIP: 12591KAH8<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |       1470000 | PA      | $1333219.73    | 0.01%             | 2046-10-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2937197 | PA      | $318609.52     | 0.00%             | 2043-06-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          2750 | NC      | $2986828.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36209BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2430 | PA      | $2496.95       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88618 | PA      | $87137.91      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                 | Walmart Inc                                                                     | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       4050000 | PA      | $3306782.31    | 0.01%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3123815 | PA      | $2910968.64    | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FHWQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1007431 | PA      | $903389.04     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50891590 | PA      | $7571309.82    | 0.03%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138NXKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        250210 | PA      | $223793.51     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3633 | PA      | $3503.31       | 0.00%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1934640 | PA      | $1659940.66    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                                        | Soho Trust 2021-SOHO                                                            | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23410000 | PA      | $17205024.99   | 0.06%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                  | Navient Student Loan Trust 2019-B                                               | CUSIP: 63941LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        900000 | PA      | $792415.17     | 0.00%             | 2059-12-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                          | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      24949000 | PA      | $23627271.09   | 0.09%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                              | Salesforce Inc                                                                  | CUSIP: 79466LAE4<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |      11370000 | PA      | $11330306.53   | 0.04%             | 2023-04-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      10670000 | PA      | $9584501.95    | 0.04%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4ME0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          4869 | PA      | $4982.02       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                                              | PMT Credit Risk Transfer Trust 2019-3R                                          | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4663336 | PA      | $4477370.59    | 0.02%             | 2031-11-27      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                       | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      20320000 | PA      | $20129104.17   | 0.08%             | 2050-05-01      | Fixed         | 5.25%                 | 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        |       1790000 | PA      | $1411238.08    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       1150000 | PA      | $1252779.23    | 0.00%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                      | Verizon Communications Inc                                                      | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       4900000 | PA      | $4607740.43    | 0.02%             | 2029-02-08      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31412XMX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10479 | PA      | $10875.78      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                           | Johnson & Johnson                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      29750000 | PA      | $26548929.45   | 0.10%             | 2037-03-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131XWV91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        915493 | PA      | $899626.69     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     447890000 | PA      | $438652268.75  | 1.65%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      25990000 | PA      | $21820825.59   | 0.08%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                  | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       5950000 | PA      | $3878915.91    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10207154 | PA      | $9105531.42    | 0.03%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      11940000 | PA      | $11914687.20   | 0.04%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                             | CDS APACHE CORP                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |             1 | NC      | $-1819322.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CONOCO FUNDING CO                                                           | Conoco Funding Co                                                               | CUSIP: 20825UAC8<br>LEI: XX71EBFZWSRCIL200314 | Long             | DBT              | CORP              | CA        |        810000 | PA      | $925855.33     | 0.00%             | 2031-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                         | COMM 2020-CX Mortgage Trust                                                     | CUSIP: 12656KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15770000 | PA      | $12270463.53   | 0.05%             | 2046-11-10      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5085966 | PA      | $4252318.05    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      51475000 | PA      | $46747565.34   | 0.18%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7RC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8454 | PA      | $8514.84       | 0.00%             | 2031-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36203ATR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           127 | PA      | $126.88        | 0.00%             | 2023-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                       | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       5770000 | PA      | $4913394.40    | 0.02%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                             | McDonald's Corp                                                                 | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       4300000 | PA      | $4122576.58    | 0.02%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44159835 | PA      | $37579970.82   | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38380QAW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17725720 | PA      | $17425974.67   | 0.07%             | 2070-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                               | MASTR Reperforming Loan Trust 2005-2                                            | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1759190 | PA      | $945470.46     | 0.00%             | 2035-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      27202000 | PA      | $28140120.81   | 0.11%             | 2031-01-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           314 | NC      | $289468.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| 1011778 BC Unlimited Liability Company                                      | 1011778 BC ULC                                                                  | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |       2757062 | PA      | $2714961.69    | 0.01%             | 2026-11-19      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       2990000 | PA      | $2402175.96    | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36290SAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8119 | PA      | $8343.86       | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       8650000 | PA      | $7634321.58    | 0.03%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        129928 | PA      | $126995.99     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106700000 | PA      | $101031956.22  | 0.38%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2074191 | PA      | $1937533.87    | 0.01%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36202WLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19465 | PA      | $19997.21      | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36201C4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4615 | PA      | $4748.90       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                 | Legacy Mortgage Asset Trust 2021-GS1                                            | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22402027 | PA      | $20581091.64   | 0.08%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                          | Union Pacific Corp                                                              | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      12515000 | PA      | $9192433.45    | 0.03%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29840226 | PA      | $25472827.16   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4285485 | PA      | $4220522.49    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                                      | National Securities Clearing Corp                                               | CUSIP: 637639AB1<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |       9000000 | PA      | $8350320.69    | 0.03%             | 2025-04-23      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                                      | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      26600000 | PA      | $20819687.00   | 0.08%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       2080000 | PA      | $1737832.16    | 0.01%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       4040000 | PA      | $2524649.13    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15946283 | PA      | $16554943.77   | 0.06%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6852447 | PA      | $6174940.27    | 0.02%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MJF79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        361628 | PA      | $347625.05     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                    | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      24680000 | PA      | $20884871.50   | 0.08%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31407DXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42647 | PA      | $43822.94      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                                        | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       7740000 | PA      | $7317028.27    | 0.03%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                               | Citigroup Inc                                                                   | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      25260000 | PA      | $25440896.21   | 0.10%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                               | UniCredit SpA                                                                   | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |        306000 | PA      | $281015.36     | 0.00%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Jazz Financing Lux Sarl                                                     | Jazz Financing Lux Sarl                                                         | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |      25623450 | PA      | $25437295.21   | 0.10%             | 2028-05-05      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X82N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3524996 | PA      | $3251865.67    | 0.01%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS LP/REG FIN                                                      | Energy Transfer LP / Regency Energy Finance Corp                                | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        510000 | PA      | $506438.97     | 0.00%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31403CUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        148125 | PA      | $153353.35     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       2504000 | PA      | $2439039.45    | 0.01%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119500000 | PA      | $112087706.58  | 0.42%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                           | NatWest Group PLC                                                               | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      10710000 | PA      | $10478172.52   | 0.04%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31403TH98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           465 | PA      | $472.60        | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1214042 | PA      | $1194988.79    | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                                           | L3Harris Technologies Inc                                                       | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       2940000 | PA      | $2649420.25    | 0.01%             | 2045-04-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3131WHFU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3971 | PA      | $4045.00       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                   | BPR Trust 2022-OANA                                                             | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9650000 | PA      | $9440134.70    | 0.04%             | 2037-04-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84356911 | PA      | $75113232.54   | 0.28%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                    | Western Midstream Operating LP                                                  | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       2363000 | PA      | $2180907.22    | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3429920 | PA      | $2835057.21    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       1580000 | PA      | $1237154.85    | 0.00%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                                      | Barrick North America Finance LLC                                               | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       8454000 | PA      | $8530989.56    | 0.03%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FD5K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1750080 | PA      | $1572598.52    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                      | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       9050000 | PA      | $7338968.27    | 0.03%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Inc                                                         | SkyMiles IP Ltd                                                                 | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |      14290000 | PA      | $14592805.10   | 0.06%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                         | Gilead Sciences Inc                                                             | CUSIP: 375558AW3<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |        399000 | PA      | $392462.68     | 0.00%             | 2024-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection LLC                                               | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |        294982 | PA      | $294629.29     | 0.00%             | 2025-07-21      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                        | Prime Mortgage Trust 2006-DR1                                                   | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19573202 | PA      | $15902469.03   | 0.06%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                   | CUSIP: 46590RAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1510000 | PA      | $1252097.59    | 0.00%             | 2049-08-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       4834000 | PA      | $3011531.10    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |             1 | NC      | $12623909.90   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                                      | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      28040000 | PA      | $24258525.60   | 0.09%             | 2026-05-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FIN LLC                                                    | Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp                    | CUSIP: 432891AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       4930000 | PA      | $4700991.00    | 0.02%             | 2027-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5589269 | PA      | $830875.57     | 0.00%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      15493000 | PA      | $13398745.65   | 0.05%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       7170000 | PA      | $4637257.73    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      20980000 | PA      | $20902486.24   | 0.08%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | HCA Inc                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       4060000 | PA      | $4055851.94    | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7                   | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10175200 | PA      | $9388637.10    | 0.04%             | 2028-05-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                                          | Raytheon Technologies Corp                                                      | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       4109000 | PA      | $3714542.49    | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SINOPEC GRP OVERSEA 2015                                                    | Sinopec Group Overseas Development 2015 Ltd                                     | CUSIP: 82938BAC4<br>LEI: 5299002Z28NLP3WPFH36 | Long             | DBT              | CORP              | VG        |       6000000 | PA      | $5806794.54    | 0.02%             | 2025-04-28      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3261937 | PA      | $2696231.04    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| METLIFE CAPITAL TRUST IV                                                    | MetLife Capital Trust IV                                                        | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       8900000 | PA      | $9635209.87    | 0.04%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      15400000 | PA      | $14067568.90   | 0.05%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                                              | Wells Fargo Commercial Mortgage Trust 2014-LC18                                 | CUSIP: 94989AAW5<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |       5630000 | PA      | $5314796.01    | 0.02%             | 2047-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -32100000 | PA      | $-31635638.51  | -0.12%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H3K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3667795 | PA      | $3525161.73    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       2608000 | PA      | $2419166.66    | 0.01%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                         | Dominion Energy Inc                                                             | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |       3600000 | PA      | $3873449.70    | 0.01%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       3930000 | PA      | $3755463.16    | 0.01%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                      | AthenaHealth Group Inc                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |      37572272 | PA      | $34016432.45   | 0.13%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15779840 | PA      | $15803524.84   | 0.06%             | 2046-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                    | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       1248000 | PA      | $1237088.21    | 0.00%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                                   | College Ave Student Loans 2019-A LLC                                            | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      14961312 | PA      | $14510656.07   | 0.05%             | 2048-12-28      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     115500000 | PA      | $16917953.75   | 0.06%             | 2024-11-21      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X5JF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34839 | PA      | $34050.36      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                               | United States Small Business Administration                                     | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       7752271 | PA      | $6786936.60    | 0.03%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 31396L4U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2207012 | PA      | $104976.55     | 0.00%             | 2036-12-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31371KQ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        128487 | PA      | $133007.48     | 0.00%             | 2032-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36292CEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11782 | PA      | $12111.47      | 0.00%             | 2035-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -2300000 | PA      | $-2232056.67   | -0.01%            | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                 | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           210 | NC      | $203437.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13767731 | PA      | $11826452.81   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MPDL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1405073 | PA      | $1256784.40    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17876485 | PA      | $1746829.34    | 0.01%             | 2057-10-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        445591 | PA      | $397178.14     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  279555000000 | PA      | $17309334.48   | 0.07%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |      13640000 | PA      | $12645199.34   | 0.05%             | 2033-08-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Government National Mortgage Association                                        | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21058104 | PA      | $2905972.02    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        260908 | PA      | $254920.59     | 0.00%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAC CAPITAL TRUST XIV                                                       | BAC Capital Trust XIV                                                           | CUSIP: 05518VAA3<br>LEI: 549300QO5OB3VGJT6S64 | Long             | DBT              | CORP              | US        |       7226000 | PA      | $5538270.15    | 0.02%             | N/A             | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                  | 3M Co                                                                           | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       3400000 | PA      | $2992903.92    | 0.01%             | 2030-04-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MQAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1905496 | PA      | $1799917.97    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3322124 | PA      | $3090196.93    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                     | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       5400000 | PA      | $4869320.51    | 0.02%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93800000 | PA      | $91007108.75   | 0.34%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79256 | PA      | $80680.61      | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                            | Bank of Montreal                                                                | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      26710000 | PA      | $24973214.57   | 0.09%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 3617BUZA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2394998 | PA      | $2286519.41    | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36212F2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13272 | PA      | $14036.58      | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                        | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      11950000 | PA      | $11731888.24   | 0.04%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |       3441000 | PA      | $3112491.65    | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1209219 | PA      | $1138199.14    | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31387Q2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1011 | PA      | $1008.86       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AG6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      10770000 | PA      | $10687130.67   | 0.04%             | 2025-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10948729 | PA      | $8936954.17    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36291TBM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57774 | PA      | $59845.49      | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L2NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2101247 | PA      | $1729036.77    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |       2693000 | PA      | $2498228.96    | 0.01%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                            | CME British Pound Currency                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          2938 | NC      | $-6599482.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      17580000 | PA      | $15523978.57   | 0.06%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1460309 | PA      | $1197545.80    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19239479 | PA      | $18170210.77   | 0.07%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae II Pool                                                              | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9721 | PA      | $9375.08       | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36212NAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           222 | PA      | $228.48        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                                              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20483725 | PA      | $573271.85     | 0.00%             | 2028-03-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5730870 | PA      | $4907635.63    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                                              | Freddie Mac Multifamily PC REMIC Trust 2019-RR01                                | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22500000 | PA      | $1530922.50    | 0.01%             | 2028-06-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                         | CommonSpirit Health                                                             | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |       1410000 | PA      | $1195649.18    | 0.00%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       5880000 | PA      | $5902050.00    | 0.02%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                              | Microsoft Corp                                                                  | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      40450000 | PA      | $39042562.48   | 0.15%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                         | Freddie Mac STACR REMIC Trust 2020-DNA5                                         | CUSIP: 35566ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18832000 | PA      | $19322464.37   | 0.07%             | 2050-10-25      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3427513 | PA      | $2940155.20    | 0.01%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6983390 | PA      | $6355711.12    | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Terrier Media Buyer Inc                                                     | CMG Media Corp                                                                  | CUSIP: 88145LAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      14953493 | PA      | $14042974.49   | 0.05%             | 2026-12-17      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4643771 | PA      | $3836920.94    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2244216 | PA      | $1938188.13    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      28780000 | PA      | $22611925.37   | 0.09%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                   | Apple Inc                                                                       | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      32030000 | PA      | $29745892.66   | 0.11%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M8NV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        557001 | PA      | $535427.04     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                         | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      22670000 | PA      | $21636975.25   | 0.08%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                                              | Ginnie Mae I Pool                                                               | CUSIP: 36292LJA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           371 | PA      | $383.43        | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                            | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |       5449460 | PA      | $5536016.87    | 0.02%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3503956 | PA      | $2896267.91    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                      | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      13100000 | PA      | $12628044.86   | 0.05%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Western Asset Funds Inc

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer