# EDGAR Filing Document

**Accession Number:** 0000710826
**File Stem:** 0001752724-23-043990
**Filing Date:** 2023-2
**Character Count:** 1194285
**Document Hash:** 9523f3929dcd417f7ce1d66201ae3439
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043990.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-043990

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust II
- **CENTRAL INDEX KEY:** 0000710826
- **IRS NUMBER:** 833164113
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03618
- **FILM NUMBER:** 23678660

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 980-949-5121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND
- **DATE OF NAME CHANGE:** 20120430

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

## Series and Classes Contracts Data

### BlackRock Bond Income Portfolio (Series ID: S000006511)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017802 | Class A      |  |
| C000017803 | Class B      |  |
| C000017804 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust II

- **b. Investment Company Act file number:** 811-03618

- **c. CIK number of Registrant:** 0000710826

- **d. LEI of Registrant:** 549300NPPA08K2CWOV06

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 980-949-4301

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

- **a. Name of Series:** BlackRock Bond Income Portfolio

- **b. EDGAR series identifier (if any):** S000006511

- **c. LEI of Series:** RQ2HPSR0HMOOPNZQJY98

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3187404734.62

**Total Liabilities:** $346505056.78

**Net Assets:** $2840899677.84

**Delayed Delivery Securities:** $123314956.60

**Cash Not Reported:** $5900787.84

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1943.37000000 | **1-Year:** -47750.48000000 | **5-Year:** -179265.00000000 | **10-Year:** -269974.70000000 | **30-Year:** -151564.91000000

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

- **3-Month:** -1184.55000000 | **1-Year:** -10498.78000000 | **5-Year:** -25260.56000000 | **10-Year:** -24899.44000000 | **30-Year:** -7190.05000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017803 | -1.35%               | 3.73%                | -0.41%               |
| Class ID C000017802 | -1.34%               | 3.74%                | -0.38%               |
| Class ID C000017804 | -1.35%               | 3.74%                | -0.39%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-35508512.28            | $-11097850.21                              |
| Month 2  | $-17253771.15            | $116829516.59                              |
| Month 3  | $-7085705.61             | $-12449914.26                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                  | Title                                                                                                                | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Octagon Investment Partners XV Ltd                    | Octagon Investment Partners XV Ltd                                                                                   | CUSIP: 67590EAS3<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241777.00    | 0.01%             | 2030-07-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA14                                                                                     | CUSIP: 02146SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1696987 | PA      | $1291619.40   | 0.05%             | 2046-11-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2014-CCRE15 Mortgage Trust                                                                                      | CUSIP: 12591RBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143000 | PA      | $137165.50    | 0.00%             | 2047-02-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                  | Signal Peak CLO 1 LTD                                                                                                | CUSIP: 82666TAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     490000 | PA      | $466758.32    | 0.02%             | 2034-04-17      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     211558 | PA      | $198384.12    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                             | Nelnet Student Loan Trust 2021-C                                                                                     | CUSIP: 64035GAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     110000 | PA      | $84983.66     | 0.00%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                     | 1211 Avenue of the Americas Trust 2015-1211                                                                          | CUSIP: 90117PAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $189045.53    | 0.01%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1602000 | PA      | $1590722.21   | 0.06%             | 2026-05-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                       | IHS Holding Ltd                                                                                                      | CUSIP: 44963HAA3<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |     330000 | PA      | $272415.00    | 0.01%             | 2026-11-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                        | Lehman ABS Mortgage Loan Trust 2007-1                                                                                | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     132408 | PA      | $92775.69     | 0.00%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127538 | PA      | $122200.35    | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RETAIL PROP INC                              | National Retail Properties Inc                                                                                       | CUSIP: 637417AP1<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |     473000 | PA      | $290044.84    | 0.01%             | 2050-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED THB / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $1118.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74499 | PA      | $73357.44     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5853 | PA      | $5626.98      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                | Nationstar Mortgage Holdings Inc                                                                                     | CUSIP: 63861CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     128000 | PA      | $114560.00    | 0.00%             | 2027-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                              | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                        | CUSIP: 709599AX2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     793000 | PA      | $744037.63    | 0.03%             | 2027-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD CAD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-8902.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320801 | PA      | $291511.60    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89723 | PA      | $93597.85     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267722 | PA      | $259164.44    | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                           | Equinix Inc                                                                                                          | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |    2894000 | PA      | $2302290.62   | 0.08%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1301536 | PA      | $1067486.60   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                         | UBS Commercial Mortgage Trust                                                                                        | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6848774 | PA      | $480976.36    | 0.02%             | 2052-10-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                                                     | CUSIP: 12189LBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1338000 | PA      | $973818.52    | 0.03%             | 2051-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                              | Ashton Woods USA LLC / Ashton Woods Finance Co                                                                       | CUSIP: 045086AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     202000 | PA      | $161747.61    | 0.01%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417TP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15443 | PA      | $15309.39     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED EUR / SOLD PLN                                                                                             | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |          1 | NC      | $-1783.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454396 | PA      | $436366.29    | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                    | Raytheon Technologies Corp                                                                                           | CUSIP: 75513ECC3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     425000 | PA      | $334321.69    | 0.01%             | 2044-12-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NEMAK SAB DE CV                                       | Nemak SAB de CV                                                                                                      | CUSIP: 000000000<br>LEI: 5493000MY3DAIB0BP706 | Long             | DBT              | CORP              | MX        |     209000 | PA      | $163487.08    | 0.01%             | 2031-06-28      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                  | DBUBS 2017-BRBK Mortgage Trust                                                                                       | CUSIP: 23305JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231000 | PA      | $198694.23    | 0.01%             | 2034-10-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                        | Option One Mortgage Loan Trust 2007-FXD1                                                                             | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     995767 | PA      | $803619.89    | 0.03%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7181309 | PA      | $6053283.24   | 0.21%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR9 Trust                                                                                 | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     221000 | PA      | $175402.13    | 0.01%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                                                         | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1862000 | PA      | $1337451.94   | 0.05%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                       | Allegro CLO II-S Ltd                                                                                                 | CUSIP: 01751EAC2<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |    1035396 | PA      | $1023148.66   | 0.04%             | 2028-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED USD / SOLD CAD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $921.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC Trust 2017-CALI                                                                                                 | CUSIP: 12652FAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301000 | PA      | $257212.84    | 0.01%             | 2032-11-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17412 | PA      | $17087.21     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 15 Ltd                                                                                                       | CUSIP: 750103AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244184.50    | 0.01%             | 2034-01-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED EUR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $2581.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-H                                                                                      | CUSIP: 00969XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     967110 | PA      | $907001.05    | 0.03%             | 2059-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                    | Royalty Pharma PLC                                                                                                   | CUSIP: 78081BAP8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     179000 | PA      | $110347.27    | 0.00%             | 2051-09-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2019-2                                                                           | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     235053 | PA      | $222141.22    | 0.01%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XIII Ltd                                                                                        | CUSIP: 55818MBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1255178 | PA      | $1239912.53   | 0.04%             | 2030-04-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180E5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217488 | PA      | $204592.91    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                          | Comcast Corp                                                                                                         | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1568000 | PA      | $1447588.25   | 0.05%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 Holdco LLC                                   | LSF11 A5 Holdco LLC Term Loan                                                                                        | CUSIP: 50216YAB6<br>LEI: 254900FPK7P5WNA66Y10 | Long             | LON              | CORP              | US        |    1606858 | PA      | $1554634.63   | 0.05%             | 2028-10-15      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36178EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98590 | PA      | $92717.33     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     853000 | PA      | $789675.95    | 0.03%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1182094 | PA      | $1106558.47   | 0.04%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                              | Baxter International Inc                                                                                             | CUSIP: 071813BY4<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     316000 | PA      | $287698.46    | 0.01%             | 2030-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179UN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21444 | PA      | $19305.77     | 0.00%             | 2049-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42923 | PA      | $40836.14     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                  | Colombia Government International Bond                                                                               | CUSIP: 195325DT9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     400000 | PA      | $239235.59    | 0.01%             | 2051-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15222496 | PA      | $13983616.51  | 0.49%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     521707 | PA      | $14054.57     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-B                                                                                     | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3120000 | PA      | $2478591.34   | 0.09%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                             | Avoca CLO XXII DAC                                                                                                   | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |     150000 | PA      | $147501.57    | 0.01%             | 2035-04-15      | Floating      | 2.68%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                        | Option One Mortgage Loan Trust 2007-FXD1                                                                             | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1490843 | PA      | $1245184.47   | 0.04%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                 | Conseco Finance Securitizations Corp                                                                                 | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     881149 | PA      | $277767.18    | 0.01%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 3 Ltd                                                                                                        | CUSIP: 48661WAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $231981.75    | 0.01%             | 2032-04-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| MIP V Waste Holdings, LLC                             | MIP V Waste Holdings, LLC Term Loan B                                                                                | CUSIP: 000000000<br>LEI: 254900RELOGHR3ZGIQ56 | Long             | LON              | CORP              | US        |     441662 | PA      | $436969.84    | 0.02%             | 2028-12-08      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352448 | PA      | $320679.80    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                                                                  | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    2072000 | PA      | $2009845.47   | 0.07%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2018-A                                                                                      | CUSIP: 00969EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22230 | PA      | $21927.92     | 0.00%             | 2058-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housing                       | Greenpoint Manufactured Housing                                                                                      | CUSIP: 395383AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     220636 | PA      | $219143.30    | 0.01%             | 2029-12-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257861 | PA      | $246706.12    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                   | American International Group Inc                                                                                     | CUSIP: 026874DB0<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     379000 | PA      | $283563.41    | 0.01%             | 2055-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5471000 | PA      | $5056400.78   | 0.18%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED PLN / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $3125.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                       | Cameron LNG LLC                                                                                                      | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    1949000 | PA      | $1582347.24   | 0.06%             | 2038-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                   | Moody's Corp                                                                                                         | CUSIP: 615369AT2<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     520000 | PA      | $359046.16    | 0.01%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28099 | PA      | $25556.93     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2006-3                                                                                | CUSIP: 07324NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97437 | PA      | $90830.52     | 0.00%             | 2036-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4496995 | PA      | $3728439.37   | 0.13%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                        | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2500.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                      | Peruvian Government International Bond                                                                               | CUSIP: 715638BU5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1009000 | PA      | $965383.34    | 0.03%             | 2027-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177269 | PA      | $165498.67    | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                          | Hudson Yards 2019-55HY Mortgage Trust                                                                                | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     662050 | PA      | $445011.08    | 0.02%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| ALLEGIANT TRAVEL CO                                   | Allegiant Travel Co                                                                                                  | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |     350000 | PA      | $332906.62    | 0.01%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2019-C16 Commercial Mortgage Trust                                                                             | CUSIP: 12596WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $102434.85    | 0.00%             | 2052-06-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| BARDOT CLO LTD                                        | Bardot CLO Ltd                                                                                                       | CUSIP: 06744NBN6<br>LEI: 549300KP12IHV6MTDK86 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $227388.75    | 0.01%             | 2032-10-22      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 2017-C6 Mortgage Trust                                                                                         | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2060000 | PA      | $73408.10     | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     773354 | PA      | $724215.18    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                                                          | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     471000 | PA      | $400990.56    | 0.01%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR3                                                                                       | CUSIP: 74333VAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1070000 | PA      | $911106.28    | 0.03%             | 2026-05-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115762 | PA      | $112855.23    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2020-C                                                                                      | CUSIP: 00969HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182236 | PA      | $174336.00    | 0.01%             | 2060-09-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                              | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                                                               | CUSIP: 03969AAQ3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     738000 | PA      | $702382.89    | 0.02%             | 2025-04-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| TAP ROCK RESOURCES LLC                                | Tap Rock Resources LLC                                                                                               | CUSIP: 87602LAA0<br>LEI: 549300Y3SDS1HPFQ6H17 | Long             | DBT              | CORP              | US        |    1447000 | PA      | $1345854.70   | 0.05%             | 2026-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                           | Legacy Mortgage Asset Trust 2020-SL1                                                                                 | CUSIP: 52475KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185951 | PA      | $181540.68    | 0.01%             | 2060-01-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2825883 | PA      | $2181955.20   | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2511000 | PA      | $2064942.34   | 0.07%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1133791 | PA      | $932610.51    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19200 | PA      | $19122.90     | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co                                     | Tampa Electric Co                                                                                                    | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     337000 | PA      | $278044.72    | 0.01%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                                                                   | CUSIP: 86765BAN9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1001000 | PA      | $982981.31    | 0.03%             | 2024-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                               | Public Service Electric and Gas Co                                                                                   | CUSIP: 74456QCC8<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     602000 | PA      | $420953.98    | 0.01%             | 2050-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GJ5A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73036 | PA      | $70453.94     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23286808 | PA      | $20824156.08  | 0.73%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 3-R Ltd                                                                                        | CUSIP: 03330AAE2<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $233666.00    | 0.01%             | 2031-01-28      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                              | Florida Power & Light Co                                                                                             | CUSIP: 341081FQ5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    1923000 | PA      | $1587032.59   | 0.06%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME     | Tiaa Clo III Ltd                                                                                                     | CUSIP: 87272HAA8<br>LEI: 54930043TEPI4UKGHU90 | Long             | ABS-CBDO         | CORP              | KY        |     571000 | PA      | $563704.90    | 0.02%             | 2031-01-16      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7684560 | PA      | $6668416.58   | 0.23%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198772 | PA      | $186273.98    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25140985 | PA      | $21469892.58  | 0.76%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Tory Burch LLC                                        | Tory Burch LLC Term Loan B                                                                                           | CUSIP: 89148GAF7<br>LEI: 549300GGL74W33KY2650 | Long             | LON              | CORP              | US        |     598880 | PA      | $554525.75    | 0.02%             | 2028-04-16      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                | Blackstone Private Credit Fund                                                                                       | CUSIP: 09261HAR8<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    1558000 | PA      | $1285389.90   | 0.05%             | 2029-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31415YBM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79024 | PA      | $79286.86     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO                | Park Avenue Institutional Advisers CLO Ltd 2017-1                                                                    | CUSIP: 70017KAL3<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |    1050000 | PA      | $1020075.00   | 0.04%             | 2034-02-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                                                           | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     532000 | PA      | $441498.89    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27887 | PA      | $26483.65     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman Loan Advisers CLO 37 Ltd                                                                            | CUSIP: 64133GAT7<br>LEI: 5493006JG853WBZS5J73 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242098.00    | 0.01%             | 2031-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                        | Highbridge Loan Management 3-2014                                                                                    | CUSIP: 40436XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     493892 | PA      | $489013.36    | 0.02%             | 2029-07-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC Trust 2017-PFHP                                                                                                 | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $268613.38    | 0.01%             | 2030-12-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645622 | PA      | $587428.93    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                    | Visio 2019-2 Trust                                                                                                   | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169000 | PA      | $118161.30    | 0.00%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -105000 | PA      | $-90967.60    | -0.00%            | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                   | Sound Point CLO XXVI Ltd                                                                                             | CUSIP: 83614XAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $221903.50    | 0.01%             | 2034-07-20      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY10VFT3 IRS PLN R V 03MWIBOR REC WIBO 3M / Short: BRY10VFT3 IRS PLN P F  6.15000 PAY FIX 6.15 PCT            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    5327500 | OU      | $11558.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XVIII Ltd                                                                                       | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4916440.00   | 0.17%             | 2030-10-21      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                              | Yale Mortgage Loan Trust 2007-1                                                                                      | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751160 | PA      | $247117.28    | 0.01%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121814 | PA      | $127173.05    | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                  | DBUBS 2017-BRBK Mortgage Trust                                                                                       | CUSIP: 23305JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1026563 | PA      | $905968.74    | 0.03%             | 2034-10-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6092373 | PA      | $5809246.36   | 0.20%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                                                        | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     386000 | PA      | $304405.75    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2020-VIV4                                                                               | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     693000 | PA      | $560117.25    | 0.02%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31407HZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144641 | PA      | $150088.06    | 0.01%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191074 | PA      | $183736.13    | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FIN                                 | Trivium Packaging Finance BV                                                                                         | CUSIP: 89686QAA4<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |     317000 | PA      | $290668.59    | 0.01%             | 2026-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126807 | PA      | $115332.08    | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2140924 | PA      | $1755130.90   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                           | Exelon Corp                                                                                                          | CUSIP: 30161NBH3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     445000 | PA      | $355583.40    | 0.01%             | 2052-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| METALSA SA DE CV                                      | Metalsa S A P I De Cv                                                                                                | CUSIP: 000000000<br>LEI: 549300F2FONGJR575V67 | Long             | DBT              | CORP              | MX        |     209000 | PA      | $163542.50    | 0.01%             | 2031-05-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                 | Norfolk Southern Corp                                                                                                | CUSIP: 655844CP1<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     515000 | PA      | $447629.46    | 0.02%             | 2053-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68762 | PA      | $66462.59     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                            | Nucor Corp                                                                                                           | CUSIP: 670346AS4<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     568000 | PA      | $481668.88    | 0.02%             | 2030-06-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                                                             | CUSIP: 00206RJK9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     340000 | PA      | $285400.39    | 0.01%             | 2044-06-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CBX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10482000 | PA      | $10337872.50  | 0.36%             | 2023-04-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6705000 | PA      | $6447812.29   | 0.23%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97119 | PA      | $93477.32     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-CIP                                                                                | CUSIP: 12434FAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1223000 | PA      | $1124874.92   | 0.04%             | 2038-12-15      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                                  | Waste Management Inc                                                                                                 | CUSIP: 94106LBN8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     769000 | PA      | $642315.37    | 0.02%             | 2028-03-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED USD / SOLD AUD                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1039.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                  | Mariner CLO 2016-3 LLC                                                                                               | CUSIP: 56845AAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     235903 | PA      | $233071.55    | 0.01%             | 2029-07-23      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                      | IndyMac INDX Mortgage Loan Trust 2007-AR19                                                                           | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     653095 | PA      | $422399.93    | 0.01%             | 2037-09-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| GRUPO AVAL LTD                                        | Grupo Aval Ltd                                                                                                       | CUSIP: 40053FAC2<br>LEI: 549300J4FW1ELLQ80113 | Long             | DBT              | CORP              | KY        |     431000 | PA      | $349123.26    | 0.01%             | 2030-02-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                               | HCA Inc                                                                                                              | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     283000 | PA      | $284785.80    | 0.01%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                               | Oncor Electric Delivery Co LLC                                                                                       | CUSIP: 68233JCG7<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     859000 | PA      | $785204.36    | 0.03%             | 2052-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| STEM INC                                              | Stem Inc                                                                                                             | CUSIP: 85859NAA0<br>LEI: 549300GVWIYFILN5V546 | Long             | DBT              | CORP              | US        |     102000 | PA      | $64137.60     | 0.00%             | 2028-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co                                   | Consumers Energy Co                                                                                                  | CUSIP: 210518DE3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    1357000 | PA      | $1057450.70   | 0.04%             | 2050-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49930 | PA      | $46820.43     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180E4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179110 | PA      | $168440.18    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY6SDNK2 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BRY6SDNK2 IRS EUR P F  2.22000 2 CCPVANILLA               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1498000 | OU      | $28846.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41936 | PA      | $41139.51     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210150 | PA      | $201026.67    | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OP CO LP/FIVE                              | Five Point Operating Co LP / Five Point Capital Corp                                                                 | CUSIP: 33834YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     794000 | PA      | $667453.10    | 0.02%             | 2025-11-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191739 | PA      | $179299.95    | 0.01%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138Y5X76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132222 | PA      | $123148.74    | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                              | Brookfield Residential Properties Inc / Brookfield Residential US LLC                                                | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     265000 | PA      | $207063.05    | 0.01%             | 2029-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2013-I Ltd                                                                                              | CUSIP: 12549AAN0<br>LEI: 549300PC4RPZFE70AI24 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243735.25    | 0.01%             | 2030-07-16      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| KENBOURNE INVEST SA                                   | Kenbourne Invest SA                                                                                                  | CUSIP: 48855KAC4<br>LEI: 222100QGH6Y9KFYZ4B27 | Long             | DBT              | CORP              | LU        |     210000 | PA      | $163799.97    | 0.01%             | 2028-01-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                              | Foundation Finance Trust 2021-2                                                                                      | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |     817930 | PA      | $747595.58    | 0.03%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116709 | PA      | $118182.88    | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED USD / SOLD NOK                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-421.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                                | CUSIP: 013092AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     135000 | PA      | $128341.80    | 0.00%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRWWF0HC4 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWF0HC4 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     314000 | OU      | $1017.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | Long: BRYAXZVT0 IRS BRL R F 13.98000 2 NDFPREDISWAP / Short: BRYAXZVT0 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    3616953 | OU      | $3201.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                    | Seasoned Loans Structured Transaction Trust Series 2020-2                                                            | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2550000 | PA      | $2411061.98   | 0.08%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                             | BPR Trust 2021-TY                                                                                                    | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492000 | PA      | $444653.31    | 0.02%             | 2038-09-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                                                            | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    1540000 | PA      | $1474112.39   | 0.05%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRY60G2M4 BLACKROCK SWAPTION 3.1 PUT USD 20230810                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -24293848 | NC      | $-1200728.30  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                | Mosaic Solar Loan Trust 2019-2                                                                                       | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     123296 | PA      | $105908.66    | 0.00%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36179DLP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158325 | PA      | $148897.28    | 0.01%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90519 | PA      | $84563.29     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1177017.74   | 0.04%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                      | Trestles Clo IV Ltd                                                                                                  | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |    1170000 | PA      | $1144419.12   | 0.04%             | 2034-07-21      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust        | Structured Adjustable Rate Mortgage Loan Trust                                                                       | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183218 | PA      | $112065.81    | 0.00%             | 2036-04-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 1 Ltd.                           | Diameter Capital Clo 1 Ltd                                                                                           | CUSIP: 25255DAA8<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239813.25    | 0.01%             | 2036-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRY5QWP63 BLACKROCK SWAPTION 3.48 PUT USD 20230810                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        | -328525069 | NC      | $-3564102.77  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                          | QUALCOMM Inc                                                                                                         | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     408000 | PA      | $357312.17    | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                                                             | CUSIP: 38379KHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150184 | PA      | $3639.72      | 0.00%             | 2050-02-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                              | Digicel International Finance Ltd/Digicel international Holdings Ltd                                                 | CUSIP: 25381XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     121567 | PA      | $104547.62    | 0.00%             | 2024-05-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-E                                                                                      | CUSIP: 00969TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1170650 | PA      | $1107808.61   | 0.04%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36200MHW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10950 | PA      | $11467.31     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580280 | PA      | $527978.65    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136325 | PA      | $128206.41    | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                       | BAE Systems PLC                                                                                                      | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    1468000 | PA      | $1295383.15   | 0.05%             | 2030-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                              | Northern States Power Co/MN                                                                                          | CUSIP: 665772CN7<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     471000 | PA      | $383518.34    | 0.01%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745135 | PA      | $628093.51    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                      | Societe Generale                                                                                                     | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |     100000 | PA      | $100000.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                    | Mattamy Group Corp                                                                                                   | CUSIP: 57701RAJ1<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |     559000 | PA      | $495739.71    | 0.02%             | 2027-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                 | Caesars Entertainment Inc                                                                                            | CUSIP: 28470RAK8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     761000 | PA      | $747720.55    | 0.03%             | 2027-07-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| State of California                                   | CALIFORNIA ST                                                                                                        | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3765000 | PA      | $3544251.27   | 0.12%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                  | PURCHASED USD / SOLD GBP                                                                                             | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-1025.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1190289 | PA      | $973937.40    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     880209 | PA      | $822639.94    | 0.03%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                                                                | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2908000 | PA      | $2324611.00   | 0.08%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Dryden Senior Loan Fund                               | Dryden 53 CLO Ltd                                                                                                    | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6020000 | PA      | $5951811.46   | 0.21%             | 2031-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101085 | PA      | $94673.95     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                                                            | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    3226000 | PA      | $2475763.54   | 0.09%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: —       |
| Republic Finance Issuance Trust                       | Republic Finance Issuance Trust 2021-A                                                                               | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     170000 | PA      | $147680.34    | 0.01%             | 2031-12-22      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                              | AT&T Inc                                                                                                             | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4468000 | PA      | $4061630.31   | 0.14%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-6291.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     516041 | PA      | $493998.13    | 0.02%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252330 | PA      | $242262.28    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                                                          | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1349000 | PA      | $961080.55    | 0.03%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                  | Colombia Government International Bond                                                                               | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     361000 | PA      | $361901.59    | 0.01%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-1 AA PTT                              | American Airlines 2017-1 Class AA Pass Through Trust                                                                 | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     295701 | PA      | $263102.20    | 0.01%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Trust                            | Home Equity Mortgage Trust 2006-2                                                                                    | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     477234 | PA      | $56948.70     | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2020-3 Ltd                                                                                         | CUSIP: 69701RAL1<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245857.50    | 0.01%             | 2031-11-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Northern Trust Co.                                    | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: 6PTKHDJ8HDUF78PFWH30 | N/A              | DFE              |  | US        |          1 | NC      | $-6223.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11719811 | PA      | $9552390.73   | 0.34%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                     | Generate CLO 3 Ltd                                                                                                   | CUSIP: 98625UAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     850000 | PA      | $833536.35    | 0.03%             | 2029-10-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                                                               | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1265000 | PA      | $1194653.63   | 0.04%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SONDER SECURED NOTES BND                              | SONDER SECURED NOTES BND                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1493524 | PA      | $1346113.42   | 0.05%             | 2027-01-19      | Variable      | 11.32%                | Yes           |                  3 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                                                        | CUSIP: 466330AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     787000 | PA      | $747489.29    | 0.03%             | 2038-04-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                                                        | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2495000 | PA      | $2126987.50   | 0.07%             | 2026-02-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                        | Palmer Square Loan Funding 2021-4 Ltd                                                                                | CUSIP: 69702JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     270000 | PA      | $237872.97    | 0.01%             | 2029-10-15      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                                                     | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     427000 | PA      | $284668.94    | 0.01%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-E                                                                                      | CUSIP: 009740AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     744000 | PA      | $595415.61    | 0.02%             | 2060-12-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 2013-1 Ltd                                                                                     | CUSIP: 033292AQ6<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |     835000 | PA      | $825914.37    | 0.03%             | 2030-10-13      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                                                        | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     590000 | PA      | $416040.80    | 0.01%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                        | Mariner Finance Issuance Trust 2019-A                                                                                | CUSIP: 56847MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     560000 | PA      | $531446.89    | 0.02%             | 2032-07-20      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1296093 | PA      | $1200892.23   | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Refi Loan Trust 2021-D                                                                     | CUSIP: 63942CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     280000 | PA      | $250672.16    | 0.01%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4288000 | PA      | $3327096.46   | 0.12%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                    | Raytheon Technologies Corp                                                                                           | CUSIP: 75513EBZ3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1810000 | PA      | $1954014.66   | 0.07%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146959 | PA      | $140753.46    | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2018-B                                                                                      | CUSIP: 00969FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49861 | PA      | $38647.01     | 0.00%             | 2057-02-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd                                   | Great Lakes CLO 2019-1 Ltd                                                                                           | CUSIP: 390578AL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     730000 | PA      | $717514.81    | 0.03%             | 2031-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| GOL FINANCE SA                                        | Gol Finance SA                                                                                                       | CUSIP: 36254VAA6<br>LEI: 5299007RH8MA67ZC6J07 | Long             | DBT              | CORP              | LU        |     400000 | PA      | $176168.09    | 0.01%             | 2025-01-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                                 | AIMCO CLO Series 2018-B                                                                                              | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     940000 | PA      | $923052.74    | 0.03%             | 2032-01-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED AUD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $2185.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22038 | PA      | $20629.45     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fidelity Grand Harbour CLO                            | Fidelity Grand Harbour CLO 2021-1 DAC                                                                                | CUSIP: 000000000<br>LEI: 635400KPYNGCFZ6MDR25 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $226355.64    | 0.01%             | 2034-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                               | Kinder Morgan Energy Partners LP                                                                                     | CUSIP: 494550BP0<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     521000 | PA      | $445008.91    | 0.02%             | 2043-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                   | Oportun Issuance Trust 2021-C                                                                                        | CUSIP: 68377WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1191000 | PA      | $1033791.81   | 0.04%             | 2031-10-08      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                | Blackstone Private Credit Fund                                                                                       | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     512000 | PA      | $431084.27    | 0.02%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding II CLO Ltd                                                                                             | CUSIP: 15032TBG0<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |     510000 | PA      | $477582.36    | 0.02%             | 2034-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                                                      | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1119000 | PA      | $1002294.90   | 0.04%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities        | Credit Suisse First Boston Mortgage Securities Corp                                                                  | CUSIP: 22540VHP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     373203 | PA      | $357486.28    | 0.01%             | 2031-09-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc          | BAMLL Commercial Mortgage Securities Trust 2017-SCH                                                                  | CUSIP: 054966AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     630000 | PA      | $534591.29    | 0.02%             | 2032-11-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co LLC                               | AEP Transmission Co LLC                                                                                              | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     358000 | PA      | $273046.40    | 0.01%             | 2050-04-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                 | Norfolk Southern Corp                                                                                                | CUSIP: 655844CF3<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    1278000 | PA      | $855982.02    | 0.03%             | 2050-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XR3E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273690 | PA      | $263170.01    | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRYBBRV60 BLACKROCK SWAPTION 4.0 CALL USD 20230630                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  731697000 | NC      | $961303.52    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2020-SDAL                                                                      | CUSIP: 95002GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $281328.96    | 0.01%             | 2037-02-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     754208 | PA      | $720926.72    | 0.03%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 15 Ltd                                   | AGL Core CLO 15 Ltd                                                                                                  | CUSIP: 00121GAA6<br>LEI: 5493001O95I190NV0196 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243484.50    | 0.01%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8242000 | PA      | $6810749.34   | 0.24%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                      | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2119000 | PA      | $1249998.25   | 0.04%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                     | Generate CLO 3 Ltd                                                                                                   | CUSIP: 98625UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     598506 | PA      | $592150.04    | 0.02%             | 2029-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                        | PURCHASED USD / SOLD CHF                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3329.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-D                                                                                     | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1640000 | PA      | $1306714.94   | 0.05%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                    | JP Morgan Alternative Loan Trust 2007-A2                                                                             | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143684 | PA      | $119046.54    | 0.00%             | 2037-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | Long: BRY5P81F3 IRS BRL R F 11.65000 2 NDFPREDISWAP / Short: BRY5P81F3 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |    1837207 | OU      | $-6841.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFT Trust                                             | MFT Trust 2020-ABC                                                                                                   | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350781 | PA      | $251649.55    | 0.01%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                       | DTE Electric Co                                                                                                      | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     744000 | PA      | $574872.21    | 0.02%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42911 | PA      | $41953.33     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66331 | PA      | $62111.81     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                                                                    | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     783000 | PA      | $770706.20    | 0.03%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104900 | PA      | $80742.61     | 0.00%             | 2053-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     820562 | PA      | $806088.03    | 0.03%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED KRW / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $3506.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307JA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99277 | PA      | $92983.30     | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20259028 | PA      | $18641892.23  | 0.66%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                          | Parallel 2015-1 Ltd                                                                                                  | CUSIP: 69915VAS9<br>LEI: 549300IVH7GEF68EFD31 | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $341909.75    | 0.01%             | 2027-07-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                     | Clean Harbors Inc                                                                                                    | CUSIP: 184496AN7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |     142000 | PA      | $134545.00    | 0.00%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust           | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                                                                | CUSIP: 38149XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     403000 | PA      | $351758.03    | 0.01%             | 2051-06-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                  | OHA Loan Funding 2013-2 Ltd                                                                                          | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5670000 | PA      | $5598750.78   | 0.20%             | 2031-05-23      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                        | ICG US CLO 2015-1 Ltd                                                                                                | CUSIP: 44931AAJ8<br>LEI: 254900IL8TH4VLG5DO47 | Long             | ABS-CBDO         | CORP              | KY        |     889222 | PA      | $877797.75    | 0.03%             | 2028-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD AUD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1470.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WAFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     654601 | PA      | $627882.13    | 0.02%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                                                           | CUSIP: 034863AZ3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     951000 | PA      | $799744.92    | 0.03%             | 2028-03-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                   | Oportun Issuance Trust 2021-B                                                                                        | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $83954.33     | 0.00%             | 2031-05-08      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Republic of Turkey                                    | Turkey Government International Bond                                                                                 | CUSIP: 900123CB4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     458000 | PA      | $297038.65    | 0.01%             | 2043-04-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     454875 | PA      | $383427.81    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     836134 | PA      | $700854.78    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                            | AbbVie Inc                                                                                                           | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     789000 | PA      | $678090.66    | 0.02%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                                                    | CUSIP: 05609BBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1110000 | PA      | $975522.50    | 0.03%             | 2036-02-15      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Citibank N.A.                                         | BRYBD5U18 BLACKROCK FXVAN CALL USD JPY 142.0000000                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -1014000 | OU      | $-1484.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                       | LSTAR Commercial Mortgage Trust 2015-3                                                                               | CUSIP: 54910JAN4<br>LEI: 549300MAI3U5Y4VL8H37 | Long             | ABS-MBS          | CORP              | US        |      56756 | PA      | $54222.76     | 0.00%             | 2048-04-20      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2930458 | PA      | $2388284.45   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                    | Raytheon Technologies Corp                                                                                           | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     466000 | PA      | $301858.01    | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                               | Marathon Petroleum Corp                                                                                              | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |       7458 | NS      | $868036.62    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIR 2020-1 B PTT                               | United Airlines 2020-1 Class B Pass Through Trust                                                                    | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     483870 | PA      | $460346.81    | 0.02%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                      | Bain Capital Credit CLO 2018-2                                                                                       | CUSIP: 05682VAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241235.25    | 0.01%             | 2031-07-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2021-V Ltd                                                                                              | CUSIP: 12565EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $271143.04    | 0.01%             | 2034-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2020-1                                                                        | CUSIP: 92259LAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148704 | PA      | $124807.53    | 0.00%             | 2050-02-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                          | Ecopetrol SA                                                                                                         | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     909000 | PA      | $824310.78    | 0.03%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                 | MET TRANSPRTN AUTH NY REVENUE                                                                                        | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     170000 | PA      | $175590.13    | 0.01%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2576061 | PA      | $2215224.23   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                   | Sound Point Clo XV Ltd                                                                                               | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |     186680 | PA      | $184289.90    | 0.01%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1442324 | PA      | $1186856.68   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Emerald Technologies (U.S.) Acquisitionco, Inc        | Emerald Technologies (U.S.) Acquisitionco, Inc Term Loan                                                             | CUSIP: 29102UAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     601506 | PA      | $570928.68    | 0.02%             | 2027-12-29      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417KZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313288 | PA      | $309453.56    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                  | PURCHASED JPY / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | JP        |          1 | NC      | $4623.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SHELF DRILL NO SEA HOLD                               | Shelf Drilling North Sea Holdings Ltd                                                                                | CUSIP: 822541AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     730000 | PA      | $722700.00    | 0.03%             | 2025-10-31      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                | Sequoia Mortgage Trust 2007-3                                                                                        | CUSIP: 81744MAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166127 | PA      | $132692.32    | 0.00%             | 2037-07-20      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                      | Altria Group Inc                                                                                                     | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     829000 | PA      | $549831.61    | 0.02%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                            | FIXED INC CLEARING CORP.REPO                                                                                         | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  348565360 | PA      | $348565359.99 | 12.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2018-F                                                                                      | CUSIP: 00969JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71230 | PA      | $46466.37     | 0.00%             | 2058-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                      | TRESTLES CLO III LTD                                                                                                 | CUSIP: 89532TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     520000 | PA      | $507065.52    | 0.02%             | 2033-01-20      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                        | Romark CLO IV Ltd                                                                                                    | CUSIP: 77588LAG6<br>LEI: 549300HD9K8XL8QM2Z46 | Long             | ABS-CBDO         | CORP              | KY        |     310000 | PA      | $286903.45    | 0.01%             | 2034-07-10      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177195 | PA      | $174934.76    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58429 | PA      | $55793.69     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2030341 | PA      | $1663756.48   | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                      | Hewlett Packard Enterprise Co                                                                                        | CUSIP: 42824CAY5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     301000 | PA      | $300210.26    | 0.01%             | 2045-10-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                | Motorola Solutions Inc                                                                                               | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    1312000 | PA      | $1025922.11   | 0.04%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1352649.11   | 0.05%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                                                     | CUSIP: 26441CBV6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     850000 | PA      | $848158.08    | 0.03%             | 2025-12-08      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED IDR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $-1253.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7256871 | PA      | $6603458.87   | 0.23%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XXV Ltd                                                                                         | CUSIP: 55820RAL6<br>LEI: 254900B0583OW8RQ8N33 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243798.50    | 0.01%             | 2029-04-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Offerpad Solutions Inc                                | Offerpad Solutions Inc                                                                                               | CUSIP: 67623L117<br>LEI: N/A                  | N/A              | DE               |  | US        |      31569 | NS      | $710.30       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BlueMountain EUR CLO                                  | Bluemountain Euro 2021-2 CLO DAC                                                                                     | CUSIP: 000000000<br>LEI: 635400FUA3XKDDGLJL55 | Long             | ABS-CBDO         | CORP              | IE        |     560000 | PA      | $547787.37    | 0.02%             | 2035-10-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| AIG CLO LTD                                           | AIG CLO 2018-1 LLC                                                                                                   | CUSIP: 00141UAC7<br>LEI: 549300BOP4S1F44PKE29 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245983.00    | 0.01%             | 2032-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                                                     | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    1341000 | PA      | $1173097.69   | 0.04%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                              | Digicel International Finance Ltd/Digicel international Holdings Ltd                                                 | CUSIP: 25381XAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      48530 | PA      | $21353.20     | 0.00%             | 2026-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Exelon Corp                                           | Exelon Corp                                                                                                          | CUSIP: 30161NAV3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     114000 | PA      | $96296.13     | 0.00%             | 2046-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED MXN / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $2670.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT Corp                                              | EQT Corp                                                                                                             | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     597000 | PA      | $551129.65    | 0.02%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3326126 | PA      | $2860136.36   | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Southwestern Energy Company                           | Southwestern Energy Company 2021 Term Loan                                                                           | CUSIP: 84546SAU7<br>LEI: EFWMP121W54QV9MGOP87 | Long             | LON              | CORP              | US        |     688795 | PA      | $682768.04    | 0.02%             | 2027-06-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     628569 | PA      | $580010.67    | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRYB31G22 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BRYB31G22 IRS PLN P F  5.67000 2 CCPVANILLA               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1199000 | OU      | $4805.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | Long: BRT7MBEL4 CDS USD R V 01MEVENT 1 CMBX / Short: BRT7MBEL4 CDS USD P F   .50000 2 CMBX                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    2340000 | OU      | $-170.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256090 | PA      | $240122.93    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                          | QUALCOMM Inc                                                                                                         | CUSIP: 747525BS1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    1536000 | PA      | $1599159.74   | 0.06%             | 2033-05-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                                                      | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     851000 | PA      | $825719.24    | 0.03%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                   | Charles Schwab Corp/The                                                                                              | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    1658000 | PA      | $1322172.10   | 0.05%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229869 | PA      | $225101.15    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREEWIRE TECH NOTES + WTS                             | FREEWIRE TECH NOTES + WTS                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1123937.50   | 0.04%             | 2025-03-31      | Variable      | 13.00%                | Yes           |                  3 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                              | Huntington Ingalls Industries Inc                                                                                    | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     404000 | PA      | $332996.35    | 0.01%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                        | Galaxy XXII CLO Ltd                                                                                                  | CUSIP: 36320TAV5<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |     660000 | PA      | $642853.86    | 0.02%             | 2034-04-16      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust            | JPMBB Commercial Mortgage Securities Trust 2014-C22                                                                  | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1215252 | PA      | $11400.88     | 0.00%             | 2047-09-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| IPS CORPORATION                                       | IPS Corporation 2021 2nd Lien Term Loan B                                                                            | CUSIP: 12659EAF5<br>LEI: 25490024F0AS5UR7DB02 | Long             | LON              | CORP              | US        |       5569 | PA      | $4789.02      | 0.00%             | 2029-10-01      | Floating      | 11.38%                | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                   | PURCHASED AUD / SOLD CAD                                                                                             | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | AU        |          1 | NC      | $3236.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                   | Oportun Issuance Trust 2021-C                                                                                        | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2187033.00   | 0.08%             | 2031-10-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                                                            | CUSIP: 037833EA4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     583000 | PA      | $352774.69    | 0.01%             | 2060-08-20      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | Long: BRY7KK4U1 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY7KK4U1 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    1956035 | OU      | $-2588.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2135000 | PA      | $1970017.53   | 0.07%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33716 | PA      | $31975.29     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XTDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392612 | PA      | $384464.41    | 0.01%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                    | BX Trust 2019-OC11                                                                                                   | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1743000 | PA      | $1389023.54   | 0.05%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                     | GreenPoint Mortgage Funding Trust 2006-AR2                                                                           | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95475 | PA      | $90306.11     | 0.00%             | 2036-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220701 | PA      | $216808.10    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                       | Venture 32 CLO Ltd                                                                                                   | CUSIP: 92325QAC1<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |     420000 | PA      | $413241.78    | 0.01%             | 2031-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418NYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36853 | PA      | $36764.84     | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                                                         | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     132000 | PA      | $93724.46     | 0.00%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PUMA INTERNATIONAL FINAN                              | Puma International Financing SA                                                                                      | CUSIP: 000000000<br>LEI: 222100YFBPO7IDRUBR17 | Long             | DBT              | CORP              | LU        |     258000 | PA      | $240394.08    | 0.01%             | 2024-10-06      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                               | HCA Inc                                                                                                              | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      68000 | PA      | $67787.54     | 0.00%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2017-HSDB                                                                      | CUSIP: 95001EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     490000 | PA      | $483297.44    | 0.02%             | 2031-12-13      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236396 | PA      | $223783.76    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                           | Origen Manufactured Housing Contract Trust 2001-A                                                                    | CUSIP: 68619AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     234091 | PA      | $211218.63    | 0.01%             | 2032-03-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL BANK                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2190000 | PA      | $0.22         | 0.00%             | 2017-09-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED EUR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $25149.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                 | MidAmerican Energy Co                                                                                                | CUSIP: 595620AU9<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     687000 | PA      | $582734.61    | 0.02%             | 2049-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                               | Transcontinental Gas Pipe Line Co LLC                                                                                | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2280000 | PA      | $2139216.95   | 0.08%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | Long: BRTLVS9X6 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTLVS9X6 IRS USD P F  3.15550 2 CCPVANILLA               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1279000 | OU      | $50636.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                    | BX Trust 2019-OC11                                                                                                   | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168000 | PA      | $140544.58    | 0.00%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                       | Cameron LNG LLC                                                                                                      | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     569000 | PA      | $479978.97    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 37 Ltd                    | Octagon Investment Partners 37 Ltd                                                                                   | CUSIP: 67591VAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242657.50    | 0.01%             | 2030-07-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: B95V4ZF94 CDS EUR R V 03MEVENT 1 CCPCDX / Short: B95V4ZF94 CDS EUR P F  1.00000 2 CCPCDX                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2890000 | OU      | $-13723.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                              | Southwestern Public Service Co                                                                                       | CUSIP: 845743BU6<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    1333000 | PA      | $919352.41    | 0.03%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2498000 | PA      | $2191331.61   | 0.08%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                               | Kinder Morgan Energy Partners LP                                                                                     | CUSIP: 494550BN5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     317000 | PA      | $271329.37    | 0.01%             | 2042-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | Long: SRY7QZVK4 IRS MXN R F 10.30000 2 CCPVANILLA / Short: SRY7QZVK4 IRS MXN P V 01MTIIE 1 CCPVANILLA                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   29751000 | OU      | $-7939.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75846 | PA      | $74161.61     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                         | Westlake Corp                                                                                                        | CUSIP: 960413BA9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |     916000 | PA      | $540181.68    | 0.02%             | 2061-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                              | Anheuser-Busch InBev Worldwide Inc                                                                                   | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    1519000 | PA      | $1499393.36   | 0.05%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2144103 | PA      | $1749939.09   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | Long: BRT9NQ841 CDS USD R F  2.00000 2 CMBX / Short: BRT9NQ841 CDS USD P V 01MEVENT 1 CMBX                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     660000 | OU      | $-42621.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1692199 | PA      | $1616417.65   | 0.06%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                      | CARLYLE US CLO 2021-6 LTD                                                                                            | CUSIP: 143133AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     610000 | PA      | $595599.73    | 0.02%             | 2034-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20100000 | PA      | $15132316.36  | 0.53%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379728 | PA      | $336936.46    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Springs Windows Fashions, LLC                         | Springs Windows Fashions, LLC 2021 Term Loan B                                                                       | CUSIP: 78489HAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     341285 | PA      | $280536.27    | 0.01%             | 2028-10-06      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2013-2 Ltd                                                                                         | CUSIP: 69688AAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     560000 | PA      | $550035.92    | 0.02%             | 2031-10-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $5407.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160817 | PA      | $153704.30    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED ZAR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $5322.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | Long: BRTREETG8 CDS USD R V 01MEVENT 1 CMBX / Short: BRTREETG8 CDS USD P F  3.00000 2 CMBX                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     105000 | OU      | $19802.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD AUD                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-15746.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                      | Symphony CLO XXIII Ltd                                                                                               | CUSIP: 87167NDE2<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242089.75    | 0.01%             | 2034-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3706000 | PA      | $2969577.26   | 0.10%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                    | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                                                                 | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |     355000 | PA      | $360006.81    | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418RGR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6581 | PA      | $6504.96      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                  | YPF SA                                                                                                               | CUSIP: 984245AR1<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |     235000 | PA      | $140929.16    | 0.00%             | 2047-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1015363 | PA      | $1005338.20   | 0.04%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                                                         | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1381000 | PA      | $1138944.93   | 0.04%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FORESTAR GROUP INC                                    | Forestar Group Inc                                                                                                   | CUSIP: 346232AE1<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |     659000 | PA      | $565398.68    | 0.02%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                                                                   | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    2147000 | PA      | $2036789.51   | 0.07%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     813933 | PA      | $741446.95    | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                                                           | CUSIP: 034863AU4<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    1264000 | PA      | $1195451.46   | 0.04%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 5-R Ltd                                                                                        | CUSIP: 03329AAE5<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |    2410000 | PA      | $2362448.29   | 0.08%             | 2030-01-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2022884 | PA      | $1658746.10   | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | Credit Suisse Mortgage Capital Certificates                                                                          | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2614685 | PA      | $1032824.81   | 0.04%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mortgage Loan Trust       | Bayview Financial Revolving Asset Trust 2005-E                                                                       | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180372 | PA      | $181087.32    | 0.01%             | 2040-12-28      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED USD / SOLD TWD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $598.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                                                                    | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     383000 | PA      | $276102.71    | 0.01%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7336600 | PA      | $7059689.50   | 0.25%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fertitta Entertainment, LLC                           | Fertitta Entertainment, LLC 2022 Term Loan B                                                                         | CUSIP: 31556PAB3<br>LEI: 984500A0805D8V551D35 | Long             | LON              | CORP              | US        |    1545973 | PA      | $1471572.95   | 0.05%             | 2029-01-27      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397739 | PA      | $327551.28    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| White Cap Buyer LLC                                   | White Cap Buyer LLC Term Loan B                                                                                      | CUSIP: 96350TAC4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1362330 | PA      | $1319851.50   | 0.05%             | 2027-10-19      | Variable      | 8.07%                 | 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        |    2191000 | PA      | $2073592.42   | 0.07%             | 2038-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XERE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335903 | PA      | $324438.40    | 0.01%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32523 | PA      | $32459.07     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                      | Long: BRT5A8LG1 CDS USD R F  3.00000 2 CMBX / Short: BRT5A8LG1 CDS USD P V 01MEVENT 1 CMBX                           | CUSIP: 000000000<br>LEI: ANGGYXNX0JLX3X63JN86 | N/A              | DCR              |  | US        |     340000 | OU      | $-83378.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1666869 | PA      | $1438479.30   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR10 Trust                                                                                | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1405674 | PA      | $1148692.70   | 0.04%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                | SLM Private Credit Student Loan Trust 2004-B                                                                         | CUSIP: 78443CBN3<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |     240600 | PA      | $239881.35    | 0.01%             | 2024-03-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                      | Carlyle US CLO 2021-10 LTD                                                                                           | CUSIP: 14316YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     710000 | PA      | $689471.06    | 0.02%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                         | Voyager OPTONE Delaware Trust                                                                                        | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3016967 | PA      | $835951.83    | 0.03%             | 2038-02-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT                              | United Airlines 2018-1 Class AA Pass Through Trust                                                                   | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     218461 | PA      | $188601.27    | 0.01%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                                                        | CUSIP: 466330AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $422894.34    | 0.01%             | 2038-04-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                                                     | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     593000 | PA      | $467369.05    | 0.02%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                                                                   | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     968000 | PA      | $896319.60    | 0.03%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman Loan Advisers CLO 26 Ltd                                                                            | CUSIP: 64131QAJ9<br>LEI: 549300P0MOXZPIM3AS61 | Long             | ABS-CBDO         | CORP              | KY        |    1770000 | PA      | $1744494.30   | 0.06%             | 2030-10-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1213013 | PA      | $998952.52    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                    | Tricon Residential 2021-SFR1 Trust                                                                                   | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     795000 | PA      | $672320.77    | 0.02%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                              | Banco Mercantil del Norte SA/Grand Cayman                                                                            | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     300000 | PA      | $267313.47    | 0.01%             | 2027-01-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133342 | PA      | $138267.78    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95961 | PA      | $92570.46     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307MNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297040 | PA      | $284506.44    | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157569 | PA      | $146175.94    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition Trust                   | Bayview Financial Revolving Asset Trust 2004-B                                                                       | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3755473 | PA      | $2937118.92   | 0.10%             | 2039-05-28      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED CLP / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CL        |          1 | NC      | $12085.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Avoca CLO                                             | Avoca CLO XXII DAC                                                                                                   | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $222880.16    | 0.01%             | 2035-04-15      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                                                        | CUSIP: 677415CQ2<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     390000 | PA      | $316397.24    | 0.01%             | 2048-04-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                              | Digicel International Finance Ltd/Digicel international Holdings Ltd                                                 | CUSIP: 25381XAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      73953 | PA      | $38085.80     | 0.00%             | 2025-12-31      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                                                             | CUSIP: 38379K7R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1083670 | PA      | $24705.39     | 0.00%             | 2055-09-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                   | Sound Point CLO II Ltd                                                                                               | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $493059.00    | 0.02%             | 2031-01-26      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402706 | PA      | $387222.53    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                         | HTA Group Ltd/Mauritius                                                                                              | CUSIP: 40435WAB6<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |     205000 | PA      | $188600.00    | 0.01%             | 2025-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO 2016-2 Ltd                                                                                          | CUSIP: 09628WBA9<br>LEI: 549300O2Y407FNHQWX93 | Long             | ABS-CBDO         | CORP              | KY        |     260000 | PA      | $249732.34    | 0.01%             | 2032-08-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9966 | PA      | $9345.19      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $5407.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC 3 CLO 1 LLC                         | Golub Capital BDC 3 CLO 1 LLC                                                                                        | CUSIP: 38177XAE4<br>LEI: 254900GKK16EMNSQ3D94 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $220999.25    | 0.01%             | 2033-04-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5170000 | PA      | $4421285.50   | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                              | Duke Energy Progress LLC                                                                                             | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1816000 | PA      | $1671655.98   | 0.06%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     734644 | PA      | $688460.73    | 0.02%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 AA PTT                                | American Airlines 2015-2 Class AA Pass Through Trust                                                                 | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     224239 | PA      | $201135.54    | 0.01%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Pear Therapeutics Inc                                 | Pear Therapeutics Inc                                                                                                | CUSIP: 704723113<br>LEI: N/A                  | N/A              | DE               |  | US        |      10748 | NS      | $1600.38      | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526260 | PA      | $478647.21    | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO X Ltd                                                                                                  | CUSIP: 07132JBE3<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |     480000 | PA      | $462578.40    | 0.02%             | 2035-01-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                | Commonwealth Edison Co                                                                                               | CUSIP: 202795JQ4<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     485000 | PA      | $344825.51    | 0.01%             | 2049-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY94NCM8 IRS GBP R V 12MSONIA 1 CCPOIS / Short: BRY94NCM8 IRS GBP P F  3.23590 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1493600 | OU      | $-21944.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust         | BHG Securitization Trust 2021-B                                                                                      | CUSIP: 08862BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     130000 | PA      | $102320.36    | 0.00%             | 2034-10-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| NEW HOME CO INC/THE                                   | New Home Co Inc/The                                                                                                  | CUSIP: 645370AC1<br>LEI: 549300PLCE8TB3TVRQ85 | Long             | DBT              | CORP              | US        |     215000 | PA      | $183825.00    | 0.01%             | 2025-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                                                              | CUSIP: 83208AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     120000 | PA      | $109257.72    | 0.00%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2021-4                                                                        | CUSIP: 92258DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     284946 | PA      | $217313.85    | 0.01%             | 2051-12-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD AUD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1470.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     689041 | PA      | $648194.06    | 0.02%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                   | Gilead Sciences Inc                                                                                                  | CUSIP: 375558BK8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     790000 | PA      | $652476.99    | 0.02%             | 2047-03-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                                                                | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |    2246000 | PA      | $1926618.80   | 0.07%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128PY3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22230 | PA      | $21330.22     | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405265 | PA      | $398117.25    | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                                                            | CUSIP: 031162DH0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2336309.95   | 0.08%             | 2029-08-18      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Green Plains Inc                                      | Green Plains Inc                                                                                                     | CUSIP: 393222104<br>LEI: VJ5WLTHARBSDR14KIZ98 | Long             | EC               | CORP              | US        |      18989 | NS      | $579164.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8027800 | PA      | $7344456.97   | 0.26%             | 2038-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                      | Soundview Home Loan Trust 2004-WMC1                                                                                  | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      14970 | PA      | $13437.18     | 0.00%             | 2035-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| PROMIGAS/GASES PACIFICO                               | Promigas SA ESP / Gases del Pacifico SAC                                                                             | CUSIP: 74348DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     207000 | PA      | $168390.11    | 0.01%             | 2029-10-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                             | Apple Inc                                                                                                            | CUSIP: 037833EG1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     610000 | PA      | $385919.83    | 0.01%             | 2061-02-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                    | GRACIE POINT INTERNATIONAL FUNDING 2021-1                                                                            | CUSIP: 38411EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     120000 | PA      | $119590.33    | 0.00%             | 2023-11-01      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1610011 | PA      | $1551718.73   | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     652704 | PA      | $538994.21    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                                                              | CUSIP: 83208AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $88456.00     | 0.00%             | 2053-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                               | Kinder Morgan Energy Partners LP                                                                                     | CUSIP: 28370TAF6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     332000 | PA      | $274267.12    | 0.01%             | 2042-11-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                  | Lockheed Martin Corp                                                                                                 | CUSIP: 539830BC2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    2162000 | PA      | $1918943.20   | 0.07%             | 2035-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                               | CBAM 2017-1 Ltd                                                                                                      | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |    1993487 | PA      | $1972453.88   | 0.07%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86581 | PA      | $81186.93     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                  | Edison International                                                                                                 | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     704000 | PA      | $653094.20    | 0.02%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | Long: BRY8A1TB7 IRS MXN R V 01MTIIE 1 CCPVANILLA / Short: BRY8A1TB7 IRS MXN P F  9.25000 2 CCPVANILLA                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   17648000 | OU      | $-30371.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                                                               | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    4079000 | PA      | $3248842.04   | 0.11%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                               | Shell International Finance BV                                                                                       | CUSIP: 822582CB6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    1634000 | PA      | $1573540.09   | 0.06%             | 2028-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                              | Discovery Communications LLC                                                                                         | CUSIP: 000000000<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    1149000 | PA      | $1109816.16   | 0.04%             | 2027-03-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10938446 | PA      | $9392688.99   | 0.33%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                      | Carlyle Global Market Strategies CLO 2014-1 Ltd                                                                      | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     967060 | PA      | $950789.96    | 0.03%             | 2031-04-17      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc             | Structured Asset Mortgage Investments II Trust 2006-AR5                                                              | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138682 | PA      | $87907.02     | 0.00%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2013-CCRE6 Mortgage Trust                                                                                       | CUSIP: 12624XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11223124 | PA      | $312.00       | 0.00%             | 2046-03-10      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $3941.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Forestar Group Inc                                    | Forestar Group Inc                                                                                                   | CUSIP: 346232101<br>LEI: 549300BC2UB0GHV60V70 | Long             | EC               | CORP              | US        |      12122 | NS      | $186800.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XIX Ltd                                                                                         | CUSIP: 55819QAY3<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |    1004110 | PA      | $993526.40    | 0.03%             | 2028-01-22      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                                                            | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     601000 | PA      | $424726.85    | 0.01%             | 2041-02-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| J&J Ventures Gaming, LLC                              | J&J Ventures Gaming, LLC Term Loan                                                                                   | CUSIP: 46604BAB4<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |     707050 | PA      | $678326.09    | 0.02%             | 2028-04-26      | Floating      | 8.73%                 | Yes           |                  2 | On Loan: No      |
| KENBOURNE INVEST SA                                   | Kenbourne Invest SA                                                                                                  | CUSIP: 48855KAA8<br>LEI: 222100QGH6Y9KFYZ4B27 | Long             | DBT              | CORP              | LU        |     310000 | PA      | $295120.00    | 0.01%             | 2024-11-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XEFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50753 | PA      | $48569.10     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1900000 | PA      | $-1781702.33  | -0.06%            | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Clear Creek CLO Ltd                                   | Clear Creek CLO                                                                                                      | CUSIP: 18452LAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246492.75    | 0.01%             | 2030-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5909037 | PA      | $5053322.69   | 0.18%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382801 | PA      | $359366.91    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2019-C50                                                                       | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4848511 | PA      | $301564.27    | 0.01%             | 2052-05-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     703737 | PA      | $658073.14    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                      | Trinitas CLO XIV Ltd                                                                                                 | CUSIP: 89641QAE0<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |     560000 | PA      | $532136.08    | 0.02%             | 2034-01-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1401659 | PA      | $1274485.43   | 0.04%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3038536 | PA      | $2598492.27   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                             | Madison Park Euro Funding XIV DAC                                                                                    | CUSIP: 000000000<br>LEI: 635400XLHN7OVUSEV112 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $232621.79    | 0.01%             | 2032-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | Long: BRY8KRHB2 CDS USD R F  1.00000 2 CORPORATE / Short: BRY8KRHB2 CDS USD P V 03MEVENT 1 CORPORATE                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     179000 | OU      | $-9971.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EARTHSTONE ENERGY HOL                                 | Earthstone Energy Holdings LLC                                                                                       | CUSIP: 27034RAA1<br>LEI: 549300HGVO86L8G72J25 | Long             | DBT              | CORP              | US        |    1264000 | PA      | $1209205.60   | 0.04%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO VIII Ltd                                                                                               | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |    1267376 | PA      | $1245432.81   | 0.04%             | 2030-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98711 | PA      | $94344.34     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRYBVYTZ2 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BRYBVYTZ2 IRS PLN P F  5.92000 2 CCPVANILLA               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3489000 | OU      | $5763.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525354 | PA      | $516189.18    | 0.02%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Asset-Backed Certificates Trust 2006-11                                                                        | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     285750 | PA      | $260659.46    | 0.01%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Oak Hill European Credit Partners PLC                 | OAK Hill European Credit Partners V Designated Activity Co                                                           | CUSIP: 000000000<br>LEI: 635400RBBBEHFZ8TOH13 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $246541.91    | 0.01%             | 2035-01-21      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                  | Signal Peak CLO 1 LTD                                                                                                | CUSIP: 82666TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3750000 | PA      | $3640657.50   | 0.13%             | 2034-04-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                      | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1217000 | PA      | $703864.56    | 0.02%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | Ares XXXVII CLO Ltd                                                                                                  | CUSIP: 04015NAG9<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |     390000 | PA      | $384734.22    | 0.01%             | 2030-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                                                         | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    4030000 | PA      | $3486428.40   | 0.12%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144452 | PA      | $138038.22    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278244 | PA      | $260883.35    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                          | Olympic Tower 2017-OT Mortgage Trust                                                                                 | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13300000 | PA      | $199845.80    | 0.01%             | 2039-05-10      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     343218 | PA      | $322775.73    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1951637 | PA      | $1610859.19   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                          | TICP CLO VI 2016-2 Ltd                                                                                               | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |     820000 | PA      | $798251.14    | 0.03%             | 2034-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Refi Loan Trust 2020-F                                                                     | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450000 | PA      | $360210.20    | 0.01%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2018-E                                                                                      | CUSIP: 00969KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1890 | PA      | $1832.71      | 0.00%             | 2058-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                                                     | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    1455000 | PA      | $1352228.07   | 0.05%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 Ltd                    | Octagon Investment Partners 51 Ltd                                                                                   | CUSIP: 67578JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1170000 | PA      | $1138823.01   | 0.04%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-NWM                                                                                | CUSIP: 12434AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     979005 | PA      | $944907.18    | 0.03%             | 2033-02-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                                                        | CUSIP: 059165EK2<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     622000 | PA      | $521347.94    | 0.02%             | 2048-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-ARIA                                                                                                   | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     344000 | PA      | $318119.61    | 0.01%             | 2036-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10766000 | PA      | $9813040.84   | 0.35%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22564 | PA      | $22123.08     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2014-CCRE18 Mortgage Trust                                                                                      | CUSIP: 12632QAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456647 | PA      | $442153.57    | 0.02%             | 2047-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                             | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                                                          | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $154216.86    | 0.01%             | 2048-10-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | BRYB7HG23 BLACKROCK FXVAN PUT USD MXN 19.7500000                                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    -288000 | OU      | $-3942.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                        | Barings Clo Ltd 2015-II                                                                                              | CUSIP: 06759FAB2<br>LEI: 549300Y5E22C3P2S6J52 | Long             | ABS-CBDO         | CORP              | KY        |     870000 | PA      | $858566.46    | 0.03%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Connect Finco Sarl                                    | Connect Finco Sarl 2021 Term Loan B                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    1440131 | PA      | $1425504.88   | 0.05%             | 2026-12-11      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| IPS CORPORATION                                       | IPS Corporation 2021 Term Loan                                                                                       | CUSIP: 12659EAC2<br>LEI: 25490024F0AS5UR7DB02 | Long             | LON              | CORP              | US        |     145263 | PA      | $130518.71    | 0.00%             | 2028-10-02      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307JA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206217 | PA      | $192345.99    | 0.01%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                             | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                                                          | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1810000 | PA      | $39323.52     | 0.00%             | 2047-12-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10482000 | PA      | $10294879.95  | 0.36%             | 2023-05-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154129 | PA      | $139733.29    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94289 | PA      | $89279.62     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138YXT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33200 | PA      | $31133.57     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                              | Cheniere Corpus Christi Holdings LLC                                                                                 | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $3762716.54   | 0.13%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                     | Generate CLO 6 Ltd                                                                                                   | CUSIP: 37148JAJ2<br>LEI: 254900V675MOVWK0HA08 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $233164.00    | 0.01%             | 2035-01-22      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4615102 | PA      | $3945372.62   | 0.14%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract              | Lehman ABS Manufactured Housing Contract Trust 2001-B                                                                | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     964641 | PA      | $955414.16    | 0.03%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                | Service Experts Issuer 2021-1 LLC                                                                                    | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     981607 | PA      | $891492.27    | 0.03%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY0YRD77 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY0YRD77 IRS JPY P F   .30600 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  848043548 | OU      | $326963.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group Inc                                      | Altria Group Inc                                                                                                     | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     301000 | PA      | $277542.21    | 0.01%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                             | Caesars Entertainment Inc                                                                                            | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |       4625 | NS      | $192400.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WORKDAY INC                                           | Workday Inc                                                                                                          | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     327000 | PA      | $288654.97    | 0.01%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| New York Mortgage Trust                               | NYMT Loan Trust 2020-SP2                                                                                             | CUSIP: 62955DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2067566 | PA      | $1995300.85   | 0.07%             | 2060-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                              | Sabine Pass Liquefaction LLC                                                                                         | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    3483000 | PA      | $3483841.25   | 0.12%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp                                 | Freedom Mortgage Corp                                                                                                | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     642000 | PA      | $577464.21    | 0.02%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                          | SG Mortgage Securities Trust 2006-OPT2                                                                               | CUSIP: 78420MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     570000 | PA      | $385029.02    | 0.01%             | 2036-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 AA PTT                              | United Airlines 2016-1 Class AA Pass Through Trust                                                                   | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     122940 | PA      | $110829.57    | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization       | C-BASS 2006-CB7 TRUST                                                                                                | CUSIP: 12479DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     164879 | PA      | $108686.67    | 0.00%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128435 | PA      | $43832.77     | 0.00%             | 2052-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                                                     | CUSIP: 46652RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180000 | PA      | $153206.15    | 0.01%             | 2033-10-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-C                                                                                     | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160000 | PA      | $125892.94    | 0.00%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                              | Sabine Pass Liquefaction LLC                                                                                         | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3440261.78   | 0.12%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OC10                                                                                     | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530611 | PA      | $446773.82    | 0.02%             | 2036-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US ULTRA BOND CBT MAR23                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        651 | NC      | $-582911.72   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL RETAIL PROP INC                              | National Retail Properties Inc                                                                                       | CUSIP: 637417AQ9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    1284000 | PA      | $858649.26    | 0.03%             | 2051-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                        | Carrington Mortgage Loan Trust Series 2006-NC4                                                                       | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     164548 | PA      | $157199.36    | 0.01%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36181D7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     384788 | PA      | $361969.44    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7838000 | PA      | $6188644.88   | 0.22%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                                                     | CUSIP: 12189LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     517000 | PA      | $540885.91    | 0.02%             | 2040-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO                | Park Avenue Institutional Advisers CLO Ltd 2021-1                                                                    | CUSIP: 70017PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $213349.25    | 0.01%             | 2034-01-20      | Floating      | 11.54%                | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                 | Sixth Street CLO XIX Ltd                                                                                             | CUSIP: 83012KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2890000 | PA      | $2823284.35   | 0.10%             | 2034-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                                   | Beast Mortgage Trust                                                                                                 | CUSIP: 05601PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     454000 | PA      | $417132.75    | 0.01%             | 2036-04-15      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602227 | PA      | $531349.98    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                                                               | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    2168000 | PA      | $1873464.60   | 0.07%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co LLC                               | AEP Transmission Co LLC                                                                                              | CUSIP: 00115AAF6<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     225000 | PA      | $176701.08    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                                                                  | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1739000 | PA      | $1517018.86   | 0.05%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust             | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3                                                    | CUSIP: 06427DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4070000 | PA      | $88006.83     | 0.00%             | 2050-02-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204398 | PA      | $202266.08    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cassia S.r.l.                                         | Cassia 2022-1 SRL                                                                                                    | CUSIP: 000000000<br>LEI: 815600A9D6ADF4638276 | Long             | ABS-MBS          | CORP              | IT        |    1267640 | PA      | $1292939.82   | 0.05%             | 2034-05-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| ACE03 MH1 B2                                          | ACE03 MH1 B2                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     614343 | PA      | $458951.35    | 0.02%             | 2030-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                              | American Transmission Systems Inc                                                                                    | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1490000 | PA      | $1222785.86   | 0.04%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | Long: BRY9WVFQ7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY9WVFQ7 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     288000 | OU      | $3877.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                              | Rogers Communications Inc                                                                                            | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     436000 | PA      | $338024.72    | 0.01%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Exelon Corp                                           | Exelon Corp                                                                                                          | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     731000 | PA      | $636750.39    | 0.02%             | 2050-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5471000 | PA      | $4973480.94   | 0.18%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                   | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust                                             | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     544652 | PA      | $405703.07    | 0.01%             | 2036-10-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                            | AbbVie Inc                                                                                                           | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2514000 | PA      | $2328731.93   | 0.08%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46091 | PA      | $41936.71     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                              | Northern States Power Co/MN                                                                                          | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     419000 | PA      | $265583.36    | 0.01%             | 2051-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2018-K80 Mortgage Trust                                                                                        | CUSIP: 30307RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304000 | PA      | $278380.98    | 0.01%             | 2050-08-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2018-C48                                                                       | CUSIP: 95001RBB4<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |     622000 | PA      | $552255.89    | 0.02%             | 2052-01-15      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD CLP                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-17779.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY0YSUV3 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY0YSUV3 IRS JPY P F   .30580 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  752038618 | OU      | $290052.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     885252 | PA      | $918946.95    | 0.03%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ELX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60267 | PA      | $59744.61     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                   | Medline Borrower LP                                                                                                  | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    1751000 | PA      | $1411235.96   | 0.05%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180UFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139758 | PA      | $131434.67    | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                 | Norfolk Southern Corp                                                                                                | CUSIP: 655844CM8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4268.84      | 0.00%             | 2032-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc          | BAMLL Commercial Mortgage Securities Trust 2017-SCH                                                                  | CUSIP: 054966AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510000 | PA      | $456957.20    | 0.02%             | 2033-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109533 | PA      | $104907.14    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292765 | PA      | $280072.57    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 B PTT                               | United Airlines 2019-2 Class B Pass Through Trust                                                                    | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     558561 | PA      | $480776.18    | 0.02%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                                                        | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     573000 | PA      | $424930.92    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2019-GSA1                                                                               | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $84762.56     | 0.00%             | 2052-11-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                                                       | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $2659661.00   | 0.09%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                                                        | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1465000 | PA      | $983777.03    | 0.03%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15364000 | PA      | $13172229.38  | 0.46%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                       | Nissan Motor Co Ltd                                                                                                  | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    1809000 | PA      | $1535247.18   | 0.05%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| CDI ESCROW ISSUER INC                                 | CDI Escrow Issuer Inc                                                                                                | CUSIP: 12511VAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     305000 | PA      | $273410.88    | 0.01%             | 2030-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                                   | Beast Mortgage Trust                                                                                                 | CUSIP: 05601PAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     697000 | PA      | $636240.98    | 0.02%             | 2036-04-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2013-4 Ltd                                                                                                   | CUSIP: 67105HBC8<br>LEI: 254900OVGEI8FTD7PT85 | Long             | ABS-CBDO         | CORP              | KY        |     911000 | PA      | $888250.51    | 0.03%             | 2029-04-24      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                                                                  | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    1039000 | PA      | $879893.64    | 0.03%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX 2021-MFM1                                                                                                         | CUSIP: 05608VAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $395522.17    | 0.01%             | 2034-01-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                 | Indonesia Government International Bond                                                                              | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     662000 | PA      | $587605.37    | 0.02%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                                                                    | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      90000 | PA      | $91624.45     | 0.00%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED USD / SOLD MXN                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-12374.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                 | Reynolds American Inc                                                                                                | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1141407.82   | 0.04%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Asset-Backed Certificates Trust 2006-11                                                                        | CUSIP: 12666TAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9291 | PA      | $9242.16      | 0.00%             | 2046-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Longfellow Place CLO Ltd                              | Longfellow Place CLO Ltd                                                                                             | CUSIP: 54303PBA2<br>LEI: 549300FY38ZCUKZQU403 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244890.75    | 0.01%             | 2029-04-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                                                                 | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1115000 | PA      | $758815.95    | 0.03%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD CLP                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-7170.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc                                               | HCA Inc                                                                                                              | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     541000 | PA      | $534982.46    | 0.02%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                   | Petroleos Mexicanos                                                                                                  | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     298000 | PA      | $234003.61    | 0.01%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                      | Duke Energy Corp                                                                                                     | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     309000 | PA      | $285118.00    | 0.01%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                              | Banco Mercantil del Norte SA/Grand Cayman                                                                            | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     215000 | PA      | $177864.42    | 0.01%             | 2032-01-24      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                  | BX Commercial Mortgage Trust 2019-XL                                                                                 | CUSIP: 056054AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3944000 | PA      | $3775190.10   | 0.13%             | 2036-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7944700 | PA      | $7449426.93   | 0.26%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd                                  | Whitebox CLO III Ltd                                                                                                 | CUSIP: 96467HAJ5<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235742.50    | 0.01%             | 2034-10-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     456787 | PA      | $406795.28    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     582806 | PA      | $571984.57    | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District/CA             | LOS ANGELES CA CMNTY CLG DIST                                                                                        | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     785000 | PA      | $941818.19    | 0.03%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                               | Regatta VII Funding Ltd                                                                                              | CUSIP: 75888ABE5<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $272215.44    | 0.01%             | 2034-06-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5821596 | PA      | $4967228.71   | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                                                                  | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     672000 | PA      | $716400.02    | 0.03%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2007-3T1                                                                                      | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91335 | PA      | $45567.77     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sarcos Technology and Robotics Corp                   | Sarcos Technology and Robotics Corp                                                                                  | CUSIP: 80359A106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       6978 | NS      | $3916.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26088 | PA      | $24343.46     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-A                                                                              | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     802000 | PA      | $720317.34    | 0.03%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                            | Biogen Inc                                                                                                           | CUSIP: 09062XAG8<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     179000 | PA      | $116357.32    | 0.00%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                       | CVS Health Corp                                                                                                      | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1781000 | PA      | $1623211.95   | 0.06%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CLOROX COMPANY                                        | Clorox Co/The                                                                                                        | CUSIP: 189054AX7<br>LEI: 54930044KVSC06Z79I06 | Long             | DBT              | CORP              | US        |     358000 | PA      | $285028.42    | 0.01%             | 2030-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104789 | PA      | $106112.81    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XXXVII Ltd                                                                                      | CUSIP: 55817EAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $342669.60    | 0.01%             | 2033-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| LAM RESEARCH CORP                                     | Lam Research Corp                                                                                                    | CUSIP: 512807AW8<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |     624000 | PA      | $416963.91    | 0.01%             | 2050-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195290 | PA      | $183096.44    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRYB0GF56 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRYB0GF56 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     169500 | OU      | $10941.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL INC                                                                                                | CUSIP: 939ESCBE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1310000 | PA      | $0.13         | 0.00%             | 2049-09-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128278 | PA      | $115344.36    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307NDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9731 | PA      | $9320.03      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307LHB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127224 | PA      | $118874.29    | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                                                                | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |     365000 | PA      | $345414.10    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| PENSKE TRUCK LEASING/PTL                              | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                        | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1414000 | PA      | $1362034.71   | 0.05%             | 2025-03-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED THB / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TH        |          1 | NC      | $1656.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65248 | PA      | $62237.53     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED MXN / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $2625.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1290351 | PA      | $1235966.80   | 0.04%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8610 | PA      | $8073.15      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3865000 | PA      | $3553082.44   | 0.13%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440040 | PA      | $426385.27    | 0.02%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142865 | PA      | $133610.71    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL RETAIL PROP INC                              | National Retail Properties Inc                                                                                       | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |     432000 | PA      | $400784.37    | 0.01%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                | Motorola Solutions Inc                                                                                               | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    1097000 | PA      | $1044045.22   | 0.04%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                            | VMware Inc                                                                                                           | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    2910000 | PA      | $2208293.95   | 0.08%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO Ltd                                                                                      | CUSIP: 08182DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3800000 | PA      | $3699106.20   | 0.13%             | 2034-07-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                                                         | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3384000 | PA      | $2699526.81   | 0.10%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED ZAR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |          1 | NC      | $1542.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XUAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510908 | PA      | $491283.65    | 0.02%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                        | Amazon.com Inc                                                                                                       | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    1508000 | PA      | $1295247.27   | 0.05%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10530000 | PA      | $9115142.55   | 0.32%             | 2038-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO XI Ltd                                                                                                 | CUSIP: 07132LAN9<br>LEI: 549300O0R7FIDPTPCK50 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239148.75    | 0.01%             | 2034-04-24      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co                | Prodigy Finance CM2021-1 DAC                                                                                         | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |     250000 | PA      | $244900.83    | 0.01%             | 2051-07-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140EXEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339962 | PA      | $336212.73    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| California Resources Corp                             | California Resources Corp                                                                                            | CUSIP: 13057Q305<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | EC               | CORP              | US        |      23011 | NS      | $1001208.61   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| OMAN GOV INTERNTL BOND                                | Oman Government International Bond                                                                                   | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     299000 | PA      | $288592.41    | 0.01%             | 2026-06-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                                                                | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |    2544000 | PA      | $2228071.02   | 0.08%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Conair Holdings, LLC                                  | Conair Holdings, LLC Term Loan B                                                                                     | CUSIP: 20600RAB8<br>LEI: 549300804G00T34FLV17 | Long             | LON              | CORP              | US        |     211325 | PA      | $178569.63    | 0.01%             | 2028-05-17      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1807803 | PA      | $1609904.45   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417YNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17698 | PA      | $18170.76     | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                                   | Beast Mortgage Trust                                                                                                 | CUSIP: 05601PAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751000 | PA      | $693836.06    | 0.02%             | 2036-04-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-2 AA PTT                              | American Airlines 2016-2 Class AA Pass Through Trust                                                                 | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     395725 | PA      | $343181.58    | 0.01%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161560 | PA      | $1000758.09   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR ULTRA FUT MAR23                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -45 | NC      | $143069.42    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED NOK / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NO        |          1 | NC      | $5869.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED AUD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |          1 | NC      | $4686.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                | Natixis Commercial Mortgage Securities Trust 2018-FL1                                                                | CUSIP: 63874MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118660 | PA      | $114532.03    | 0.00%             | 2035-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461663 | PA      | $419892.47    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                                                               | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     644000 | PA      | $503803.04    | 0.02%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                 | Entergy Louisiana LLC                                                                                                | CUSIP: 29364WBL1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     324000 | PA      | $290719.46    | 0.01%             | 2052-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TICP CLO LTD                                          | TICP CLO XII Ltd                                                                                                     | CUSIP: 87250FAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244105.75    | 0.01%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31419EJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285652 | PA      | $283174.80    | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                      | FirstEnergy Corp                                                                                                     | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     849000 | PA      | $673851.30    | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PRIMA Capital LTD                                     | Prima Capital CRE Securitization 2016-VI Ltd                                                                         | CUSIP: 74165WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1740000 | PA      | $1547693.46   | 0.05%             | 2040-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                              | Uruguay Government International Bond                                                                                | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1266587 | PA      | $1275405.49   | 0.04%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                   | Nomura Holdings Inc                                                                                                  | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1292000 | PA      | $999238.29    | 0.04%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                      | Altria Group Inc                                                                                                     | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     358000 | PA      | $224222.79    | 0.01%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PRIMA Capital LTD                                     | Prima Capital CRE Securitization 2015-IV Ltd                                                                         | CUSIP: 74165GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     241775 | PA      | $227382.72    | 0.01%             | 2049-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY1NYYF1 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY1NYYF1 IRS JPY P F   .39350 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  520994500 | OU      | $172497.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2014-GC20                                                                               | CUSIP: 36252WBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $47203.57     | 0.00%             | 2047-04-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED EUR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $2581.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     545675 | PA      | $512264.82    | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69694 | PA      | $66744.98     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1342372 | PA      | $1104625.31   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD NZD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2112.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENER MEDIT/CENT TERMICA                              | Generacion Mediterranea SA / Central Termica Roca SA                                                                 | CUSIP: 36875KAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | AR        |     492699 | PA      | $316313.00    | 0.01%             | 2027-12-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2020-SDAL                                                                      | CUSIP: 95002GAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260000 | PA      | $241178.34    | 0.01%             | 2037-02-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XU2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186121 | PA      | $178974.45    | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4219000 | PA      | $4226604.92   | 0.15%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: B95VEAG06 CDS USD R V 03MEVENT 1 CCPCDX / Short: B95VEAG06 CDS USD P F  5.00000 2 CCPCDX                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2899000 | OU      | $-17852.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2020-A                                                                                      | CUSIP: 00969WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1719772 | PA      | $1070691.95   | 0.04%             | 2059-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                                                         | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     325000 | PA      | $322570.37    | 0.01%             | 2026-08-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                  | PRET 2021-NPL6 LLC                                                                                                   | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1803375 | PA      | $1666070.74   | 0.06%             | 2051-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Greenpoint Manufactured Housing                       | Greenpoint Manufactured Housing                                                                                      | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     363730 | PA      | $312755.14    | 0.01%             | 2029-12-15      | Variable      | 9.23%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-A                                                                              | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     550000 | PA      | $488369.75    | 0.02%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | BRYA623A5 BLACKROCK FXVAN PUT USD BRL 4.9000000                                                                      | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |    -846000 | OU      | $-2989.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.      | BCMSC Trust 2000-A                                                                                                   | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     850435 | PA      | $129812.34    | 0.00%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481098 | PA      | $460261.61    | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17964 | PA      | $16815.60     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 2 Ltd                                                                                                        | CUSIP: 48661TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     540000 | PA      | $530891.82    | 0.02%             | 2031-10-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6374965 | PA      | $-5396499.10  | -0.19%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYDROFARM HOLDINGS LLC                                | Hydrofarm Holdings LLC 2021 Term Loan                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     375210 | PA      | $324556.65    | 0.01%             | 2028-09-27      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                                                                | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              |  | US        |    1522000 | PA      | $1381587.89   | 0.05%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Anchorage Capital CLO LTD                             | Anchorage Capital Clo 17 Ltd                                                                                         | CUSIP: 03332PAA5<br>LEI: 549300UNU854VTZYQ112 | Long             | ABS-CBDO         | CORP              | KY        |    1890000 | PA      | $1844719.38   | 0.06%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                           | Oracle Corp                                                                                                          | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3085000 | PA      | $2077027.68   | 0.07%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| TEXAS EASTERN TRANSMISSI                              | Texas Eastern Transmission LP                                                                                        | CUSIP: 882384AD2<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |    2123000 | PA      | $1929801.40   | 0.07%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180DQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118826 | PA      | $111779.31    | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                               | Oncor Electric Delivery Co LLC                                                                                       | CUSIP: 68233JBV5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     357000 | PA      | $281460.20    | 0.01%             | 2050-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT                               | Wisconsin Power and Light Co                                                                                         | CUSIP: 976826BP1<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |     140000 | PA      | $109827.81    | 0.00%             | 2031-09-16      | Fixed         | 1.95%                 | 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        |    1276000 | PA      | $1044648.62   | 0.04%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ARABIAN CENTRES SUKUK II                              | Arabian Centres Sukuk II Ltd                                                                                         | CUSIP: 03847QAA1<br>LEI: 549300X92PKHJD8UYG94 | Long             | DBT              | CORP              | KY        |     315000 | PA      | $285085.08    | 0.01%             | 2026-10-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                                                                   | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     353000 | PA      | $323675.05    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1143293 | PA      | $1068971.91   | 0.04%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                          | Post CLO 2018-1 Ltd                                                                                                  | CUSIP: 73742DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $233814.75    | 0.01%             | 2031-04-16      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                               | Mexican Bonos                                                                                                        | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   19900000 | PA      | $966206.71    | 0.03%             | 2038-11-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 4 Ltd                                                                                                        | CUSIP: 48661YAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242474.00    | 0.01%             | 2032-04-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72619 | PA      | $69466.08     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US BOND FUTR OPTN FEB23P 129 EXP 01/27/2023                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          3 | NC      | $12703.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mariner Finance Issuance Trust                        | Mariner Finance Issuance Trust 2021-B                                                                                | CUSIP: 56847JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $77633.07     | 0.00%             | 2036-11-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2014-1 Ltd                                                                                         | CUSIP: 69688XAS0<br>LEI: 549300UP5H2PFBIITY41 | Long             | ABS-CBDO         | CORP              | KY        |    1312000 | PA      | $1298078.37   | 0.05%             | 2031-01-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-E                                                                                      | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4172776 | PA      | $3530417.35   | 0.12%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                | Nationstar Mortgage Holdings Inc                                                                                     | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     251000 | PA      | $195152.50    | 0.01%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                                                           | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    2106000 | PA      | $1890737.61   | 0.07%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229523 | PA      | $212688.59    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                      | Symphony CLO XXVI Ltd                                                                                                | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     398000 | PA      | $390700.28    | 0.01%             | 2033-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3056.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142683 | PA      | $133464.51    | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628267 | PA      | $517390.18    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                   | Nomura Holdings Inc                                                                                                  | CUSIP: 65535HBE8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     735000 | PA      | $726910.19    | 0.03%             | 2025-07-03      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                                    | Race Point IX CLO Ltd                                                                                                | CUSIP: 74982WAA4<br>LEI: 549300C3570PBQ31OI09 | Long             | ABS-CBDO         | CORP              | KY        |     789000 | PA      | $777280.98    | 0.03%             | 2030-10-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Exelon Corp                                           | Exelon Corp                                                                                                          | CUSIP: 30161NAS0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     166000 | PA      | $154360.23    | 0.01%             | 2045-06-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                           | Phillips 66                                                                                                          | CUSIP: 718546104<br>LEI: 5493005JBO5YSIGK1814 | Long             | EC               | CORP              | US        |       8158 | NS      | $849084.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Sound Point CLO LTD                                   | Sound Point Clo XII Ltd                                                                                              | CUSIP: 83610CBA8<br>LEI: 549300EBWPUX52MGF160 | Long             | ABS-CBDO         | CORP              | KY        |     780000 | PA      | $746804.76    | 0.03%             | 2028-10-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     648533 | PA      | $642605.31    | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                 | MidAmerican Energy Co                                                                                                | CUSIP: 595620AS4<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     494000 | PA      | $387615.40    | 0.01%             | 2048-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                                                                | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |     320000 | PA      | $313769.46    | 0.01%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Scholar Funding Trust                                 | Scholar Funding Trust 2013-A                                                                                         | CUSIP: 80705XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2872764 | PA      | $2756545.30   | 0.10%             | 2045-01-30      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74411 | PA      | $77684.85     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                 | Tenet Healthcare Corp                                                                                                | CUSIP: 88033GDG2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      92000 | PA      | $82316.17     | 0.00%             | 2028-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                                  | Elmwood CLO XII Ltd                                                                                                  | CUSIP: 29002YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242772.50    | 0.01%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                          | WP Carey Inc                                                                                                         | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |     401000 | PA      | $313345.13    | 0.01%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     887000 | PA      | $702978.76    | 0.02%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-E                                                                                      | CUSIP: 00969TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1837030 | PA      | $1823258.39   | 0.06%             | 2059-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333219 | PA      | $318789.15    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | Long: BRYA5ZBF3 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRYA5ZBF3 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |     290000 | OU      | $3904.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 5YR FUTR OPTN  FEB23C 108.2 EXP 01/27/2023                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -10 | NC      | $-4843.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS 2018-TALL Mortgage Trust                                                                                       | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $258641.29    | 0.01%             | 2037-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300256 | PA      | $278425.03    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                                                      | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310107 | PA      | $282834.50    | 0.01%             | 2035-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | Long: BRYB0GA93 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRYB0GA93 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     339000 | OU      | $4563.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     805966 | PA      | $840118.13    | 0.03%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                | Nationstar Mortgage Holdings Inc                                                                                     | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     590000 | PA      | $481092.69    | 0.02%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                      | Peruvian Government International Bond                                                                               | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1587000 | PA      | $1128083.85   | 0.04%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                             | College Ave Student Loans 2021-B LLC                                                                                 | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     190000 | PA      | $154677.16    | 0.01%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197396 | PA      | $191332.83    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 2013-1 Ltd                                                                                     | CUSIP: 033292AU7<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |     590000 | PA      | $567950.52    | 0.02%             | 2030-10-13      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10641300 | PA      | $9219176.02   | 0.32%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9384755 | PA      | $130595.43    | 0.00%             | 2052-02-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRY5PMFW0 BLACKROCK SWAPTION 3.48 PUT USD 20230810                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        | -328525069 | NC      | $-3564102.77  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2021-DM                                                                            | CUSIP: 36265AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121000 | PA      | $110844.42    | 0.00%             | 2036-11-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QMZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1839078 | PA      | $1567747.63   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417933 | PA      | $409433.49    | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APTIV PLC                                             | Aptiv PLC                                                                                                            | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     176000 | PA      | $104013.68    | 0.00%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | BRYB0TGR9 BLACKROCK FXVAN PUT GBP USD 1.2100000                                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |     588000 | OU      | $9377.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aimbridge Acquisition Co., Inc.                       | Aimbridge Acquisition Co., Inc. 2020 Incremental Term Loan B                                                         | CUSIP: 00900YAE6<br>LEI: 549300SPGKLVE9WYCQ20 | Long             | LON              | CORP              | US        |     335171 | PA      | $308357.67    | 0.01%             | 2026-02-02      | Floating      | 9.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56328 | PA      | $55214.02     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | Csail 2015-C2 Commercial Mortgage Trust                                                                              | CUSIP: 12634NAT5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     320000 | PA      | $303651.33    | 0.01%             | 2057-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 87 CLO Ltd                                                                                                    | CUSIP: 26246GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $390372.00    | 0.01%             | 2034-05-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31997 | PA      | $30146.61     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                         | Ares European CLO XII DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400XCOLUI5RNVIZ11 | Long             | ABS-CBDO         | CORP              | IE        |     297000 | PA      | $298234.50    | 0.01%             | 2032-04-20      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | BRYA62042 BLACKROCK FXVAN PUT USD BRL 5.3000000                                                                      | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |     564000 | OU      | $14048.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ConnectWise, LLC                                      | ConnectWise, LLC 2021 Term Loan B                                                                                    | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1089000 | PA      | $1038179.64   | 0.04%             | 2028-09-29      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34105 | PA      | $33640.62     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286336 | PA      | $283852.26    | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | BRY9WVU98 BLACKROCK FXVAN CALL USD CLP 920.0000000                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     690000 | OU      | $821.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397095 | PA      | $371586.73    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523209 | PA      | $429782.63    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 4-R Ltd                                                                                        | CUSIP: 03328LAE2<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |    1490000 | PA      | $1418494.90   | 0.05%             | 2031-01-28      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33601 | PA      | $32870.76     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2021-3 Ltd                                                                                         | CUSIP: 69688FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244683.75    | 0.01%             | 2035-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2020-GSA2                                                                               | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3116686 | PA      | $288394.16    | 0.01%             | 2053-12-12      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co                                | Commonwealth Edison Co                                                                                               | CUSIP: 202795JM3<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     694000 | PA      | $570094.95    | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RRE Loan Management                                   | RRE 9 Loan Management DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400OCZYFV6RF6GS55 | Long             | ABS-CBDO         | CORP              | IE        |     560000 | PA      | $548333.47    | 0.02%             | 2036-10-15      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                         | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                                                         | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     492000 | PA      | $609899.68    | 0.02%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                        | Lowe's Cos Inc                                                                                                       | CUSIP: 548661DZ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     176000 | PA      | $111960.50    | 0.00%             | 2050-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191045 | PA      | $177913.38    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EVgo Inc                                              | EVgo Inc                                                                                                             | CUSIP: 30052F118<br>LEI: N/A                  | N/A              | DE               |  | US        |      19550 | NS      | $13055.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SERVICE PROPERTIES TRUST                              | Service Properties Trust                                                                                             | CUSIP: 81761LAA0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |     680000 | PA      | $647989.38    | 0.02%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                   | Suzano Austria GmbH                                                                                                  | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     400000 | PA      | $311841.60    | 0.01%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138Y4T58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355102 | PA      | $339734.11    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                        | CarVal CLO II Ltd                                                                                                    | CUSIP: 14686AAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     870000 | PA      | $799857.12    | 0.03%             | 2032-04-20      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                    | Ukraine Government International Bond                                                                                | CUSIP: 903724BM3<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     274000 | PA      | $49676.20     | 0.00%             | 2034-09-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                              | Republic of South Africa Government Bond                                                                             | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   17643000 | PA      | $924865.45    | 0.03%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                               | Kinder Morgan Energy Partners LP                                                                                     | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1284000 | PA      | $1161065.41   | 0.04%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                                                               | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1149000 | PA      | $1068681.61   | 0.04%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     777318 | PA      | $641330.90    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                               | Romanian Government International Bond                                                                               | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     120000 | PA      | $111047.15    | 0.00%             | 2028-05-26      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Naked Juice LLC                                       | Naked Juice LLC 2nd Lien Term Loan                                                                                   | CUSIP: 62984CAB9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |      75000 | PA      | $60621.08     | 0.00%             | 2030-01-24      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2626684 | PA      | $2256783.75   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718244 | PA      | $592823.19    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2015-590M                                                                               | CUSIP: 36250WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $161231.02    | 0.01%             | 2035-10-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| DiamondRock Hospitality Co                            | DiamondRock Hospitality Co                                                                                           | CUSIP: 252784301<br>LEI: 529900KKD4BPVBUAQ734 | Long             | EC               |  | US        |      50907 | NS      | $416928.33    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3356.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40818 | PA      | $37317.41     | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29030 | PA      | $27093.65     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                              | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                        | CUSIP: 709599BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2266000 | PA      | $2281902.77   | 0.08%             | 2027-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                    | CWHEQ Revolving Home Equity Loan Trust Series 2005-B                                                                 | CUSIP: 126685AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      71779 | PA      | $70460.21     | 0.00%             | 2035-05-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     557143 | PA      | $534001.90    | 0.02%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140H5UJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284043 | PA      | $281447.06    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108674 | PA      | $934541.38    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1892000 | PA      | $1796249.53   | 0.06%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1112000 | PA      | $1096051.06   | 0.04%             | 2024-04-05      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GKB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     353000 | PA      | $220488.72    | 0.01%             | 2052-07-21      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED ZAR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |          1 | NC      | $6504.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294531 | PA      | $290774.11    | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-B                                                                                     | CUSIP: 64034QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     260000 | PA      | $203085.51    | 0.01%             | 2062-04-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GHW2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5796000 | PA      | $5476391.69   | 0.19%             | 2025-10-22      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Aruba Investments, Inc.                               | Aruba Investments, Inc. 2020 USD Term Loan                                                                           | CUSIP: 04317JAB4<br>LEI: 254900GMIYFF4FZ0A357 | Long             | LON              | CORP              | US        |     410850 | PA      | $400236.51    | 0.01%             | 2027-11-24      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                        | Pikes Peak CLO 1                                                                                                     | CUSIP: 721327AA2<br>LEI: 549300IOF5UIE4PES702 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246581.25    | 0.01%             | 2031-07-24      | Floating      | 5.50%                 | 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        |     721000 | PA      | $769498.05    | 0.03%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Loan Trust 2020-A                                                                          | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     366624 | PA      | $359825.93    | 0.01%             | 2068-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Great Canadian Gaming Corporation                     | Great Canadian Gaming Corporation 2021 Term Loan                                                                     | CUSIP: 000000000<br>LEI: 549300FU60SSFLTE0M84 | Long             | LON              | CORP              | CA        |     138305 | PA      | $136172.75    | 0.00%             | 2026-11-01      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312944R78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67359 | PA      | $69155.51     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     326610 | PA      | $293288.63    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36177PPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202184 | PA      | $190147.83    | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76551 | PA      | $75886.61     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | S+P500 EMINI FUT MAR23                                                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        -39 | NC      | $210223.06    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307MWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269961 | PA      | $258570.43    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46645 | PA      | $44519.73     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255324 | PA      | $228779.20    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171924 | PA      | $161188.33    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181290 | PA      | $187779.79    | 0.01%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                                                           | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     472000 | PA      | $423877.29    | 0.01%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| State of Texas                                        | TEXAS ST                                                                                                             | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |     820000 | PA      | $866077.03    | 0.03%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68070 | PA      | $65580.54     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                          | QUALCOMM Inc                                                                                                         | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    1429000 | PA      | $1517699.32   | 0.05%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2017-14 Ltd                                                                                                  | CUSIP: 67097QAG0<br>LEI: 25490025Q5WQX513IQ05 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235076.00    | 0.01%             | 2030-11-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2015-GC32                                                                               | CUSIP: 36250PAL9<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $98303.25     | 0.00%             | 2048-07-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                 | Takeda Pharmaceutical Co Ltd                                                                                         | CUSIP: 874060AW6<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    1770000 | PA      | $1754901.33   | 0.06%             | 2028-11-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection, LLC                        | Caesars Resort Collection, LLC 2020 Term Loan B1                                                                     | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |     218200 | PA      | $217892.93    | 0.01%             | 2025-07-21      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| American Auto Auction Group, LLC                      | American Auto Auction Group, LLC 2021 Term Loan B                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1598850 | PA      | $1263091.50   | 0.04%             | 2027-12-30      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594607 | PA      | $563285.54    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     496092 | PA      | $477477.36    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                                                    | CUSIP: 05609BAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070000 | PA      | $951005.09    | 0.03%             | 2036-02-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust            | JPMBB Commercial Mortgage Securities Trust 2015-C33                                                                  | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $254184.66    | 0.01%             | 2048-12-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust        | Structured Adjustable Rate Mortgage Loan Trust Series 2007-3                                                         | CUSIP: 86363GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     560216 | PA      | $285555.89    | 0.01%             | 2047-04-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                                                     | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     502000 | PA      | $424958.46    | 0.01%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| WOOF Holdings, Inc                                    | WOOF Holdings, Inc 1st Lien Term Loan                                                                                | CUSIP: 98082EAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     313418 | PA      | $294612.45    | 0.01%             | 2027-12-21      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                              | Discovery Communications LLC                                                                                         | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     355000 | PA      | $213309.46    | 0.01%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                              | Rogers Communications Inc                                                                                            | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    3262000 | PA      | $2814954.38   | 0.10%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29947 | PA      | $27868.90     | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XGR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469810 | PA      | $382965.07    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5043000 | PA      | $4996247.46   | 0.18%             | 2053-01-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240837 | PA      | $239018.13    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset-Backed Trust           | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A                                                      | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138664 | PA      | $132669.34    | 0.00%             | 2034-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                 | Norfolk Southern Corp                                                                                                | CUSIP: 655844CH9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     900000 | PA      | $595607.30    | 0.02%             | 2055-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                | Russian Federal Bond - OFZ                                                                                           | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   59043000 | PA      | $216157.42    | 0.01%             | 2035-07-18      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2007-1                                                                                | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147082 | PA      | $133240.86    | 0.00%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRY9D7TX1 BLACKROCK SWAPTION 4.42 PUT USD 20231027                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -46022329 | NC      | $-574611.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                               | Long: BRT8MGX48 CDS USD R V 01MEVENT 1 CMBX / Short: BRT8MGX48 CDS USD P F  3.00000 2 CMBX                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |     340000 | OU      | $83378.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-3 Ltd                                                                                        | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |    3405000 | PA      | $3361514.75   | 0.12%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12344000 | PA      | $11041129.31  | 0.39%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Genius Sports Ltd                                     | Genius Sports Ltd                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GG        |     101806 | NS      | $363447.42    | 0.01%             |  |  |  | Yes           |                  1 | On Loan: —       |
| DTE ELECTRIC CO                                       | DTE Electric Co                                                                                                      | CUSIP: 23338VAP1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     420000 | PA      | $300483.56    | 0.01%             | 2051-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                    | Regional Management Issuance Trust 2021-2                                                                            | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     173000 | PA      | $143779.68    | 0.01%             | 2033-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                              | United Wholesale Mortgage LLC                                                                                        | CUSIP: 91153LAA5<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |    1640000 | PA      | $1477016.60   | 0.05%             | 2025-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133B3GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1357896 | PA      | $1116955.59   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101073 | PA      | $94776.66     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                        | HarborView Mortgage Loan Trust 2006-12                                                                               | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1141928 | PA      | $935947.45    | 0.03%             | 2036-12-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Herschend Entertainment Company, LLC                  | Herschend Entertainment Company, LLC 2021 Term Loan                                                                  | CUSIP: 42778EAF8<br>LEI: 54930087KQ7RPDXK0716 | Long             | LON              | CORP              | US        |     329825 | PA      | $327351.31    | 0.01%             | 2028-08-27      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED USD / SOLD CAD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $921.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178540 | PA      | $182763.36    | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9461000 | PA      | $7682147.79   | 0.27%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                                                                   | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     690000 | PA      | $585145.65    | 0.02%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust                         | Alen 2021-ACEN Mortgage Trust                                                                                        | CUSIP: 01449NAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453000 | PA      | $361847.57    | 0.01%             | 2034-04-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization       | Credit-Based Asset Servicing and Securitization LLC                                                                  | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     203821 | PA      | $192714.60    | 0.01%             | 2036-10-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                               | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                          | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     822000 | PA      | $776331.99    | 0.03%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Xenia Hotels & Resorts Inc                            | Xenia Hotels & Resorts Inc                                                                                           | CUSIP: 984017103<br>LEI: 54930075IWIPHF5IQL62 | Long             | EC               |  | US        |      28065 | NS      | $369896.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ECL Entertainment, LLC                                | ECL Entertainment, LLC Term Loan                                                                                     | CUSIP: 26826TAB9<br>LEI: 254900UPSGHOBB360Z85 | Long             | LON              | CORP              | US        |     847100 | PA      | $846394.37    | 0.03%             | 2028-05-01      | Floating      | 11.88%                | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2236000 | PA      | $2105595.79   | 0.07%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                 | Conseco Finance Securitizations Corp                                                                                 | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1610098 | PA      | $522711.71    | 0.02%             | 2031-05-01      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272362 | PA      | $262185.20    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                | Cox Communications Inc                                                                                               | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    1239000 | PA      | $742843.95    | 0.03%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128MMRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130209 | PA      | $123649.30    | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                            | AbbVie Inc                                                                                                           | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     916000 | PA      | $813592.36    | 0.03%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                                                                   | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    3274000 | PA      | $2601686.49   | 0.09%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                        | 280 Park Avenue 2017-280P Mortgage Trust                                                                             | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1610000 | PA      | $1453838.69   | 0.05%             | 2034-09-15      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35077 | PA      | $33740.41     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                              | Uruguay Government International Bond                                                                                | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1118733 | PA      | $1096177.25   | 0.04%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd                                  | TCI-Flatiron Clo 2017-1 Ltd                                                                                          | CUSIP: 87231BAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     680000 | PA      | $665898.84    | 0.02%             | 2030-11-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     561821 | PA      | $557686.38    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323357 | PA      | $263581.28    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2449341 | PA      | $2026150.69   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-4                                                                                      | CUSIP: 00842ACG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104000 | PA      | $62579.31     | 0.00%             | 2045-06-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422807 | PA      | $418965.68    | 0.01%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | Long: BRY0HZD03 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRY0HZD03 CDS USD P F  1.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    1237909 | OU      | $-32532.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Interface Security Systems, LLC                       | Interface Security Systems, LLC Term Loan                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1250445 | PA      | $1214557.55   | 0.04%             | 2023-08-07      | Floating      | 8.75%                 | No            |                  3 | On Loan: No      |
| Park River Holdings Inc                               | Park River Holdings Inc Term Loan                                                                                    | CUSIP: 70082HAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     198968 | PA      | $174905.56    | 0.01%             | 2027-12-28      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR FUT OPTN  FEB23C 114.5 EXP 01/27/2023                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         32 | NC      | $6500.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALME Loan Funding BV                                  | Alme Loan Funding V DAC                                                                                              | CUSIP: 000000000<br>LEI: 5493007Y7TGLM40XAY97 | Long             | ABS-CBDO         | CORP              | IE        |     270000 | PA      | $235544.90    | 0.01%             | 2031-07-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO XXII Ltd                                                                                            | CUSIP: 09629PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     660000 | PA      | $640157.76    | 0.02%             | 2031-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                   | Moody's Corp                                                                                                         | CUSIP: 615369AX3<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $818173.73    | 0.03%             | 2061-11-29      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                                                         | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     352000 | PA      | $212839.22    | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | BRYBSUGT2 BLACKROCK SWAPTION 3.105 PUT USD 2023121                                                                   | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -53185800 | NC      | $-2801046.11  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Sovos Brands Intermediate, Inc.                       | Sovos Brands Intermediate, Inc. 2021 Term Loan                                                                       | CUSIP: 84611UAH1<br>LEI: 549300LNTCFBIDJ7R637 | Long             | LON              | CORP              | US        |     139317 | PA      | $136298.25    | 0.00%             | 2028-06-08      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2040000 | PA      | $1942338.69   | 0.07%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2015-NXS4                                                                      | CUSIP: 94989XBF1<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |     912407 | PA      | $21371.95     | 0.00%             | 2048-12-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282843 | PA      | $269493.05    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD CLP                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3647.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2885315 | PA      | $2501929.93   | 0.09%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                      | FirstEnergy Corp                                                                                                     | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $679594.00    | 0.02%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                                                     | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    1115000 | PA      | $1052938.46   | 0.04%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: BRTVUN3Z7 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRTVUN3Z7 CDS USD P F  5.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     250000 | OU      | $-7658.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                        | S&P Global Inc                                                                                                       | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    1737000 | PA      | $1716715.70   | 0.06%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding IX CLO Ltd                                                                                             | CUSIP: 15033EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     380000 | PA      | $374560.30    | 0.01%             | 2031-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2017-CD5 Mortgage Trust                                                                                           | CUSIP: 12515HBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363000 | PA      | $316212.93    | 0.01%             | 2050-08-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| RR 1 Ltd                                              | RR 1 LLC                                                                                                             | CUSIP: 78108YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1620000 | PA      | $1583919.36   | 0.06%             | 2035-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                         | American Home Mortgage Assets Trust 2006-3                                                                           | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332305 | PA      | $229830.70    | 0.01%             | 2046-10-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                | Conseco Finance Corp                                                                                                 | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     369891 | PA      | $150850.91    | 0.01%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED USD / SOLD CLP                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2856.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2021-B23 Mortgage Trust                                                                                    | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5105295 | PA      | $344261.26    | 0.01%             | 2054-02-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5482379 | PA      | $5407686.89   | 0.19%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                          | ELP Commercial Mortgage Trust 2021-ELP                                                                               | CUSIP: 26863LAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192000 | PA      | $174934.23    | 0.01%             | 2038-11-15      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20756 | PA      | $19887.39     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                        | HPS Loan Management 10-2016 Ltd                                                                                      | CUSIP: 40436TAS5<br>LEI: 2549009NI8GVCM3ROT27 | Long             | ABS-CBDO         | CORP              | KY        |    1160000 | PA      | $1130590.52   | 0.04%             | 2034-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     657806 | PA      | $633071.46    | 0.02%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                            | Intel Corp                                                                                                           | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    1228000 | PA      | $920292.41    | 0.03%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                   | Elmwood CLO II Ltd                                                                                                   | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $732258.00    | 0.03%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                             | RMF Buyout Issuance Trust 2021-HB1                                                                                   | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     509000 | PA      | $373629.21    | 0.01%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58563 | PA      | $54757.68     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Massachusetts Housing Finance Agency                  | MASSACHUSETTS ST HSG FIN AGY                                                                                         | CUSIP: 57586NXZ9<br>LEI: 549300NLJBK1VP6K2K81 | Long             | DBT              | MUN               | US        |     275000 | PA      | $255428.91    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                  | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-228.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED USD / SOLD MXN                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $2538.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638895 | PA      | $604175.94    | 0.02%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549912 | PA      | $452866.69    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                              | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp                                                                 | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     520000 | PA      | $445707.60    | 0.02%             | 2029-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED USD / SOLD TWD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $598.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                                                         | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     483000 | PA      | $390400.60    | 0.01%             | 2031-01-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Applied Materials Inc                                 | Applied Materials Inc                                                                                                | CUSIP: 038222AM7<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |     316000 | PA      | $284139.87    | 0.01%             | 2047-04-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10246155 | PA      | $8382045.39   | 0.30%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5774551 | PA      | $5748999.63   | 0.20%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | JP        |          1 | NC      | $7074.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD               | GoldentTree Loan Management US CLO 1 Ltd                                                                             | CUSIP: 38138KAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     910000 | PA      | $886308.15    | 0.03%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-F                                                                                      | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7372365 | PA      | $6501545.77   | 0.23%             | 2061-06-25      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7464370 | PA      | $6306534.01   | 0.22%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360961 | PA      | $338853.53    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AUTODESK INC                                          | Autodesk Inc                                                                                                         | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |     426000 | PA      | $340298.85    | 0.01%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| COLGATE ENERGY P                                      | Colgate Energy Partners III LLC                                                                                      | CUSIP: 19416MAB5<br>LEI: 549300QRLZK0B17DH791 | Long             | DBT              | CORP              | US        |     240000 | PA      | $206126.53    | 0.01%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                      | Societe Generale                                                                                                     | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |     500000 | PA      | $500000.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                                                              | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     150000 | PA      | $128350.50    | 0.00%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Asset-Backed Certificates Trust 2005-16                                                                        | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     787004 | PA      | $678278.43    | 0.02%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                                                               | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   10847000 | PA      | $9516305.33   | 0.33%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                                                                    | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     532000 | PA      | $325585.89    | 0.01%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36178EK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45667 | PA      | $42947.98     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     965887 | PA      | $737884.74    | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                | Mosaic Solar Loan Trust 2020-1                                                                                       | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     153700 | PA      | $133421.10    | 0.00%             | 2046-04-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                        | Pikes Peak CLO 8                                                                                                     | CUSIP: 72133CAA0<br>LEI: 549300NJA5BS4BQQJL72 | Long             | ABS-CBDO         | CORP              | KY        |    1180000 | PA      | $1143201.70   | 0.04%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226244 | PA      | $215828.50    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                      | Vista Point Securitization Trust 2020-2                                                                              | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $82451.86     | 0.00%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $337.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAZER HOMES USA                                      | Beazer Homes USA Inc                                                                                                 | CUSIP: 07556QBT1<br>LEI: 549300DUPYT2T0F60I45 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $916168.28    | 0.03%             | 2029-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                                                             | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    1708000 | PA      | $1230235.68   | 0.04%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                                     | Riserva Clo Ltd                                                                                                      | CUSIP: 76761RAY5<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |     940000 | PA      | $909059.90    | 0.03%             | 2034-01-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190668 | PA      | $179315.26    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                 | MidAmerican Energy Co                                                                                                | CUSIP: 595620AW5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     590000 | PA      | $377750.66    | 0.01%             | 2052-08-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                               | Public Service Electric and Gas Co                                                                                   | CUSIP: 74456QBX3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     668000 | PA      | $628655.43    | 0.02%             | 2028-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31631 | PA      | $30416.98     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                  | FS Rialto 2021-FL3                                                                                                   | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     566000 | PA      | $539701.38    | 0.02%             | 2036-11-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-BHAR                                                                                                       | CUSIP: 12659VAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191000 | PA      | $179130.13    | 0.01%             | 2038-11-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63528 | PA      | $65610.64     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Seasoned Credit Risk Transfer Trust Series 2018-1                                                                    | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159762 | PA      | $74266.66     | 0.00%             | 2057-05-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 3620A9TU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127574 | PA      | $130143.59    | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                 | Tricon American Homes 2018-SFR1 Trust                                                                                | CUSIP: 89613TAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     180000 | PA      | $168059.30    | 0.01%             | 2037-05-17      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                                | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer                                     | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              |  | US        |     892000 | PA      | $755078.00    | 0.03%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132JPTF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152943 | PA      | $149433.25    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 5-R Ltd                                                                                        | CUSIP: 03329AAG0<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |    1010000 | PA      | $976268.02    | 0.03%             | 2030-01-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: BRTW15X00 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRTW15X00 CDS USD P F  5.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     499000 | OU      | $-19600.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230064 | PA      | $215356.43    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                    | Raytheon Technologies Corp                                                                                           | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2702000 | PA      | $2586104.98   | 0.09%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                          | WP Carey Inc                                                                                                         | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |     612000 | PA      | $487623.05    | 0.02%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                               | HCA Inc                                                                                                              | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     807000 | PA      | $806022.97    | 0.03%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192228 | PA      | $1107505.37   | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                      | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3340000 | PA      | $2096940.34   | 0.07%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: SRY4LJVS5 IRS EUR R F  2.44200 2 CCPVANILLA / Short: SRY4LJVS5 IRS EUR P V 06MEURIB 1 CCPVANILLA               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1521000 | OU      | $-45767.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                               | Fidelity National Information Services Inc                                                                           | CUSIP: 31620MBM7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    1463000 | PA      | $1301940.91   | 0.05%             | 2028-12-03      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Eastman Chemical Company                              | Eastman Chemical Company 2021 Term Loan B                                                                            | CUSIP: 33939NAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     399990 | PA      | $330991.73    | 0.01%             | 2028-11-01      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                                  | Steele Creek Clo 2017-1 Ltd                                                                                          | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     670000 | PA      | $658618.04    | 0.02%             | 2030-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2015-1 Ltd                                                                                         | CUSIP: 69689ABJ8<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |    4195000 | PA      | $4103834.26   | 0.14%             | 2034-05-21      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                                                                   | CUSIP: 907818FV5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     461000 | PA      | $335550.46    | 0.01%             | 2061-05-20      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91637 | PA      | $83352.14     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                              | Service Properties Trust                                                                                             | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |     135000 | PA      | $116256.87    | 0.00%             | 2027-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2019-L2                                                                               | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2337566 | PA      | $111364.67    | 0.00%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRYBBS377 BLACKROCK SWAPTION 3.4 CALL USD 20230630                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        | -731697000 | NC      | $-356775.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6358261 | PA      | $6330126.47   | 0.22%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                   | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE4 Trust                                             | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1717156 | PA      | $525534.65    | 0.02%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     353000 | PA      | $215365.35    | 0.01%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR NOTE (CBT)MAR23                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        196 | NC      | $-270534.81   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27413 | PA      | $26008.11     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                                                          | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2583000 | PA      | $2052727.51   | 0.07%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| CAMERON LNG LLC                                       | Cameron LNG LLC                                                                                                      | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    2930000 | PA      | $2358992.63   | 0.08%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRY7KKT18 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY7KKT18 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |    1319000 | OU      | $85142.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     835746 | PA      | $760171.61    | 0.03%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD MXN                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $999.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse International                           | Long: BRSQPUGQ5 CDS USD R F   .50000 / Short: BRSQPUGQ5 CDS USD P V 03MEVENT                                         | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | US        |    5000000 | OU      | $4207.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc             | Structured Asset Mortgage Investments II Trust 2006-AR2                                                              | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     623870 | PA      | $538175.54    | 0.02%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-22T1                                                                                     | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     970915 | PA      | $824373.62    | 0.03%             | 2035-06-25      | Floating      | 4.74%                 | 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        |     851559 | PA      | $739052.90    | 0.03%             | 2037-03-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1709815 | PA      | $1733369.39   | 0.06%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2017-I Ltd                                                                                              | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |    1096754 | PA      | $1085847.02   | 0.04%             | 2029-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16904 | PA      | $15833.86     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                         | MHC Commercial Mortgage Trust 2021-MHC                                                                               | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193000 | PA      | $180904.50    | 0.01%             | 2038-04-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust      | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                                                       | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7782311 | PA      | $5851434.24   | 0.21%             | 2037-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial              | Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2                                                       | CUSIP: 52520VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238095 | PA      | $225032.46    | 0.01%             | 2036-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| TD Prime Svcs                                         | TD Prime Svcs                                                                                                        | CUSIP: 000000000<br>LEI: 549300ZBQI1JB1844X09 | Long             | RA               | CORP              | US        |    1500000 | PA      | $1500000.00   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2156299.10   | 0.08%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59272 | PA      | $56889.28     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | 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        |    1317860 | PA      | $1255051.24   | 0.04%             | 2038-07-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                 | Micron Technology Inc                                                                                                | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     384000 | PA      | $287126.73    | 0.01%             | 2032-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3409134 | PA      | $2923102.45   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | Long: BRTB7X0V7 CDS USD R V 01MEVENT 1 CMBX / Short: BRTB7X0V7 CDS USD P F   .50000 2 CMBX                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    1280000 | OU      | $573.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | BRYA9VWZ1 BLACKROCK FXVAN PUT USD HUF 390.0000000                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -428000 | OU      | $-20718.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bakelite US Holdco, Inc.                              | Bakelite US Holdco, Inc. 2022 Term Loan                                                                              | CUSIP: 05710LAB9<br>LEI: 549300UCYL2XSFT5Y041 | Long             | LON              | CORP              | US        |    1197998 | PA      | $1119378.91   | 0.04%             | 2029-05-29      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Seasoned Credit Risk Transfer Trust Series 2017-3                                                                    | CUSIP: 35563PCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     997061 | PA      | $97517.06     | 0.00%             | 2056-07-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36178D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132040 | PA      | $124176.59    | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                                                                  | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3661000 | PA      | $3112038.18   | 0.11%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PROJECT SASE WARRANT                                  | PROJECT SASE WARRANT                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      83584 | NS      | $215646.72    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2738208 | PA      | $2597008.98   | 0.09%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2496.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                              | Service Properties Trust                                                                                             | CUSIP: 44106MAT9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |     473000 | PA      | $407984.68    | 0.01%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1681.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-C                                                                                      | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2071803 | PA      | $1919034.22   | 0.07%             | 2061-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418QGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10102 | PA      | $10082.65     | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                           | Gulf Stream Meridian 4 Ltd                                                                                           | CUSIP: 40256YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $217719.25    | 0.01%             | 2034-07-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7860006 | PA      | $7139264.83   | 0.25%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY CORP                                     | Kimco Realty Corp                                                                                                    | CUSIP: 49446RAY5<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              |  | US        |     374000 | PA      | $287132.04    | 0.01%             | 2031-12-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Latch Inc                                             | Latch Inc                                                                                                            | CUSIP: 51818V114<br>LEI: N/A                  | N/A              | DE               |  | US        |      43584 | NS      | $1856.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                               | Romanian Government International Bond                                                                               | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     209000 | PA      | $186061.36    | 0.01%             | 2028-03-07      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180KJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     240705 | PA      | $226431.62    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                     | GXO Logistics Inc                                                                                                    | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |     819000 | PA      | $604708.90    | 0.02%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Shearer's Foods, Inc.                                 | Shearer's Foods, Inc. 2021 Term Loan                                                                                 | CUSIP: 82087UAL1<br>LEI: 549300AQWIJSYS2CIH04 | Long             | LON              | CORP              | US        |     163251 | PA      | $156070.40    | 0.01%             | 2027-09-23      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                      | Societe Generale                                                                                                     | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |     700000 | PA      | $700000.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                               | Public Service Electric and Gas Co                                                                                   | CUSIP: 74456QCK0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     980000 | PA      | $981754.62    | 0.03%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32813 | PA      | $30683.22     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5324000 | PA      | $4627304.66   | 0.16%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22597 | PA      | $21213.85     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GXZ2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     286000 | PA      | $282918.55    | 0.01%             | 2024-03-08      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1398561 | PA      | $1328338.95   | 0.05%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2007-HE3                                                                | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2510996 | PA      | $2459150.16   | 0.09%             | 2037-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-A                                                                              | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2040000 | PA      | $1703678.26   | 0.06%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36177MZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95649 | PA      | $89953.86     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1909069 | PA      | $1653813.20   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HMH Trust                                             | HMH Trust 2017-NSS                                                                                                   | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1210000 | PA      | $1137400.00   | 0.04%             | 2031-07-05      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                                                                   | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1243000 | PA      | $1240610.77   | 0.04%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51909 | PA      | $49626.34     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                                                      | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1947000 | PA      | $1525555.79   | 0.05%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                               | Kinder Morgan Energy Partners LP                                                                                     | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     863000 | PA      | $864936.26    | 0.03%             | 2040-09-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1056000 | PA      | $934246.96    | 0.03%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR1                                                                                       | CUSIP: 74331FAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $420405.80    | 0.01%             | 2038-04-17      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                               | Oncor Electric Delivery Co LLC                                                                                       | CUSIP: 68233JCJ1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1383000 | PA      | $1353981.27   | 0.05%             | 2032-09-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211029 | PA      | $219971.39    | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34935 | PA      | $32546.38     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates     | First Franklin Mortgage Loan Trust 2006-FF16                                                                         | CUSIP: 320275AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7215945 | PA      | $3098195.42   | 0.11%             | 2036-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                               | Hungary Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     400000 | PA      | $424721.82    | 0.01%             | 2027-02-22      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                                   | Sound Point CLO XXIII                                                                                                | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4840000 | PA      | $4663480.36   | 0.16%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229935 | PA      | $215480.40    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                               | Mexican Bonos                                                                                                        | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   13600000 | PA      | $657816.64    | 0.02%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                                                      | CUSIP: 466317AQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     916733 | PA      | $738941.20    | 0.03%             | 2037-04-15      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XXIII Ltd                                                                                       | CUSIP: 55820TAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239017.25    | 0.01%             | 2031-07-27      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL INC COMMON                                                                                         | CUSIP: 939ESCAY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1247000 | PA      | $0.12         | 0.00%             | 2017-09-21      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD CLP                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-7170.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                        | Galaxy Xxviii Clo Ltd                                                                                                | CUSIP: 36321JAC8<br>LEI: 549300QR0537E9AXFW42 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245541.75    | 0.01%             | 2031-07-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 5 Ltd                            | Gulf Stream Meridian 5 Ltd                                                                                           | CUSIP: 40256LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241124.75    | 0.01%             | 2034-07-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | Long: BRWMNMHS4 IRS CLP R F  1.65000 2 NDFCAMARAPROMEDIO / Short: BRWMNMHS4 IRS CLP P V 06MCLICP 1 NDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | 3163924000 | OU      | $-144781.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2018-1745                                                                      | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $145229.62    | 0.01%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | Long: BRW3DYMT3 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW3DYMT3 CDS USD P F  5.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     480000 | OU      | $-22265.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     754435 | PA      | $777797.39    | 0.03%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828ZD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27956000 | PA      | $27743031.75  | 0.98%             | 2023-03-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XXXVIII Ltd                                                                                     | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $838356.38    | 0.03%             | 2034-07-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XI Ltd                               | Marble Point CLO XI Ltd                                                                                              | CUSIP: 56607FAA3<br>LEI: 549300DBVCVH5X7MO467 | Long             | ABS-CBDO         | CORP              | KY        |     580000 | PA      | $570702.02    | 0.02%             | 2030-12-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828YM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41246000 | PA      | $39078973.93  | 1.38%             | 2024-10-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust       | BankAmerica Manufactured Housing Contract Trust                                                                      | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $982668.00    | 0.03%             | 2025-12-10      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                                                     | CUSIP: 12189LAW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     401000 | PA      | $342416.21    | 0.01%             | 2045-04-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547284 | PA      | $524415.05    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                           | Extended Stay America Trust 2021-ESH                                                                                 | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1067954 | PA      | $1001328.79   | 0.04%             | 2038-07-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                     | HSBC Holdings PLC                                                                                                    | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     525000 | PA      | $459524.16    | 0.02%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140FCTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375224 | PA      | $335853.10    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | Long: BRWKCZ9Q4 IRS CLP R V 00MCLICP 1 NDFCAMARAPROMEDIO / Short: BRWKCZ9Q4 IRS CLP P F  1.42000 2 NDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | 3163924000 | OU      | $93554.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                                                                  | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     885000 | PA      | $661530.01    | 0.02%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORIX CORP                                             | ORIX Corp                                                                                                            | CUSIP: 686330AR2<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |     289000 | PA      | $281680.69    | 0.01%             | 2032-09-13      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189995 | PA      | $182688.42    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                                                              | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     793000 | PA      | $756666.24    | 0.03%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258777 | PA      | $242639.58    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                   | Electronic Arts Inc                                                                                                  | CUSIP: 285512AE9<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |     643000 | PA      | $505389.40    | 0.02%             | 2031-02-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4429000 | PA      | $4221929.81   | 0.15%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| FREED CORP                                            | FREED CORP                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1158680 | PA      | $1115229.02   | 0.04%             | 2023-12-02      | Fixed         | 10.00%                | Yes           |                  3 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8178000 | PA      | $7771336.19   | 0.27%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FORESTAR GROUP INC                                    | Forestar Group Inc                                                                                                   | CUSIP: 346232AF8<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |     242000 | PA      | $212159.10    | 0.01%             | 2026-05-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| KNDL Mortgage Trust                                   | KNDL 2019-KNSQ Mortgage Trust                                                                                        | CUSIP: 482598AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2038000 | PA      | $1982677.27   | 0.07%             | 2036-05-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                        | Babson CLO Ltd 2015-I                                                                                                | CUSIP: 056162AQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241701.50    | 0.01%             | 2031-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5127962 | PA      | $4181780.35   | 0.15%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | Long: BRT7GBJL6 CDS USD R V 01MEVENT 1 CMBX / Short: BRT7GBJL6 CDS USD P F   .50000 2 CMBX                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    1001000 | OU      | $-73.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | Long: BRW15FXA6 CDS USD R F  3.00000 2 CMBX / Short: BRW15FXA6 CDS USD P V 01MEVENT 1 CMBX                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     138000 | OU      | $-26026.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                      | Flatiron CLO 18 Ltd                                                                                                  | CUSIP: 33883GAA5<br>LEI: 5493008L4GGS612L9S27 | Long             | ABS-CBDO         | CORP              | KY        |     270000 | PA      | $265631.94    | 0.01%             | 2031-04-17      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                              | Banco Mercantil del Norte SA/Grand Cayman                                                                            | CUSIP: 000000000<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     215000 | PA      | $191574.65    | 0.01%             | 2027-01-24      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                                                               | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1028405.78   | 0.04%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                                                                    | CUSIP: 29379VAV5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     594000 | PA      | $575328.40    | 0.02%             | 2042-02-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132VMSZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1028529 | PA      | $1012134.18   | 0.04%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 6174468T9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3037000 | PA      | $3028087.19   | 0.11%             | 2023-11-10      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2178000 | PA      | $2049202.34   | 0.07%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                     | ILLINOIS ST                                                                                                          | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    3010000 | PA      | $2888814.09   | 0.10%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887802 | PA      | $729274.74    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2017-D                                                                                      | CUSIP: 00968BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35904 | PA      | $22120.31     | 0.00%             | 2057-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Buttermilk Park CLO Ltd                               | Buttermilk Park CLO Ltd                                                                                              | CUSIP: 124166AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245956.75    | 0.01%             | 2031-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Medical Solutions Holdings, Inc.                      | Medical Solutions Holdings, Inc. 2021 2nd Lien Term Loan                                                             | CUSIP: 58462QAM3<br>LEI: 549300JH2XHZ7TIKYR39 | Long             | LON              | CORP              | US        |     274000 | PA      | $254135.00    | 0.01%             | 2029-11-01      | Floating      | 11.38%                | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                                                           | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1275000 | PA      | $1192225.87   | 0.04%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11711 | PA      | $11315.17     | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                                                                 | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4504000 | PA      | $3419333.57   | 0.12%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $3151708.51   | 0.11%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                                                                  | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1141000 | PA      | $994560.96    | 0.04%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED MXN / SOLD GBP                                                                                             | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $-3387.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD MXN                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $7612.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828J27<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9276000 | PA      | $8825969.11   | 0.31%             | 2025-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 7 Ltd                                                                                          | CUSIP: 03328TBC8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    1480000 | PA      | $1431679.48   | 0.05%             | 2031-01-28      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                                                    | CUSIP: 36257LAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     253882 | PA      | $199241.26    | 0.01%             | 2049-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17465 | PA      | $16375.37     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                              | Service Properties Trust                                                                                             | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |     178000 | PA      | $161814.73    | 0.01%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5471000 | PA      | $4662317.81   | 0.16%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                                                            | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     471000 | PA      | $376802.40    | 0.01%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                                                                  | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     176000 | PA      | $110746.36    | 0.00%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132QUXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3421495 | PA      | $3280899.93   | 0.12%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2020-18 Ltd                                                                                                  | CUSIP: 671078AN3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $487744.00    | 0.02%             | 2032-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                                                             | CUSIP: 38379KCT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1250309 | PA      | $21657.59     | 0.00%             | 2055-03-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | Credit Suisse Mortgage Capital Certificates                                                                          | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1862047 | PA      | $1707203.03   | 0.06%             | 2061-02-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602923 | PA      | $593404.92    | 0.02%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |          1 | NC      | $18658.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | BRY9WW446 BLACKROCK FXVAN PUT USD CLP 860.0000000                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -414000 | OU      | $-9791.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337807 | PA      | $316717.30    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd                                  | Whitebox CLO III Ltd                                                                                                 | CUSIP: 96467JAA0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $228871.00    | 0.01%             | 2034-10-15      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F022410<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -431000 | PA      | $-394312.38   | -0.01%            | 2038-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OPAL Fuels Inc                                        | OPAL Fuels Inc                                                                                                       | CUSIP: 68347P103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       1088 | NS      | $7920.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| HSBC Bank PLC                                         | PURCHASED MXN / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $2625.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4998000 | PA      | $4847622.87   | 0.17%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                      | Alabama Power Co                                                                                                     | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     637000 | PA      | $458876.12    | 0.02%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                                                        | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5300000 | PA      | $117862.99    | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1178866 | PA      | $1044306.55   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic Services Inc                                 | Republic Services Inc                                                                                                | CUSIP: 760759AT7<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     584000 | PA      | $554727.16    | 0.02%             | 2028-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2574892 | PA      | $2110289.86   | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                          | Voya CLO 2019-1 Ltd                                                                                                  | CUSIP: 92917NAJ7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |    1989000 | PA      | $1961840.21   | 0.07%             | 2031-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1681.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COVANTA HOLDING CORP                                  | Covanta Holding Corp                                                                                                 | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |     265000 | PA      | $217106.55    | 0.01%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corp                                  | Ambac Assurance Corp                                                                                                 | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     162922 | PA      | $228090.58    | 0.01%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                   | Eaton Vance CLO 2018-1 Ltd                                                                                           | CUSIP: 27831BAG8<br>LEI: 549300R0C8KS2AMEHL81 | Long             | ABS-CBDO         | CORP              | KY        |     710000 | PA      | $674921.03    | 0.02%             | 2030-10-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                       | Golub Capital Partners CLO 58B Ltd                                                                                   | CUSIP: 38178TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     270000 | PA      | $260746.29    | 0.01%             | 2035-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRY5QWP71 BLACKROCK SWAPTION 2.51 PUT USD 20230810                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   36484000 | NC      | $3118681.51   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-H                                                                                      | CUSIP: 00969XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     971937 | PA      | $959138.02    | 0.03%             | 2059-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cano Health Inc                                       | Cano Health Inc                                                                                                      | CUSIP: 13781Y111<br>LEI: N/A                  | N/A              | DE               |  | US        |      36440 | NS      | $8016.80      | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36178N7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107999 | PA      | $101566.36    | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASG FINANCE DESIGNATED                                | ASG Finance Designated Activity Co                                                                                   | CUSIP: 00217AAA4<br>LEI: 5493005UOB0OMEJ4WK10 | Long             | DBT              | CORP              | IE        |     509000 | PA      | $486095.00    | 0.02%             | 2024-12-03      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                                   | Beast Mortgage Trust                                                                                                 | CUSIP: 05601PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     604000 | PA      | $564809.94    | 0.02%             | 2036-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| State Street Corp                                     | State Street Corp                                                                                                    | CUSIP: 857477BA0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    2815000 | PA      | $2613098.23   | 0.09%             | 2023-12-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| WF-RBS Commercial Mortgage Trust                      | WFRBS Commercial Mortgage Trust 2014-C22                                                                             | CUSIP: 92890KBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1540000 | PA      | $1404071.59   | 0.05%             | 2057-09-15      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY0YNME1 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY0YNME1 IRS JPY P F   .29800 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  857795850 | OU      | $335415.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD MXN                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $999.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONE GAS INC                                           | ONE Gas Inc                                                                                                          | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |     370000 | PA      | $300840.14    | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XPQG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44605 | PA      | $43423.62     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     451026 | PA      | $419328.36    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     574000 | PA      | $549080.42    | 0.02%             | 2038-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                                                           | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    1565000 | PA      | $1198876.83   | 0.04%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1743000 | PA      | $1167844.34   | 0.04%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-E                                                                                      | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293000 | PA      | $226201.51    | 0.01%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                      | TRESTLES CLO V LTD                                                                                                   | CUSIP: 89532UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1190000 | PA      | $1161706.56   | 0.04%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1466000 | PA      | $1367948.11   | 0.05%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman CLO XVI-S Ltd                                                                                       | CUSIP: 64131TAN4<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |     440000 | PA      | $425630.92    | 0.01%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                                                                   | CUSIP: 907818FN3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     988000 | PA      | $634630.61    | 0.02%             | 2062-09-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                 | Takeda Pharmaceutical Co Ltd                                                                                         | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    2709000 | PA      | $2211219.46   | 0.08%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| MC BRAZIL DWNSTRM                                     | MC Brazil Downstream Trading SARL                                                                                    | CUSIP: 55292WAA8<br>LEI: 213800T2A7R9TYNXZI63 | Long             | DBT              | CORP              | LU        |     430000 | PA      | $354579.25    | 0.01%             | 2031-06-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                        | Lowe's Cos Inc                                                                                                       | CUSIP: 548661EE3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     397000 | PA      | $270159.05    | 0.01%             | 2041-09-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | Long: BRTB75G82 CDS USD R V 01MEVENT 1 CMBX / Short: BRTB75G82 CDS USD P F   .50000 2 CMBX                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     900000 | OU      | $402.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-378.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                                                              | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1617000 | PA      | $1368230.34   | 0.05%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1167569 | PA      | $961523.05    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123904 | PA      | $116114.36    | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc          | BAMLL Commercial Mortgage Securities Trust 2017-SCH                                                                  | CUSIP: 054966AU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $267321.15    | 0.01%             | 2032-11-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                | SLM Private Education Loan Trust 2010-C                                                                              | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |    2879084 | PA      | $3087817.70   | 0.11%             | 2041-10-15      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                              | Brex Commercial Charge Card Master Trust                                                                             | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     850000 | PA      | $840778.01    | 0.03%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust                        | LUXE Trust 2021-TRIP                                                                                                 | CUSIP: 55066WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $91525.67     | 0.00%             | 2038-10-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRY7KD114 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY7KD114 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |    3372600 | OU      | $217703.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     464416 | PA      | $398119.44    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 B PTT                                 | American Airlines 2015-2 Class B Pass Through Trust                                                                  | CUSIP: 02377BAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1307483 | PA      | $1285047.95   | 0.05%             | 2023-09-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36200KRE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32952 | PA      | $34659.72     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                                | Oman Government International Bond                                                                                   | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     300000 | PA      | $310482.00    | 0.01%             | 2027-10-28      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412941 | PA      | $375719.84    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Armada Euro CLO                                       | Armada Euro CLO III DAC                                                                                              | CUSIP: 000000000<br>LEI: 549300236OBWCGBX8R96 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $232364.34    | 0.01%             | 2031-07-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Refi Loan Trust 2021-D                                                                     | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     710000 | PA      | $594984.19    | 0.02%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                  | DBUBS 2017-BRBK Mortgage Trust                                                                                       | CUSIP: 23305JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418000 | PA      | $392930.70    | 0.01%             | 2034-10-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                           | SREIT Trust 2021-MFP                                                                                                 | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     890000 | PA      | $829743.80    | 0.03%             | 2038-11-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2018-1 Ltd                                                                                         | CUSIP: 69703PAA7<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |    1040000 | PA      | $1024250.24   | 0.04%             | 2031-04-18      | Floating      | 5.22%                 | 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        |    1525000 | PA      | $1454786.85   | 0.05%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-SOAR                                                                               | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1885074 | PA      | $1740161.36   | 0.06%             | 2038-06-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                | CenterPoint Energy Resources Corp                                                                                    | CUSIP: 15189YAF3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     366000 | PA      | $288546.59    | 0.01%             | 2030-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                         | AEP Texas Inc                                                                                                        | CUSIP: 00108WAF7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1109000 | PA      | $805786.82    | 0.03%             | 2047-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2014-5 Ltd                                                                                                   | CUSIP: 67102SAN4<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |     180000 | PA      | $172614.24    | 0.01%             | 2031-04-26      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     996000 | PA      | $878313.64    | 0.03%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2014-5 Ltd                                                                                                   | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |     160000 | PA      | $157615.84    | 0.01%             | 2031-04-26      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                    | Raytheon Technologies Corp                                                                                           | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     890000 | PA      | $603374.41    | 0.02%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-1                                                                                      | CUSIP: 00841WBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $83163.44     | 0.00%             | 2045-01-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| TRI POINTE HOMES INC                                  | Tri Pointe Homes Inc                                                                                                 | CUSIP: 87265HAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $54350.81     | 0.00%             | 2028-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DREAM FINDERS HOMES INC                               | DREAM FINDERS HOMES INC                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       2628 | NS      | $2394765.00   | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Voya CLO Ltd                                          | Voya CLO 2017-3 Ltd                                                                                                  | CUSIP: 92915QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     357000 | PA      | $346883.33    | 0.01%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| KLA Corp                                              | KLA Corp                                                                                                             | CUSIP: 482480AH3<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     318000 | PA      | $296367.18    | 0.01%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     515258 | PA      | $494697.44    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                              | CSX Corp                                                                                                             | CUSIP: 126408HK2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     705000 | PA      | $598427.65    | 0.02%             | 2048-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ARM Master Trust                                      | Arm Master Trust LLC Series 2021-T1 Agricultural Loan Backed Notes                                                   | CUSIP: 04206RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     370000 | PA      | $340850.07    | 0.01%             | 2027-11-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Sunstone Hotel Investors Inc                          | Sunstone Hotel Investors Inc                                                                                         | CUSIP: 867892101<br>LEI: 529900ZQ2V52V96ATF67 | Long             | EC               |  | US        |      21914 | NS      | $211689.24    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| DANA INC                                              | Dana Inc                                                                                                             | CUSIP: 235825AH9<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |     143000 | PA      | $115203.66    | 0.00%             | 2030-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2006-S3                                                                                     | CUSIP: 46629AAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185342 | PA      | $76411.43     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1458571.83   | 0.05%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                         | Life 2021-BMR Mortgage Trust                                                                                         | CUSIP: 53218CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     673335 | PA      | $635317.62    | 0.02%             | 2038-03-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4219000 | PA      | $-4226604.92  | -0.15%            | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2992000 | PA      | $2753285.08   | 0.10%             | 2028-05-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7955 | PA      | $7454.98      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                              | Virginia Electric and Power Co                                                                                       | CUSIP: 927804FL3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    1226000 | PA      | $991345.65    | 0.03%             | 2043-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4225000 | PA      | $4029758.78   | 0.14%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ESC CB CHESAPEAKE ENER                                | ESC CB CHESAPEAKE ENER                                                                                               | CUSIP: 165ESCAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $0.01         | 0.00%             | 2021-06-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED USD / SOLD CLP                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-730.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                               | Duke Energy Florida LLC                                                                                              | CUSIP: 26444HAH4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    3592000 | PA      | $3069779.45   | 0.11%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -11209000 | PA      | $-10510230.27 | -0.37%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                       | NGPL PipeCo LLC                                                                                                      | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     990000 | PA      | $940254.85    | 0.03%             | 2027-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJ4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     874462 | PA      | $781623.10    | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XLIX Ltd                                                                                        | CUSIP: 55821QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $216341.50    | 0.01%             | 2034-10-19      | Floating      | 10.48%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151251 | PA      | $137618.52    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                           | Legacy Mortgage Asset Trust 2019-SL2                                                                                 | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     999749 | PA      | $931377.58    | 0.03%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                 | Tenet Healthcare Corp                                                                                                | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     788000 | PA      | $682065.22    | 0.02%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4760000 | PA      | $3346131.25   | 0.12%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED MXN / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $2670.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | BRY9WW1E7 BLACKROCK FXVAN CALL USD CLP 960.0000000                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    -966000 | OU      | $-227.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-A                                                                                     | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     277000 | PA      | $221621.27    | 0.01%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26680 | PA      | $26627.65     | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                     | Generate CLO 6 Ltd                                                                                                   | CUSIP: 37148JAG8<br>LEI: 254900V675MOVWK0HA08 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $235360.00    | 0.01%             | 2035-01-22      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36178WQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72284 | PA      | $67491.62     | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD CAD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-1130.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                    | Howard Hughes Corp/The                                                                                               | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     749000 | PA      | $674646.77    | 0.02%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                                                     | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     265000 | PA      | $176845.77    | 0.01%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Knollwood CDO Ltd                                     | Knollwood CDO Ltd                                                                                                    | CUSIP: 499169AD2<br>LEI: 549300E24U6UCPJEUI87 | Long             | ABS-CBDO         | CORP              | KY        |    1077056 | PA      | $107.71       | 0.00%             | 2039-01-10      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| HOMES BY WEST BAY LLC                                 | HOMES BY WEST BAY LLC                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1259000 | PA      | $1144179.20   | 0.04%             | 2027-04-30      | Fixed         | 9.50%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     844361 | PA      | $726067.60    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                                   | Beast Mortgage Trust                                                                                                 | CUSIP: 05601PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     589000 | PA      | $534124.11    | 0.02%             | 2036-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                                                              | CUSIP: 15189XAT5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     373000 | PA      | $324279.36    | 0.01%             | 2049-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2874059 | PA      | $2343194.30   | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                | Digital Dutch Finco BV                                                                                               | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              |  | NL        |    1550000 | PA      | $1295295.02   | 0.05%             | 2030-03-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| One Market Plaza Trust                                | One Market Plaza Trust 2017-1MKT                                                                                     | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21110000 | PA      | $211.10       | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31390MJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361335 | PA      | $371343.25    | 0.01%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                                                         | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     176000 | PA      | $121506.67    | 0.00%             | 2051-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 3 Ltd                                                                                                        | CUSIP: 48661WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241480.75    | 0.01%             | 2032-04-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: B95V4ZFE3 CDS EUR R V 03MEVENT 1 CCPCDX / Short: B95V4ZFE3 CDS EUR P F  5.00000 2 CCPCDX                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1425000 | OU      | $-16594.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2005-AC9                                                                | CUSIP: 0738794J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1271413 | PA      | $826354.66    | 0.03%             | 2035-12-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                               | Regatta VI Funding Ltd                                                                                               | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |     760000 | PA      | $738676.68    | 0.03%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                              | Thermo Fisher Scientific Inc                                                                                         | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    1337000 | PA      | $1082795.27   | 0.04%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2115158 | PA      | $1634181.37   | 0.06%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED MXN / SOLD GBP                                                                                             | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $-3404.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                              | Northern States Power Co/MN                                                                                          | CUSIP: 665772CU1<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     879000 | PA      | $624940.90    | 0.02%             | 2052-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GCT Commercial Mortgage Trust                         | GCT Commercial Mortgage Trust 2021-GCT                                                                               | CUSIP: 36167RAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $75917.38     | 0.00%             | 2038-02-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                | Cascade MH Asset Trust 2019-MH1                                                                                      | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1823190 | PA      | $1705098.53   | 0.06%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84549 | PA      | $87445.11     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD NZD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-720.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale                                      | Societe Generale                                                                                                     | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |     300000 | PA      | $300000.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                  | SRS Distribution Inc                                                                                                 | CUSIP: 78471RAB2<br>LEI: 549300ZQ3XP75BCYM468 | Long             | DBT              | CORP              | US        |     147000 | PA      | $130311.11    | 0.00%             | 2028-07-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                                   | Crown Point CLO 10 Ltd                                                                                               | CUSIP: 22846FAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     620000 | PA      | $605108.22    | 0.02%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                              | Ashton Woods USA LLC / Ashton Woods Finance Co                                                                       | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     496000 | PA      | $398094.56    | 0.01%             | 2030-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                    | One New York Plaza Trust 2020-1NYP                                                                                   | CUSIP: 68249DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160000 | PA      | $140035.63    | 0.00%             | 2036-01-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                            | Biogen Inc                                                                                                           | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     973000 | PA      | $792694.50    | 0.03%             | 2030-05-01      | Fixed         | 2.25%                 | 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        |    1766000 | PA      | $1335382.00   | 0.05%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman Loan Advisers Clo 42 Ltd                                                                            | CUSIP: 64133WAA3<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |     680000 | PA      | $663485.52    | 0.02%             | 2035-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                                                                    | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     382000 | PA      | $324518.39    | 0.01%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                                                             | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     367000 | PA      | $273684.43    | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                                                        | CUSIP: 842400HD8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     777000 | PA      | $640256.88    | 0.02%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5233755 | PA      | $5026324.89   | 0.18%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                | Canyon Capital CLO 2019-1 Ltd                                                                                        | CUSIP: 13887TAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $451579.24    | 0.02%             | 2032-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                              | OHA Credit Funding 3 LTD                                                                                             | CUSIP: 67112RAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     343000 | PA      | $331028.27    | 0.01%             | 2035-07-02      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY0YNYM0 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY0YNYM0 IRS JPY P F   .30125 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  864909279 | OU      | $336275.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2018-H3                                                                               | CUSIP: 61767YAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38000 | PA      | $35799.68     | 0.00%             | 2051-07-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                          | BB-UBS Trust 2012-SHOW                                                                                               | CUSIP: 05538UAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     330000 | PA      | $289095.05    | 0.01%             | 2036-11-05      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: BRTVUY6N7 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRTVUY6N7 CDS USD P F  5.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     250000 | OU      | $-7658.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSCG Trust                                            | MSCG Trust 2018-SELF                                                                                                 | CUSIP: 55358PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111492 | PA      | $103871.49    | 0.00%             | 2037-10-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257845 | PA      | $211698.63    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                   | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1                                                  | CUSIP: 65536PAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221731 | PA      | $48827.15     | 0.00%             | 2036-05-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-A                                                                                     | CUSIP: 64035DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3661000 | PA      | $2909451.25   | 0.10%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                           | Oracle Corp                                                                                                          | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    7123000 | PA      | $5225510.23   | 0.18%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                               | Dell International LLC / EMC Corp                                                                                    | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     441000 | PA      | $502414.60    | 0.02%             | 2046-07-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2017-CX10 Commercial Mortgage Trust                                                                            | CUSIP: 12595JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3940000 | PA      | $42232.47     | 0.00%             | 2050-11-15      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                           | Extended Stay America Trust 2021-ESH                                                                                 | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     732144 | PA      | $700922.17    | 0.02%             | 2038-07-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                   | Gilead Sciences Inc                                                                                                  | CUSIP: 375558AX1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    1371000 | PA      | $1257203.11   | 0.04%             | 2044-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FREEWIRE WARRANTS TRANCHE B                           | FREEWIRE WARRANTS TRANCHE B                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     136947 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| MARRIOTT OWNERSHIP RESOR                              | Marriott Ownership Resorts Inc                                                                                       | CUSIP: 57164PAG1<br>LEI: BW4532OH033VURR0IT68 | Long             | DBT              | CORP              | US        |     353000 | PA      | $363812.39    | 0.01%             | 2025-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180DQE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115948 | PA      | $109040.46    | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65821 | PA      | $68085.50     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                         | UBS Commercial Mortgage Trust 2019-C18                                                                               | CUSIP: 90278PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7176753 | PA      | $329548.63    | 0.01%             | 2052-12-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                          | Barclays Mortgage Trust 2021-NPL1                                                                                    | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3896796 | PA      | $3645249.48   | 0.13%             | 2051-11-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED CAD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $777.12       | 0.00%             |  |  |  | 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        |     887139 | PA      | $674684.40    | 0.02%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVII LTD                  | Octagon Investment Partners XVII Ltd                                                                                 | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    3670000 | PA      | $3616337.26   | 0.13%             | 2031-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRYAPYWT1 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRYAPYWT1 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     731000 | OU      | $53263.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307MNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1272691 | PA      | $1222121.13   | 0.04%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83571 | PA      | $84930.44     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41246000 | PA      | $37643419.69  | 1.33%             | 2025-04-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   15240000 | PA      | $12277628.68  | 0.43%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2721929 | PA      | $2340591.76   | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GVC Holdings (Gibraltar) Limited                      | GVC Holdings (Gibraltar) Limited 2021 USD Term Loan B4                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GI        |        280 | PA      | $278.84       | 0.00%             | 2027-03-29      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                   | Invitation Homes Operating Partnership LP                                                                            | CUSIP: 46188BAB8<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |      93000 | PA      | $76900.70     | 0.00%             | 2028-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115826 | PA      | $111911.85    | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     769906 | PA      | $722657.59    | 0.03%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                              | Saudi Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     309000 | PA      | $220935.00    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| American Rock Salt Company LLC                        | American Rock Salt Company LLC 2021 Term Loan                                                                        | CUSIP: 02932JAP2<br>LEI: 549300FBKBNV4GSVVR46 | Long             | LON              | CORP              | US        |     214730 | PA      | $202517.23    | 0.01%             | 2028-06-09      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Digital Room Holdings, Inc.                           | Digital Room Holdings, Inc. 2021 Term Loan                                                                           | CUSIP: 78473KAB5<br>LEI: 549300I680V3FDWE2N30 | Long             | LON              | CORP              | US        |     513122 | PA      | $445775.17    | 0.02%             | 2028-12-21      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340232 | PA      | $318145.34    | 0.01%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158602 | PA      | $155325.92    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2021-1 Ltd                                                                                        | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |    1260000 | PA      | $1227232.44   | 0.04%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Silver Creek CLO                                      | Silver Creek CLO Ltd                                                                                                 | CUSIP: 827551AL6<br>LEI: 549300LSJSAR2PPV4U78 | Long             | ABS-CBDO         | CORP              | KY        |    1446115 | PA      | $1432639.88   | 0.05%             | 2030-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                 | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753701 | PA      | $696103.17    | 0.02%             | 2033-08-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90981 | PA      | $90294.00     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                                                         | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     600000 | PA      | $371055.19    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                  | BX Commercial Mortgage Trust 2019-XL                                                                                 | CUSIP: 056054AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3680342 | PA      | $3506166.78   | 0.12%             | 2036-10-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust 2007-AHL2                                                                              | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1731820 | PA      | $1184453.04   | 0.04%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED MXN / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $4270.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2432270 | PA      | $2082849.44   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690554 | PA      | $678154.45    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2018-2 Ltd                                                                                         | CUSIP: 69688LAA5<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $222587.25    | 0.01%             | 2031-07-16      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                                                     | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     265000 | PA      | $178066.47    | 0.01%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10501 | PA      | $9992.17      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36177Q3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72280 | PA      | $67975.59     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                     | EURO STOXX 50 MAR23                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |       -129 | NC      | $204687.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| City Brewing Company, LLC                             | City Brewing Company, LLC Closing Date Term Loan                                                                     | CUSIP: 17776EAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     347490 | PA      | $156370.50    | 0.01%             | 2028-04-05      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Cox Communications Inc                                | Cox Communications Inc                                                                                               | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    1381000 | PA      | $1329026.13   | 0.05%             | 2024-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2303846 | PA      | $1994357.93   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                   | 522 Funding CLO 2019-4 Ltd                                                                                           | CUSIP: 33834WAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     625000 | PA      | $597123.13    | 0.02%             | 2030-04-20      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1101000 | PA      | $827467.93    | 0.03%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                    | Raytheon Technologies Corp                                                                                           | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1607000 | PA      | $1366716.04   | 0.05%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                                | Sunoco LP / Sunoco Finance Corp                                                                                      | CUSIP: 86765LAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     616000 | PA      | $534718.80    | 0.02%             | 2030-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                     | 245 Park Avenue Trust 2017-245P                                                                                      | CUSIP: 90187LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $35952.00     | 0.00%             | 2037-06-05      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31414J6R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142176 | PA      | $146947.40    | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings S.A.                        | Intelsat Jackson Holdings S.A. 2021 Exit Term Loan B                                                                 | CUSIP: 000000000<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |       1178 | PA      | $1139.97      | 0.00%             | 2029-02-01      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                                 | Interpublic Group of Cos Inc/The                                                                                     | CUSIP: 460690BR0<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |     552000 | PA      | $520755.98    | 0.02%             | 2030-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504775 | PA      | $468256.02    | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| City of San Antonio TX Electric & Gas Systems Revenue | SAN ANTONIO TX ELEC & GAS REVENUE                                                                                    | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |     875000 | PA      | $932275.58    | 0.03%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XFAL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196011 | PA      | $188288.24    | 0.01%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740143 | PA      | $725252.44    | 0.03%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2411366 | PA      | $1982038.89   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                              | Thermo Fisher Scientific Inc                                                                                         | CUSIP: 883556CU4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    1196000 | PA      | $1212863.21   | 0.04%             | 2032-11-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2021-DNA1                                                                              | CUSIP: 35564KBD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1040000 | PA      | $935128.17    | 0.03%             | 2051-01-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                    | Grupo Televisa SAB                                                                                                   | CUSIP: 40049JAZ0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |     100000 | PA      | $102745.18    | 0.00%             | 2040-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                               | Transcontinental Gas Pipe Line Co LLC                                                                                | CUSIP: 893574AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     606000 | PA      | $460797.93    | 0.02%             | 2050-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                          | Atrium Hotel Portfolio Trust 2017-ATRM                                                                               | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1540000 | PA      | $1404402.23   | 0.05%             | 2036-12-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Bausch Health Cos Inc                                 | Bausch Health Cos Inc                                                                                                | CUSIP: 91911KAN2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     176000 | PA      | $149514.93    | 0.01%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470119 | PA      | $448082.87    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47715 | PA      | $44265.85     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AFFINITY GAMING                                       | Affinity Gaming                                                                                                      | CUSIP: 00842XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     353000 | PA      | $299287.17    | 0.01%             | 2027-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SIMPAR EUROPE SA                                      | Simpar Europe SA                                                                                                     | CUSIP: 82883PAA2<br>LEI: 54930068BSUST41D5C30 | Long             | DBT              | CORP              | LU        |     520000 | PA      | $393900.00    | 0.01%             | 2031-01-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4723932 | PA      | $3877903.21   | 0.14%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    4119000 | PA      | $3202251.10   | 0.11%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                           | SREIT Trust 2021-MFP2                                                                                                | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672700 | PA      | $628842.38    | 0.02%             | 2036-11-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256215 | PA      | $246641.15    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36176Q4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78287 | PA      | $73624.24     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                               | Talen Energy Supply LLC                                                                                              | CUSIP: 87422VAG3<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     688000 | PA      | $703480.00    | 0.02%             | 2028-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2020-D                                                                                      | CUSIP: 00970CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     748567 | PA      | $697281.21    | 0.02%             | 2060-06-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| DirecTV Financing, LLC                                | DirecTV Financing, LLC Term Loan                                                                                     | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     781888 | PA      | $761790.65    | 0.03%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 5YR NOTE (CBT) MAR23                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       2995 | NC      | $-483347.80   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2020-I Ltd                                                                                              | CUSIP: 12555QAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244297.00    | 0.01%             | 2036-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRWWEMUC2 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWEMUC2 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     520000 | OU      | $1685.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VFV1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1493000 | PA      | $888965.87    | 0.03%             | 2060-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1230206 | PA      | $1141280.58   | 0.04%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | ARES LII CLO Ltd                                                                                                     | CUSIP: 04009AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1330000 | PA      | $1305017.28   | 0.05%             | 2031-04-22      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WKLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364420 | PA      | $348572.02    | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-3                                                                                      | CUSIP: 00841YCG1<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $96511.91     | 0.00%             | 2045-04-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                              | KLA Corp                                                                                                             | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    1670000 | PA      | $1603657.61   | 0.06%             | 2062-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15978 | PA      | $15444.33     | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US LONG BOND(CBT) MAR23                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        801 | NC      | $-194930.61   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178071 | PA      | $133902.23    | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                              | AT&T Inc                                                                                                             | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1399000 | PA      | $1330402.86   | 0.05%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181295 | PA      | $173032.60    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54364 | PA      | $56086.55     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Northwest Pipeline LLC                                | Northwest Pipeline LLC                                                                                               | CUSIP: 66775VAB1<br>LEI: 549300FFKMN9OW536A14 | Long             | DBT              | CORP              | US        |    2030000 | PA      | $1918908.09   | 0.07%             | 2027-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1183327 | PA      | $1161468.74   | 0.04%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267059 | PA      | $250412.17    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SITIO ROYALTIES CORP BRY5GW7S6                        | SITIO ROYALTIES CORP BRY5GW7S6                                                                                       | CUSIP: 000000000<br>LEI: 549300OILIONON7XK623 | Long             | DBT              | CORP              | US        |    2042000 | PA      | $2003814.60   | 0.07%             | 2026-09-21      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     643620 | PA      | $569044.07    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Los Angeles Unified School District/CA                | LOS ANGELES CA UNIF SCH DIST                                                                                         | CUSIP: 544646ZR6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2020000 | PA      | $2259791.17   | 0.08%             | 2034-07-01      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407589 | PA      | $333066.62    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9631000 | PA      | $9488667.40   | 0.33%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417FSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261630 | PA      | $238069.88    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2018-SUN                                                                              | CUSIP: 61691MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10000 | PA      | $9547.54      | 0.00%             | 2035-07-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust           | Arbor Multifamily Mortgage Securities Trust 2020-MF1                                                                 | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126000 | PA      | $72533.75     | 0.00%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                     | General Motors Co                                                                                                    | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    3732000 | PA      | $3467014.19   | 0.12%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                                   | Beast Mortgage Trust                                                                                                 | CUSIP: 05601PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     576000 | PA      | $528355.24    | 0.02%             | 2036-04-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization       | Credit-Based Asset Servicing and Securitization LLC                                                                  | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     148314 | PA      | $116245.03    | 0.00%             | 2036-12-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                              | Olympus Water US Holding Corp                                                                                        | CUSIP: 16308NAA2<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |     200000 | PA      | $190500.00    | 0.01%             | 2027-10-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: —       |
| Trinitas CLO Ltd                                      | TRINITAS CLO IV LTD                                                                                                  | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |     160000 | PA      | $153029.76    | 0.01%             | 2031-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17517 | PA      | $16826.33     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                           | Oracle Corp                                                                                                          | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     718000 | PA      | $568505.95    | 0.02%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fanatics Commerce Intermediate Holdco, LLC            | Fanatics Commerce Intermediate Holdco, LLC Term Loan B                                                               | CUSIP: 30709UAB0<br>LEI: 254900YDIRBC66RGAG10 | Long             | LON              | CORP              | US        |     871200 | PA      | $857043.00    | 0.03%             | 2028-11-24      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138Y1XZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131343 | PA      | $125594.73    | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                              | OHA Credit Funding 4 Ltd                                                                                             | CUSIP: 67098DAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242366.25    | 0.01%             | 2036-10-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                        | Microsoft Corp                                                                                                       | CUSIP: 594918CA0<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     795000 | PA      | $745371.64    | 0.03%             | 2047-02-06      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                          | BB-UBS Trust 2012-SHOW                                                                                               | CUSIP: 05538UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   85480000 | PA      | $857048.12    | 0.03%             | 2036-11-05      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                                                                    | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      73000 | PA      | $73830.73     | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                   | BHMS 2018-ATLS                                                                                                       | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260000 | PA      | $249617.94    | 0.01%             | 2035-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | Long: BRTBK0ZP9 CDS USD R V 01MEVENT 1 CMBX / Short: BRTBK0ZP9 CDS USD P F   .50000 2 CMBX                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1960000 | OU      | $877.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     929907 | PA      | $718440.62    | 0.03%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                    | GRACIE POINT INTERNATIONAL FUNDING 2021-1                                                                            | CUSIP: 38411EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     160000 | PA      | $159180.61    | 0.01%             | 2023-11-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                             | INVESCO GOVT AND AGCY LEX                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    1000000 | NS      | $1000000.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| University of California                              | UNIV OF CALIFORNIA CA REVENUES                                                                                       | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     239000 | PA      | $201469.64    | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-JR1 Trust                                                                                                  | CUSIP: 12657XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200587 | PA      | $3994755.62   | 0.14%             | 2066-09-27      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356018 | PA      | $340567.73    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48631 | PA      | $45516.39     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRUPO POSADAS SAB CV                                  | Grupo Posadas SAB de CV                                                                                              | CUSIP: 000000000<br>LEI: 529900NRFIXN5G8NUX35 | Long             | DBT              | CORP              | MX        |     128810 | PA      | $100556.64    | 0.00%             | 2027-12-30      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     289492 | PA      | $269658.01    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                      | Altria Group Inc                                                                                                     | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1201000 | PA      | $803044.18    | 0.03%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                   | Elmwood CLO II Ltd                                                                                                   | CUSIP: 29001LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240976.50    | 0.01%             | 2034-04-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301550 | PA      | $277984.24    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                                                         | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     677000 | PA      | $427257.89    | 0.02%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XXVI Ltd                                                                                        | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | KY        |    2030000 | PA      | $2010690.64   | 0.07%             | 2030-07-29      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4540606 | PA      | $3883040.28   | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                                                              | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1960000 | PA      | $1781989.68   | 0.06%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| State of California                                   | CALIFORNIA ST                                                                                                        | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     780000 | PA      | $976272.96    | 0.03%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499309 | PA      | $461810.36    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                                                      | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2501000 | PA      | $2519265.83   | 0.09%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                                                        | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1858000 | PA      | $1530166.34   | 0.05%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                               | Consolidated Edison Co of New York Inc                                                                               | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    2116000 | PA      | $2265261.20   | 0.08%             | 2052-11-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                              | Ashton Woods USA LLC / Ashton Woods Finance Co                                                                       | CUSIP: 045086AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1207000 | PA      | $1061942.69   | 0.04%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                | Conseco Finance Corp                                                                                                 | CUSIP: 393505N99<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      31412 | PA      | $31387.75     | 0.00%             | 2030-09-01      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57438 | PA      | $56388.69     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Municipal Power Inc                          | AMERICAN MUNI PWR-OHIO INC OH REVENUE                                                                                | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |     510000 | PA      | $656070.43    | 0.02%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                   | Suzano Austria GmbH                                                                                                  | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     135000 | PA      | $113255.08    | 0.00%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                             | Madison Park Euro Funding XVI DAC                                                                                    | CUSIP: 000000000<br>LEI: 635400X2NOVLPNW79680 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $222621.92    | 0.01%             | 2034-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20058329 | PA      | $16409113.76  | 0.58%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93233 | PA      | $87526.47     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67593 | PA      | $64658.40     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLEGIANT TRAVEL CO                                   | Allegiant Travel Co                                                                                                  | CUSIP: 01748XAC6<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |     892000 | PA      | $889770.00    | 0.03%             | 2024-02-05      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                          | MASTR Resecuritization Trust 2008-3                                                                                  | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228107 | PA      | $109752.78    | 0.00%             | 2037-08-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Volta Inc                                             | Volta Inc                                                                                                            | CUSIP: 92873V110<br>LEI: N/A                  | N/A              | DE               |  | US        |      20140 | NS      | $1315.14      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140FBD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1694499 | PA      | $1616694.24   | 0.06%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2015-3BP Mortgage Trust                                                                                         | CUSIP: 12592TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60958000 | PA      | $110920.40    | 0.00%             | 2035-02-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                        | Morgan Stanley                                                                                                       | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1167000 | PA      | $1086131.16   | 0.04%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197216 | PA      | $205891.57    | 0.01%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OVG Business Services, LLC                            | OVG Business Services, LLC Initial Term Loan                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     505460 | PA      | $475132.40    | 0.02%             | 2028-10-13      | Floating      | 10.64%                | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | Long: BRY7KKT75 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY7KKT75 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     849000 | OU      | $-42.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                                                         | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1871000 | PA      | $1950878.77   | 0.07%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                              | Intercontinental Exchange Inc                                                                                        | CUSIP: 45866FAJ3<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     541000 | PA      | $511812.51    | 0.02%             | 2028-09-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70656 | PA      | $70043.09     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-F                                                                                      | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7434105 | PA      | $6783704.05   | 0.24%             | 2061-06-25      | Variable      | 1.88%                 | 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        |     315000 | PA      | $284058.83    | 0.01%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124999 | PA      | $119185.69    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524585 | PA      | $495385.74    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1119395 | PA      | $919765.27    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                      | FirstEnergy Corp                                                                                                     | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    1223000 | PA      | $1137693.83   | 0.04%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                               | Oncor Electric Delivery Co LLC                                                                                       | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     937000 | PA      | $663192.56    | 0.02%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                       | Oakwood Mortgage Investors Inc                                                                                       | CUSIP: 67087TDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     829494 | PA      | $802836.93    | 0.03%             | 2032-06-15      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| International Paper Co                                | International Paper Co                                                                                               | CUSIP: 460146CH4<br>LEI: 824LMFJDH41EY779Q875 | Long             | DBT              | CORP              | US        |     484000 | PA      | $482446.47    | 0.02%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                         | SCC Power PLC                                                                                                        | CUSIP: 78397YAC6<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |     658356 | PA      | $19639.37     | 0.00%             | 2032-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2018-2 Ltd                                                                                         | CUSIP: 69688MAA3<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |    1240000 | PA      | $1222894.20   | 0.04%             | 2031-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                   | Petroleos Mexicanos                                                                                                  | CUSIP: 71654QDH2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     224000 | PA      | $219273.49    | 0.01%             | 2025-10-16      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11759500 | PA      | $11125632.85  | 0.39%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                                                     | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    1314000 | PA      | $1145343.17   | 0.04%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     350437 | PA      | $358648.56    | 0.01%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                    | Realty Income Corp                                                                                                   | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |     920000 | PA      | $797792.78    | 0.03%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                               | Public Service Electric and Gas Co                                                                                   | CUSIP: 74456QCB0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $943660.34    | 0.03%             | 2030-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2017-H1                                                                               | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1190000 | PA      | $90091.33     | 0.00%             | 2050-06-15      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-NWM                                                                                | CUSIP: 12434AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2391915 | PA      | $2305545.67   | 0.08%             | 2033-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                                                          | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     402000 | PA      | $430069.47    | 0.02%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                        | Long Beach Mortgage Loan Trust 2006-5                                                                                | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     471918 | PA      | $230920.00    | 0.01%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3865000 | PA      | $3622531.62   | 0.13%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10192265 | PA      | $8389508.06   | 0.30%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110249 | PA      | $103583.75    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X9WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7567490 | PA      | $7017029.57   | 0.25%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                   | Southern California Edison Co                                                                                        | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1462000 | PA      | $1544747.68   | 0.05%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39261 | PA      | $38460.10     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XLV Ltd                                                                                         | CUSIP: 55820BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     790000 | PA      | $770160.73    | 0.03%             | 2034-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| IMT Trust                                             | IMT Trust 2017-APTS                                                                                                  | CUSIP: 44974ABC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570000 | PA      | $530982.53    | 0.02%             | 2034-06-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     347584 | PA      | $335843.68    | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                   | Oportun Issuance Trust 2021-C                                                                                        | CUSIP: 68377WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     383000 | PA      | $324527.89    | 0.01%             | 2031-10-08      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52121 | PA      | $49306.96     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XKSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118327 | PA      | $113187.76    | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                                                     | CUSIP: 05526DBU8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     180000 | PA      | $117784.17    | 0.00%             | 2050-09-25      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8837000 | PA      | $8083228.29   | 0.28%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1561000 | PA      | $1466592.75   | 0.05%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia               | MUNI ELEC AUTH OF GEORGIA                                                                                            | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |     461000 | PA      | $493150.97    | 0.02%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2150226 | PA      | $1908673.82   | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 9128284S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7432000 | PA      | $7376840.59   | 0.26%             | 2023-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                   | Gilead Sciences Inc                                                                                                  | CUSIP: 375558BT9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     176000 | PA      | $112522.94    | 0.00%             | 2050-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR FUT OPTN  FEB23C 116.5 EXP 01/27/2023                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -38 | NC      | $-1781.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316514 | PA      | $288322.42    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                                     | Elmwood CLO X Ltd                                                                                                    | CUSIP: 29002VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $236980.25    | 0.01%             | 2034-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600013 | PA      | $538063.69    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2095631 | PA      | $2029323.66   | 0.07%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                | BP Capital Markets America Inc                                                                                       | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     178000 | PA      | $117333.44    | 0.00%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                      | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     436000 | PA      | $279369.85    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                   | Petroleos Mexicanos                                                                                                  | CUSIP: 71654QBH4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     181000 | PA      | $176927.50    | 0.01%             | 2024-01-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59709 | PA      | $55386.90     | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fairstone Financial Issuance Trust I                  | Fairstone Financial Issuance Trust I                                                                                 | CUSIP: 30575PAQ9<br>LEI: 549300LY2ZF7LX6T3F37 | Long             | ABS-O            | CORP              | CA        |     323000 | PA      | $225522.70    | 0.01%             | 2039-10-20      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2792730 | PA      | $2716912.11   | 0.10%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                                                                  | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     814000 | PA      | $792009.72    | 0.03%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp II Series 2005-ROCK                                                                      | CUSIP: 36228CUV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     840000 | PA      | $808591.90    | 0.03%             | 2032-05-03      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-B                                                                                     | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     142000 | PA      | $113320.62    | 0.00%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                       | NGPL PipeCo LLC                                                                                                      | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    2923000 | PA      | $2377576.97   | 0.08%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36181GFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247991 | PA      | $233227.71    | 0.01%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     736324 | PA      | $711445.95    | 0.03%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XCXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750122 | PA      | $724213.35    | 0.03%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                 | Dick's Sporting Goods Inc                                                                                            | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     179000 | PA      | $115397.20    | 0.00%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                                                               | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     290000 | PA      | $271406.03    | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                    | Ford Motor Co                                                                                                        | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     206000 | PA      | $154487.99    | 0.01%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1471290 | PA      | $1449241.38   | 0.05%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | Long: BRY9WTVB7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY9WTVB7 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     288000 | OU      | $3877.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| American Money Management Corporation                 | AMMC CLO XIII Ltd                                                                                                    | CUSIP: 00176DAQ2<br>LEI: 549300R4YQWFRASHVE93 | Long             | ABS-CBDO         | CORP              | KY        |     393905 | PA      | $390568.66    | 0.01%             | 2029-07-24      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED HUF / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |          1 | NC      | $18913.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                         | RFMSI Series 2006-SA2 Trust                                                                                          | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838261 | PA      | $584661.95    | 0.02%             | 2036-08-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                                                               | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     512000 | PA      | $346380.53    | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XB2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45565 | PA      | $44596.81     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                                                                   | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     354000 | PA      | $313137.78    | 0.01%             | 2052-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2018-I Ltd                                                                                              | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    1289000 | PA      | $1269911.20   | 0.04%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                         | Discover Bank                                                                                                        | CUSIP: 25466AAE1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |     725000 | PA      | $689451.34    | 0.02%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                               | Fremont Home Loan Trust 2006-3                                                                                       | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     713143 | PA      | $547631.96    | 0.02%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PLAYTIKA HOLDING CORP                                 | Playtika Holding Corp                                                                                                | CUSIP: 72815LAA5<br>LEI: 254900E35Z4TKA4UFG64 | Long             | DBT              | CORP              | US        |     161000 | PA      | $126376.95    | 0.00%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2021-22 Ltd                                                                                                  | CUSIP: 67117TAA3<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |     330000 | PA      | $318891.87    | 0.01%             | 2034-12-02      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3125345 | PA      | $3105639.65   | 0.11%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                             | Ashford Hospitality Trust 2018-ASHF                                                                                  | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138000 | PA      | $126898.42    | 0.00%             | 2035-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117841 | PA      | $113675.30    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRY7KS442 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY7KS442 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     750018 | OU      | $2952.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                      | Trinitas CLO XIV Ltd                                                                                                 | CUSIP: 89641QAG5<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $386822.40    | 0.01%             | 2034-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                   | Buckeye Partners LP                                                                                                  | CUSIP: 118230AT8<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     219000 | PA      | $208576.52    | 0.01%             | 2025-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XSTM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341388 | PA      | $335047.86    | 0.01%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                               | GSR Mortgage Loan Trust 2007-4F                                                                                      | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377263 | PA      | $262569.70    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329096 | PA      | $314827.97    | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRYBQEX79 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BRYBQEX79 IRS PLN P F  5.99000 2 CCPVANILLA               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1127000 | OU      | $1117.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Colombia                                  | Colombia Government International Bond                                                                               | CUSIP: 195325DP7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     283000 | PA      | $244526.11    | 0.01%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1524108 | PA      | $1364161.95   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                | Conseco Finance Corp                                                                                                 | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     345395 | PA      | $146415.64    | 0.01%             | 2030-03-01      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: BRYBVLV95 CDS JPY R V 03MEVENT 1 CDX / Short: BRYBVLV95 CDS JPY P F  1.00000 2 CDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | JP        |  115788000 | OU      | $-5461.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | Ares LIX CLO Ltd                                                                                                     | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242854.75    | 0.01%             | 2034-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                                                     | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    2003000 | PA      | $1606870.54   | 0.06%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                                                         | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    4010000 | PA      | $3214848.00   | 0.11%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54035 | PA      | $50669.30     | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INRETAIL CONSUMER                                     | InRetail Consumer                                                                                                    | CUSIP: 45790TAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     330000 | PA      | $283761.74    | 0.01%             | 2028-03-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED HUF / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |          1 | NC      | $18913.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                           | Gulf Stream Meridian 4 Ltd                                                                                           | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1860000 | PA      | $1816500.18   | 0.06%             | 2034-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ENGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2023364 | PA      | $1987668.93   | 0.07%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                            | Verus Securitization Trust 2020-5                                                                                    | CUSIP: 92538CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     391000 | PA      | $310684.06    | 0.01%             | 2065-05-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                  | Mariner CLO 2016-3 LLC                                                                                               | CUSIP: 56845AAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     522000 | PA      | $506637.02    | 0.02%             | 2029-07-23      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                                                                    | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     334000 | PA      | $338547.50    | 0.01%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SASOL Financing USA LLC                               | Sasol Financing USA LLC                                                                                              | CUSIP: 80386WAA3<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     654000 | PA      | $639343.66    | 0.02%             | 2024-03-27      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                                                               | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     368000 | PA      | $276525.38    | 0.01%             | 2041-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: B95FQ4SB5 CDS USD R V 03MEVENT 1 CCPCDX / Short: B95FQ4SB5 CDS USD P F  5.00000 2 CCPCDX                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    4804470 | OU      | $-139886.95   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                              | Cheniere Corpus Christi Holdings LLC                                                                                 | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    1981000 | PA      | $1531836.26   | 0.05%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6058965 | PA      | $5129000.58   | 0.18%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED USD / SOLD AUD                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1039.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5055486 | PA      | $4266028.63   | 0.15%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2016-667M Mortgage Trust                                                                                        | CUSIP: 12636GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270000 | PA      | $204871.44    | 0.01%             | 2036-10-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12344000 | PA      | $11031967.84  | 0.39%             | 2025-12-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                 | Entergy Louisiana LLC                                                                                                | CUSIP: 29364WBB3<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    1310000 | PA      | $1071885.82   | 0.04%             | 2048-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9530880 | PA      | $8195790.02   | 0.29%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25838 | PA      | $25335.15     | 0.00%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD NZD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-720.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                                                      | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2236000 | PA      | $2224932.56   | 0.08%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED CAD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $1476.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14252 | PA      | $13274.80     | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                   | Petroleos Mexicanos                                                                                                  | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     105000 | PA      | $99169.00     | 0.00%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630295 | PA      | $619178.31    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                      | OneMain Financial Issuance Trust 2019-2                                                                              | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3280000 | PA      | $2927015.91   | 0.10%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                              | Duke Energy Progress LLC                                                                                             | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    1216000 | PA      | $729642.05    | 0.03%             | 2050-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $337.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                                                                | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |     434000 | PA      | $379821.61    | 0.01%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED THB / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TH        |          1 | NC      | $1656.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                                                      | CUSIP: 718172CM9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1224470.05   | 0.04%             | 2039-08-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2017-2                                                                        | CUSIP: 92258VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82345 | PA      | $67399.09     | 0.00%             | 2047-11-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2709605 | PA      | $2536104.75   | 0.09%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XXXV Ltd                                                                                        | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     550000 | PA      | $537978.65    | 0.02%             | 2032-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO III Ltd                                                                                  | CUSIP: 08180EBL7<br>LEI: 549300Y1V90IQ456QX97 | Long             | ABS-CBDO         | CORP              | KY        |     290000 | PA      | $284435.48    | 0.01%             | 2029-07-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19577274 | PA      | $17176498.40  | 0.60%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                   | Moody's Corp                                                                                                         | CUSIP: 615369AQ8<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     465000 | PA      | $419728.50    | 0.01%             | 2048-12-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                              | OHA Credit Funding 2 LTD                                                                                             | CUSIP: 67707EAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2340000 | PA      | $2297236.50   | 0.08%             | 2034-04-21      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     931119 | PA      | $863490.85    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2019-1 AMR, LTD.                              | TCW CLO 2019-1 AMR Ltd                                                                                               | CUSIP: 87241EAQ8<br>LEI: 549300RWQDI4UTTLDE63 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239722.75    | 0.01%             | 2034-08-16      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     452423 | PA      | $434351.49    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2019-C17 Commercial Mortgage Trust                                                                             | CUSIP: 12597BAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4150000 | PA      | $127222.40    | 0.00%             | 2052-09-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1AA PTT                               | American Airlines 2019-1 Class AA Pass Through Trust                                                                 | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1041637 | PA      | $862011.79    | 0.03%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2016-C4                                                                   | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2067000 | PA      | $47481.47     | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635043 | PA      | $577810.95    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                                                             | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     526000 | PA      | $370468.23    | 0.01%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                            | BFLD Trust 2020-EYP                                                                                                  | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     663000 | PA      | $539726.49    | 0.02%             | 2035-10-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | BRYB0TXX7 BLACKROCK FXVAN PUT GBP USD 1.1650000                                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -588000 | OU      | $-2132.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                 | CUSIP: 3137G0RJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     682210 | PA      | $717897.70    | 0.03%             | 2030-03-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                                                                    | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     460000 | PA      | $455184.05    | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                        | Mariner Finance Issuance Trust 2019-A                                                                                | CUSIP: 56847MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     490000 | PA      | $453681.79    | 0.02%             | 2032-07-20      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                     | 245 Park Avenue Trust 2017-245P                                                                                      | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207000 | PA      | $148815.47    | 0.01%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                       | Oakwood Mortgage Investors Inc                                                                                       | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     173601 | PA      | $99243.94     | 0.00%             | 2031-09-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                               | HCA Inc                                                                                                              | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     643000 | PA      | $619708.66    | 0.02%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                               | HCA Inc                                                                                                              | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1614000 | PA      | $1594518.25   | 0.06%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Citibank N.A.                                         | Long: BRY7KE8M9 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY7KE8M9 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     703044 | OU      | $51226.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OMNICOM GROUP INC                                     | Omnicom Group Inc                                                                                                    | CUSIP: 681919BB1<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |     349000 | PA      | $289049.54    | 0.01%             | 2030-04-30      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     679270 | PA      | $638206.21    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY3CQCK9 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY3CQCK9 IRS JPY P F   .42000 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1029109758 | OU      | $329209.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19497 | PA      | $18237.59     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                                                          | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     183000 | PA      | $113664.20    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-G                                                                                      | CUSIP: 00969VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1104385 | PA      | $597953.16    | 0.02%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30062 | PA      | $29045.69     | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                | GE HealthCare Technologies Inc                                                                                       | CUSIP: 36267VAC7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    1399000 | PA      | $1407619.48   | 0.05%             | 2025-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                        | PURCHASED USD / SOLD CHF                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3329.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $101.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                          | AGL CLO 12 Ltd                                                                                                       | CUSIP: 00120BAA8<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |    1310000 | PA      | $1276877.96   | 0.04%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                  | Lockheed Martin Corp                                                                                                 | CUSIP: 539830BB4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     321000 | PA      | $277686.17    | 0.01%             | 2042-12-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Nucor Corp                                            | Nucor Corp                                                                                                           | CUSIP: 670346AP0<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     964000 | PA      | $910664.19    | 0.03%             | 2028-05-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466675 | PA      | $400822.09    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pivotal Investment Corp III                           | Pivotal Investment Corp III                                                                                          | CUSIP: 72582M106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      26099 | NS      | $264147.98    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                        | PURCHASED USD / SOLD COP                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-8245.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111462 | PA      | $103800.15    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY1NZAT4 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY1NZAT4 IRS JPY P F   .39600 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  520994500 | OU      | $171600.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Seasoned Credit Risk Transfer Trust Series 2017-3                                                                    | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     788947 | PA      | $116831.78    | 0.00%             | 2056-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477006 | PA      | $446043.15    | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Embark Technology Inc                                 | Embark Technology Inc                                                                                                | CUSIP: 29079J111<br>LEI: 549300NVUJ89UY1TGM94 | N/A              | DE               |  | US        |       3005 | NS      | $59.80        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                       | CFCRE Commercial Mortgage Trust 2018-TAN                                                                             | CUSIP: 12528DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220000 | PA      | $216588.48    | 0.01%             | 2033-02-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                          | TICP CLO VI 2016-2 Ltd                                                                                               | CUSIP: 87246MAU6<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |    1050000 | PA      | $1002082.20   | 0.04%             | 2034-01-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                              | eBay Inc                                                                                                             | CUSIP: 278642BB8<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |     969000 | PA      | $1006825.25   | 0.04%             | 2032-11-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1066967 | PA      | $990453.95    | 0.03%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                         | Ballyrock CLO 2020-2 Ltd                                                                                             | CUSIP: 05876EAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $220311.25    | 0.01%             | 2031-10-20      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82490 | PA      | $78108.06     | 0.00%             | 2028-08-01      | 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        |    3707000 | PA      | $3265012.54   | 0.11%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                        | PECO Energy Co                                                                                                       | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     541000 | PA      | $353894.01    | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding XI Clo Ltd                                                                                             | CUSIP: 15033LAS1<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239524.25    | 0.01%             | 2032-05-29      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| PROJECT SASE SERIES E                                 | PROJECT SASE SERIES E                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     678151 | NS      | $1810663.17   | 0.06%             |  |  |  | Yes           |                  3 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |          1 | NC      | $-3056.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31000 | PA      | $29032.85     | 0.00%             | 2038-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Irwin Home Equity                                     | Irwin Home Equity Loan Trust 2006-3                                                                                  | CUSIP: 464125AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54306 | PA      | $49915.22     | 0.00%             | 2037-09-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3519332 | PA      | $3578749.24   | 0.13%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9512470 | PA      | $8467827.29   | 0.30%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                            | MFA 2021-NQM1 Trust                                                                                                  | CUSIP: 55283FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540000 | PA      | $389054.02    | 0.01%             | 2065-04-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                              | CSX Corp                                                                                                             | CUSIP: 126408HP1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     400000 | PA      | $347886.85    | 0.01%             | 2049-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-2 Ltd                                                                                        | CUSIP: 77340GAQ4<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |     939000 | PA      | $859885.49    | 0.03%             | 2029-10-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     900891 | PA      | $882214.73    | 0.03%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                     | HSBC Holdings PLC                                                                                                    | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3237000 | PA      | $2997536.74   | 0.11%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-E                                                                                      | CUSIP: 00969TAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570000 | PA      | $562724.46    | 0.02%             | 2059-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | Long: BRTKW7905 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BRTKW7905 IRS USD P F  2.91450 2 CCPVANILLA               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     110000 | OU      | $4585.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                                                     | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     608000 | PA      | $504874.75    | 0.02%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | BRYBD5SM5 BLACKROCK FXVAN CALL USD JPY 137.0000000                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    1014000 | OU      | $5429.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates     | First Franklin Mortgage Loan Trust 2006-FF16                                                                         | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3922642 | PA      | $1673321.33   | 0.06%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                                     | Elmwood CLO X Ltd                                                                                                    | CUSIP: 29002VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1220000 | PA      | $1197950.94   | 0.04%             | 2034-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36181FEB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192255 | PA      | $180804.58    | 0.01%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     908309 | PA      | $895419.13    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                        | 280 Park Avenue 2017-280P Mortgage Trust                                                                             | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $458583.90    | 0.02%             | 2034-09-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2958150 | PA      | $72127.68     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2020-420K                                                                        | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7730000 | PA      | $386122.00    | 0.01%             | 2042-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRY9D7TY9 BLACKROCK SWAPTION 2.62 CALL USD 2023102                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -46022329 | NC      | $-581501.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                           | Oracle Corp                                                                                                          | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     967000 | PA      | $706776.19    | 0.02%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Davis-Standard, LLC                                   | Davis-Standard, LLC Term Loan                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     793250 | PA      | $756562.19    | 0.03%             | 2028-12-10      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                               | United Airlines 2020-1 Class A Pass Through Trust                                                                    | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2778197 | PA      | $2739152.36   | 0.10%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                                                            | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     504000 | PA      | $353240.44    | 0.01%             | 2049-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2375493 | PA      | $2256314.59   | 0.08%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                              | Agilent Technologies Inc                                                                                             | CUSIP: 00846UAM3<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |     684000 | PA      | $553449.33    | 0.02%             | 2030-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217862 | PA      | $179996.13    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                              | Alexandria Real Estate Equities Inc                                                                                  | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    1132000 | PA      | $866785.38    | 0.03%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                                 | Norfolk Southern Corp                                                                                                | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     451000 | PA      | $361243.43    | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Cablevision Lightpath LLC                             | Cablevision Lightpath LLC Term Loan B                                                                                | CUSIP: 12687HAB3<br>LEI: 5493002ZVBLRLGES1R71 | Long             | LON              | CORP              | US        |     201880 | PA      | $193300.10    | 0.01%             | 2027-11-30      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31391T6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233320 | PA      | $239185.19    | 0.01%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2020-A                                                                                      | CUSIP: 00969WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3438384 | PA      | $3357279.17   | 0.12%             | 2059-12-25      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -642000 | PA      | $-601260.98   | -0.02%            | 2038-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                              | AT&T Inc                                                                                                             | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     534000 | PA      | $434782.99    | 0.02%             | 2048-03-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145165 | PA      | $135740.52    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                                                                | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              |  | US        |     683000 | PA      | $637186.88    | 0.02%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1745000 | PA      | $1094043.94   | 0.04%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                      | Altria Group Inc                                                                                                     | CUSIP: 02209SAZ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $1870553.90   | 0.07%             | 2031-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                                                        | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    1655000 | PA      | $1164214.72   | 0.04%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1117000 | PA      | $50554.75     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                    | Ameren Illinois Co                                                                                                   | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     775000 | PA      | $554678.71    | 0.02%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XTDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231732 | PA      | $227410.61    | 0.01%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10822000 | PA      | $6773050.21   | 0.24%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED EUR / SOLD PLN                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $-1780.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO 2017-4, Ltd.                                 | Voya Clo 2017-4 Ltd                                                                                                  | CUSIP: 92916QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1020000 | PA      | $1008879.96   | 0.04%             | 2030-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1143544 | PA      | $939352.97    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                 | MidAmerican Energy Co                                                                                                | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    2407000 | PA      | $2250457.79   | 0.08%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WEEKLEY HOMES LLC/ FINAN                              | Weekley Homes LLC / Weekley Finance Corp                                                                             | CUSIP: 948565AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     318000 | PA      | $267196.54    | 0.01%             | 2028-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | Long: BRTGGJVH4 CDS USD R F  3.00000 2 CMBX / Short: BRTGGJVH4 CDS USD P V 01MEVENT 1 CMBX                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     467000 | OU      | $-88075.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48618 | PA      | $45461.28     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                               | Talen Energy Supply LLC                                                                                              | CUSIP: 87422VAF5<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     500000 | PA      | $517500.00    | 0.02%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                              | OZLM XXII Ltd                                                                                                        | CUSIP: 67111VAC0<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |     249683 | PA      | $246153.95    | 0.01%             | 2031-01-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94568 | PA      | $90902.63     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26688 | PA      | $26636.28     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77310 | PA      | $74327.63     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GUSAP III LP                                          | GUSAP III LP                                                                                                         | CUSIP: 000000000<br>LEI: 549300WY05UJ7WTHIN64 | Long             | DBT              | CORP              | US        |     292000 | PA      | $270049.83    | 0.01%             | 2030-01-21      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XCY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1033228 | PA      | $1014058.44   | 0.04%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                          | Newmont Corp                                                                                                         | CUSIP: 651639AX4<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |     544000 | PA      | $462473.42    | 0.02%             | 2029-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                  | PURCHASED USD / SOLD GBP                                                                                             | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-1031.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association             | BRYBMZAN6 BLACKROCK FXVAN PUT GBP USD 1.2100000                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |     592000 | OU      | $6803.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MED Trust                                             | Med Trust 2021-MDLN                                                                                                  | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4971839 | PA      | $4487352.18   | 0.16%             | 2038-11-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust     | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA4/DE                                                     | CUSIP: 25151XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     284854 | PA      | $241513.12    | 0.01%             | 2047-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2246000 | PA      | $1949019.15   | 0.07%             | 2029-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-C                                                                                     | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2102119 | PA      | $1636588.56   | 0.06%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | BRYBN2116 BLACKROCK PUT USD MXN 19.5500000 2023020                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |     876000 | OU      | $2362.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sarcos Technology and Robotics Corp                   | Sarcos Technology and Robotics Corp                                                                                  | CUSIP: 80359A114<br>LEI: N/A                  | N/A              | DE               |  | US        |     102425 | NS      | $3851.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11180622 | PA      | $9427501.90   | 0.33%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                                                                  | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1012000 | PA      | $829199.78    | 0.03%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106946 | PA      | $109454.64    | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47219 | PA      | $45002.71     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Euro Galaxy CLO DAC                                   | Euro-Galaxy III CLO DAC                                                                                              | CUSIP: 000000000<br>LEI: 635400H1W7SGWXGQOB43 | Long             | ABS-CBDO         | CORP              | IE        |     290000 | PA      | $270719.79    | 0.01%             | 2034-04-24      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| EIG PEARL HOLDINGS SARL                               | EIG Pearl Holdings Sarl                                                                                              | CUSIP: 28249NAB7<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | LU        |     542000 | PA      | $416014.27    | 0.01%             | 2046-11-30      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                                                                   | CUSIP: 907818FE3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     337000 | PA      | $262643.57    | 0.01%             | 2059-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2019-1AA                              | Delta Air Lines 2019-1 Class AA Pass Through Trust                                                                   | CUSIP: 24737BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2258000 | PA      | $2200785.67   | 0.08%             | 2024-04-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                              | Marsh & McLennan Cos Inc                                                                                             | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    1712000 | PA      | $1401566.62   | 0.05%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO                | Park Avenue Institutional Advisers CLO Ltd 2017-1                                                                    | CUSIP: 70017KAN9<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |     730000 | PA      | $692264.11    | 0.02%             | 2034-02-14      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-1 Ltd                                                                                        | CUSIP: 77340EAY2<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |    1160000 | PA      | $1093173.56   | 0.04%             | 2034-04-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                                                     | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1105000 | PA      | $1049234.10   | 0.04%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                             | Apple Inc                                                                                                            | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     802000 | PA      | $666632.36    | 0.02%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                               | Piedmont Natural Gas Co Inc                                                                                          | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |     810000 | PA      | $660638.56    | 0.02%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust            | JPMBB Commercial Mortgage Securities Trust 2015-C29                                                                  | CUSIP: 46644RBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     578986 | PA      | $6223.93      | 0.00%             | 2048-05-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-A                                                                                     | CUSIP: 64035DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     374000 | PA      | $298546.55    | 0.01%             | 2062-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     784497 | PA      | $809291.96    | 0.03%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                                                             | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     757000 | PA      | $510926.69    | 0.02%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                   | Sherwin-Williams Co/The                                                                                              | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     716000 | PA      | $588622.09    | 0.02%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1037888 | PA      | $945450.80    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36198QTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7209 | PA      | $6988.96      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RRAM                                                  | RR 3 Ltd                                                                                                             | CUSIP: 74988LAA2<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $849990.46    | 0.03%             | 2030-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| KLABIN AUSTRIA GMBH                                   | Klabin Austria GmbH                                                                                                  | CUSIP: 49836AAC8<br>LEI: 984500578YEA8DD41B09 | Long             | DBT              | CORP              | AT        |     340000 | PA      | $272000.00    | 0.01%             | 2031-01-12      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                                                                    | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     268000 | PA      | $249506.25    | 0.01%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1010000 | PA      | $1040221.10   | 0.04%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED THB / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $1118.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Corp                                     | State Street Corp                                                                                                    | CUSIP: 857477AQ6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     280000 | PA      | $279236.81    | 0.01%             | 2023-03-15      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                               | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                                                     | CUSIP: 983130AV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     178000 | PA      | $168983.58    | 0.01%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                              | Alexandria Real Estate Equities Inc                                                                                  | CUSIP: 015271AY5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    1978000 | PA      | $1603181.88   | 0.06%             | 2034-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CHC Commercial Mortgage Trust 2019-CHC                | CHC Commercial Mortgage Trust 2019 - CHC                                                                             | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1380928 | PA      | $1313829.55   | 0.05%             | 2034-06-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                               | Transcontinental Gas Pipe Line Co LLC                                                                                | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     848000 | PA      | $704787.58    | 0.02%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                                                            | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     176000 | PA      | $112329.54    | 0.00%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                                                            | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    2138000 | PA      | $2046527.47   | 0.07%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                                                        | CUSIP: 097023BV6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     406000 | PA      | $272350.85    | 0.01%             | 2047-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED AUD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $2185.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432486 | PA      | $393506.01    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90120 | PA      | $93040.32     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                   | LCM 29 Ltd                                                                                                           | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243770.75    | 0.01%             | 2031-04-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                                                                  | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    2253000 | PA      | $2043861.29   | 0.07%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69278 | PA      | $68414.09     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                    | Chase Mortgage Finance Trust Series 2007-S6                                                                          | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6312074 | PA      | $2825795.78   | 0.10%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HONO 2021-LULU Mortgage Trust                         | HONO 2021-LULU Mortgage Trust                                                                                        | CUSIP: 40390MAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263000 | PA      | $237064.28    | 0.01%             | 2036-10-15      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     364133 | PA      | $342451.39    | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                       | CFCRE Commercial Mortgage Trust 2016-C4                                                                              | CUSIP: 12531YAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2370000 | PA      | $48557.98     | 0.00%             | 2058-05-10      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD NOK                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-5164.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XQF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254285 | PA      | $244512.95    | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                          | Olympic Tower 2017-OT Mortgage Trust                                                                                 | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1049000 | PA      | $754490.21    | 0.03%             | 2039-05-10      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2222911 | PA      | $1905835.74   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 43 Senior Loan Fund                                                                                           | CUSIP: 26245CBE2<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |     910000 | PA      | $882186.76    | 0.03%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138E2GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45475 | PA      | $45339.55     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299805 | PA      | $280316.60    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                          | Newmont Corp                                                                                                         | CUSIP: 651639AY2<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    1069000 | PA      | $859197.76    | 0.03%             | 2030-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 6 Ltd                                                                                          | CUSIP: 03328QAY7<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |     889946 | PA      | $878599.32    | 0.03%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 7 Ltd                                                                                          | CUSIP: 03328TBG9<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $227962.25    | 0.01%             | 2031-01-28      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | BRYAU0QX7 BLACKROCK FXVAN CALL USD MXN 20.0000000                                                                    | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |    -716000 | OU      | $-3984.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2438834 | PA      | $1884264.09   | 0.07%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12344000 | PA      | $11008822.84  | 0.39%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                        | ServiceNow Inc                                                                                                       | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    2335000 | PA      | $1786313.71   | 0.06%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                        | Morgan Stanley                                                                                                       | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     517000 | PA      | $474218.59    | 0.02%             | 2028-07-22      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                              | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp                                                                 | CUSIP: 983133AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1027000 | PA      | $1021306.72   | 0.04%             | 2025-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Clontarf Park CLO                                     | Clontarf Park CLO DAC                                                                                                | CUSIP: 000000000<br>LEI: 5493001O2660X7YTLM04 | Long             | ABS-CBDO         | CORP              | IE        |     310000 | PA      | $299545.40    | 0.01%             | 2030-08-05      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-G                                                                                      | CUSIP: 00969VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2159166 | PA      | $2068847.96   | 0.07%             | 2059-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GILBERT PARK CLO LTD                                  | Gilbert Park CLO Ltd                                                                                                 | CUSIP: 375415AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     861000 | PA      | $808450.59    | 0.03%             | 2030-10-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                                                              | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     406000 | PA      | $332335.21    | 0.01%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                                                           | CUSIP: 52532XAF2<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     314000 | PA      | $283152.35    | 0.01%             | 2030-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | Long: BRYAKQV15 IRS BRL R F 14.48500 2 NDFPREDISWAP / Short: BRYAKQV15 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    3952515 | OU      | $6759.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                   | Select Medical Corp                                                                                                  | CUSIP: 816196AT6<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |    2711000 | PA      | $2577700.13   | 0.09%             | 2026-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336306 | PA      | $321241.16    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110229 | PA      | $106551.59    | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey               | PORT AUTH OF NEW YORK & NEW JERSEY NY                                                                                | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    1350000 | PA      | $1310130.32   | 0.05%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137296 | PA      | $139631.85    | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31416WHU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67493 | PA      | $66908.09     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                           | Prologis LP                                                                                                          | CUSIP: 74340XBT7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |     814000 | PA      | $788006.64    | 0.03%             | 2033-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding II CLO Ltd                                                                                             | CUSIP: 15032TBE5<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |     535000 | PA      | $517654.77    | 0.02%             | 2034-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| TURKISH AIRLN 15-1 A PTT                              | Turkish Airlines 2015-1 Class A Pass Through Trust                                                                   | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |     758543 | PA      | $651127.47    | 0.02%             | 2027-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6787594 | PA      | $5786787.25   | 0.20%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227100 | PA      | $226365.21    | 0.01%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2019-B9 Mortgage Trust                                                                                     | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3556161 | PA      | $168111.48    | 0.01%             | 2052-03-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17189156 | PA      | $15198036.58  | 0.53%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization Trust                  | Mortgage Loan Resecuritization Trust                                                                                 | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     904864 | PA      | $843486.37    | 0.03%             | 2036-04-16      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2375088 | PA      | $1935656.75   | 0.07%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5324000 | PA      | $4609419.38   | 0.16%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                | Motorola Solutions Inc                                                                                               | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    1330000 | PA      | $1197508.67   | 0.04%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                             | Hess Corp                                                                                                            | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     242000 | PA      | $260647.15    | 0.01%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429332 | PA      | $402574.25    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                   | Consumers Energy Co                                                                                                  | CUSIP: 210518DH6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     615000 | PA      | $463187.69    | 0.02%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APS Resecuritization Trust                            | APS Resecuritization Trust 2016-3                                                                                    | CUSIP: 00214WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     518620 | PA      | $517514.36    | 0.02%             | 2046-09-27      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR2 Trust                                                                                 | CUSIP: 74333DAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     967000 | PA      | $816769.78    | 0.03%             | 2038-04-19      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY86ZGM7 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BRY86ZGM7 IRS PLN P F  6.99000 2 CCPVANILLA               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1290000 | OU      | $-9373.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                                                    | CUSIP: 05609BBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $755471.33    | 0.03%             | 2036-02-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                        | Option One Mortgage Loan Trust 2007-CP1                                                                              | CUSIP: 68402YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     930000 | PA      | $719112.64    | 0.03%             | 2037-03-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     682254 | PA      | $584986.41    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94934 | PA      | $91270.48     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                   | ASSURANT CLO LTD                                                                                                     | CUSIP: 04623TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $488840.00    | 0.02%             | 2031-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                        | PECO Energy Co                                                                                                       | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    1079000 | PA      | $737074.40    | 0.03%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-D                                                                                     | CUSIP: 64034YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $74958.06     | 0.00%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | Long: BRT9NHMC7 CDS USD R F  2.00000 2 CMBX / Short: BRT9NHMC7 CDS USD P V 01MEVENT 1 CMBX                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    1310000 | OU      | $-84596.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9709331 | PA      | $8304058.98   | 0.29%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     367558 | PA      | $361710.92    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2019-L2                                                                               | CUSIP: 61768HAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     403000 | PA      | $371917.54    | 0.01%             | 2052-03-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Caliber Home Loans, Inc.                              | Caliber Home Loans, Inc. 2018 Revolver                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5350000 | PA      | $5323250.00   | 0.19%             | 2025-07-24      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417MBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95594 | PA      | $96930.18     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                 | Micron Technology Inc                                                                                                | CUSIP: 595112BU6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     179000 | PA      | $111189.87    | 0.00%             | 2051-11-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| National Bank Financial Inc.                          | National Bank Financial Inc.                                                                                         | CUSIP: 000000000<br>LEI: 254900XZG349Z8CSZB72 | Long             | RA               | CORP              | US        |     777301 | PA      | $777301.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                               | Philippine Government International Bond                                                                             | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    2044000 | PA      | $1489724.04   | 0.05%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FREEWIRE WARRANTS TRANCHE A                           | FREEWIRE WARRANTS TRANCHE A                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     136947 | NS      | $106818.66    | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                                                     | CUSIP: 124857AJ2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     500000 | PA      | $369886.16    | 0.01%             | 2042-07-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157919 | PA      | $147675.68    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED USD / SOLD INR                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1492.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                        | Long: BRW0PP390 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW0PP390 CDS USD P F  1.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | US        |     460000 | OU      | $659.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325969 | PA      | $320217.30    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                 | Tricon American Homes 2018-SFR1 Trust                                                                                | CUSIP: 89613TAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     260000 | PA      | $243198.05    | 0.01%             | 2037-05-17      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                                                               | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1710000 | PA      | $1338319.99   | 0.05%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                                                        | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     599000 | PA      | $461933.62    | 0.02%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14572848 | PA      | $12640682.59  | 0.44%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED USD / SOLD GBP                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $3030.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aetna Inc                                             | Aetna Inc                                                                                                            | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |     639000 | PA      | $551156.45    | 0.02%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 B PTT                               | United Airlines 2016-2 Class B Pass Through Trust                                                                    | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      48600 | PA      | $42835.79     | 0.00%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57760 | PA      | $57352.29     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust 2007-AHL2                                                                              | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     786668 | PA      | $538792.40    | 0.02%             | 2037-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED USD / SOLD HUF                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-10100.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26956 | PA      | $24186.02     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                                                                | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              |  | US        |      90000 | PA      | $87728.48     | 0.00%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NEXSTAR BROADCASTING INC                              | Nexstar Media Inc                                                                                                    | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |     433000 | PA      | $374545.00    | 0.01%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                                                       | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     838000 | PA      | $528116.68    | 0.02%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                       | LSTAR Commercial Mortgage Trust 2017-5                                                                               | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     645896 | PA      | $13234.67     | 0.00%             | 2050-03-10      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                  | Colombian TES                                                                                                        | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1321000000 | PA      | $179219.39    | 0.01%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37032 | PA      | $33200.54     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3307796 | PA      | $2722971.09   | 0.10%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-NWM                                                                                | CUSIP: 12434AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1466417 | PA      | $1414474.61   | 0.05%             | 2033-02-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6544860 | PA      | $5700210.68   | 0.20%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                              | Trans-Allegheny Interstate Line Co                                                                                   | CUSIP: 893045AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2705000 | PA      | $2611049.29   | 0.09%             | 2025-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     508042 | PA      | $487153.37    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-5225.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3453000 | PA      | $3123574.62   | 0.11%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67775 | PA      | $64838.72     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                                                      | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2007379.65   | 0.07%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                               | Walt Disney Co/The                                                                                                   | CUSIP: 254687FM3<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     886000 | PA      | $585996.01    | 0.02%             | 2049-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22796000 | PA      | $21087190.41  | 0.74%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Maverick Gaming LLC                                   | Maverick Gaming LLC Term Loan B                                                                                      | CUSIP: 57770JAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     485100 | PA      | $400207.50    | 0.01%             | 2026-09-03      | Floating      | 12.23%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2328936 | PA      | $1799302.09   | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                           | Origen Manufactured Housing Contract Trust 2007-B                                                                    | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |     251617 | PA      | $250918.18    | 0.01%             | 2037-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                       | Madison Park Funding XLI Ltd                                                                                         | CUSIP: 04965CAN8<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |    1119000 | PA      | $1081417.27   | 0.04%             | 2027-04-22      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Oi SA                                                 | Oi SA                                                                                                                | CUSIP: 000000000<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |     227000 | PA      | $38737.84     | 0.00%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                     | HSBC Holdings PLC                                                                                                    | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     568000 | PA      | $522915.83    | 0.02%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36177U6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22561 | PA      | $21906.74     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392630 | PA      | $375610.65    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                         | AEP Texas Inc                                                                                                        | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1999000 | PA      | $1874489.19   | 0.07%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                                      | Invesco Euro CLO V DAC                                                                                               | CUSIP: 000000000<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |     100000 | PA      | $95722.59     | 0.00%             | 2034-01-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                                                               | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     179000 | PA      | $111463.25    | 0.00%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden XXVIII Senior Loan Fund                                                                                       | CUSIP: 26251BAL0<br>LEI: 549300K4FV16ICO2FF98 | Long             | ABS-CBDO         | CORP              | KY        |    2195431 | PA      | $2168225.03   | 0.08%             | 2030-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1047848 | PA      | $860975.07    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31402TTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356401 | PA      | $342323.81    | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                          | Ecopetrol SA                                                                                                         | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     362000 | PA      | $344754.28    | 0.01%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | Ares LVI CLO Ltd                                                                                                     | CUSIP: 04018PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $249630.64    | 0.01%             | 2034-10-25      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| Amgen Inc                                             | Amgen Inc                                                                                                            | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    1565000 | PA      | $1311188.32   | 0.05%             | 2045-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31819 | PA      | $29654.12     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL BANK                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $0.03         | 0.00%             | 2017-09-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94752 | PA      | $91544.13     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                                   | Beast Mortgage Trust                                                                                                 | CUSIP: 05601PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     641000 | PA      | $587890.97    | 0.02%             | 2036-04-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                | Egypt Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     400000 | PA      | $246336.00    | 0.01%             | 2061-02-16      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| ECOLAB INC                                            | Ecolab Inc                                                                                                           | CUSIP: 278865BJ8<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |     623000 | PA      | $371768.80    | 0.01%             | 2055-08-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7432000 | PA      | $7148364.71   | 0.25%             | 2024-07-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS         | Chase Funding Trust Series 2002-2                                                                                    | CUSIP: 161551FS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      52776 | PA      | $52172.23     | 0.00%             | 2032-04-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-D                                                                                      | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5028995 | PA      | $4515337.53   | 0.16%             | 2060-03-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                           | Allied Universal Holdco LLC 2021 USD Incremental Term Loan B                                                         | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |     611262 | PA      | $581386.90    | 0.02%             | 2028-05-12      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                       | Republic Finance Issuance Trust 2021-A                                                                               | CUSIP: 76042UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $436902.40    | 0.02%             | 2031-12-22      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                      | CSC Holdings LLC                                                                                                     | CUSIP: 126307AH0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     176000 | PA      | $163858.64    | 0.01%             | 2024-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489429 | PA      | $400297.96    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                | Motorola Solutions Inc                                                                                               | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    2749000 | PA      | $2676006.13   | 0.09%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                           | Equinix Inc                                                                                                          | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     685000 | PA      | $550391.56    | 0.02%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-378.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2019-16 Ltd                                                                                                  | CUSIP: 67570QAK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243712.50    | 0.01%             | 2033-04-10      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC RR 2014-1                               | Union Pacific Railroad Co 2014-1 Pass Through Trust                                                                  | CUSIP: 907825AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     603761 | PA      | $572965.29    | 0.02%             | 2026-05-14      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3979767 | PA      | $3447882.95   | 0.12%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1986872 | PA      | $1862918.45   | 0.07%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 510 Loan Acquisition Trust                            | 510 Loan Acquisition Trust 2020-1                                                                                    | CUSIP: 33831HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     893958 | PA      | $848820.11    | 0.03%             | 2060-09-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                              | United Airlines 2016-2 Class AA Pass Through Trust                                                                   | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     392123 | PA      | $333406.53    | 0.01%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2020-III Ltd                                                                                            | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1190000 | PA      | $1161083.00   | 0.04%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3973000 | PA      | $3048061.72   | 0.11%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F032419<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4775000 | PA      | $-4567698.63  | -0.16%            | 2038-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1510000 | PA      | $1410785.71   | 0.05%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                                                          | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1608000 | PA      | $1187014.91   | 0.04%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Mr Cooper Group Inc                                   | Mr Cooper Group Inc                                                                                                  | CUSIP: 62482R107<br>LEI: 549300KD8C6DPXYC2M26 | Long             | EC               | CORP              | US        |       8189 | NS      | $328624.57    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52959 | PA      | $51953.14     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MOVIDA EUROPE SA                                      | Movida Europe SA                                                                                                     | CUSIP: 000000000<br>LEI: 549300YRJE0V6QKU7C86 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $149952.67    | 0.01%             | 2031-02-08      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: —       |
| BXP Trust                                             | BXP Trust 2017-CC                                                                                                    | CUSIP: 05607CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $376915.40    | 0.01%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                | Natixis Commercial Mortgage Securities Trust 2018-SOX                                                                | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265000 | PA      | $240174.61    | 0.01%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                                                               | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     523000 | PA      | $374226.04    | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                   | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5                                                   | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      76627 | PA      | $85846.52     | 0.00%             | 2036-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD                                  | Grippen Park CLO Ltd                                                                                                 | CUSIP: 39862EAD6<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $232787.00    | 0.01%             | 2030-01-20      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                              | Banco Mercantil del Norte SA/Grand Cayman                                                                            | CUSIP: 05973KAB3<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     270000 | PA      | $223646.57    | 0.01%             | 2032-01-24      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2006-AC1                                                                | CUSIP: 07387UCF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1872985 | PA      | $1208427.35   | 0.04%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119943 | PA      | $115459.14    | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828N30<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7432000 | PA      | $7432000.00   | 0.26%             | 2022-12-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     471525 | PA      | $433029.81    | 0.02%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO VIII Ltd                                                                                               | CUSIP: 07132ACE1<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |     642000 | PA      | $617973.15    | 0.02%             | 2030-07-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144239 | PA      | $142988.75    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392823 | PA      | $326416.36    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                                                                  | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     640000 | PA      | $493884.57    | 0.02%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     655194 | PA      | $615042.01    | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828ZH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27956000 | PA      | $27630574.83  | 0.97%             | 2023-04-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                                                              | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1557000 | PA      | $1212012.80   | 0.04%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 3-R Ltd                                                                                        | CUSIP: 03330AAC6<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |    1270000 | PA      | $1240718.88   | 0.04%             | 2031-01-28      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                              | Regatta XVI Funding Ltd                                                                                              | CUSIP: 75888TAE5<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244009.00    | 0.01%             | 2033-01-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                                                             | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1709000 | PA      | $1140319.45   | 0.04%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRWWEM225 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWEM225 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     525000 | OU      | $1701.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                      | CVC Cordatus Loan Fund IV DAC                                                                                        | CUSIP: 000000000<br>LEI: 2138005AFEIY5AMT4165 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $246914.16    | 0.01%             | 2034-02-22      | Floating      | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2019-PRM                                                                         | CUSIP: 29429JAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1107000 | PA      | $1099442.51   | 0.04%             | 2036-05-10      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                       | Octagon Investment Partners 18-R Ltd                                                                                 | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2210000 | PA      | $2175979.26   | 0.08%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Select Medical Corporation                            | Select Medical Corporation 2017 Term Loan B                                                                          | CUSIP: 816194AV6<br>LEI: 549300X05KS0JKR8CB50 | Long             | LON              | CORP              | US        |     242054 | PA      | $238157.92    | 0.01%             | 2025-03-06      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3741945 | PA      | $3056547.01   | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                            | Apidos CLO XXII                                                                                                      | CUSIP: 03765XAJ5<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242260.25    | 0.01%             | 2031-04-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| GACI FIRST INVESTMENT                                 | Gaci First Investment Co                                                                                             | CUSIP: 000000000<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |    1130000 | PA      | $1129841.80   | 0.04%             | 2027-10-13      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO XXVIII Ltd                                                                                          | CUSIP: 09630PAA1<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $97578.10     | 0.00%             | 2034-04-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6334243 | PA      | $5995421.97   | 0.21%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 2YR NOTE (CBT) MAR23                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       2564 | NC      | $-331582.83   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1050139 | PA      | $1085989.16   | 0.04%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                                                              | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1155114.30   | 0.04%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2019-2 Ltd                                                                                        | CUSIP: 77341GAL4<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $238504.00    | 0.01%             | 2032-08-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED AUD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |          1 | NC      | $2756.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                      | FirstEnergy Corp                                                                                                     | CUSIP: 337932AK3<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     272000 | PA      | $251111.74    | 0.01%             | 2025-03-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                   | LCM XX LP                                                                                                            | CUSIP: 50188WAE8<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |     286725 | PA      | $285006.93    | 0.01%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 8 Ltd                                                                                          | CUSIP: 03329KBC6<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |    1050000 | PA      | $1013938.80   | 0.04%             | 2034-10-27      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                        | Microsoft Corp                                                                                                       | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     489000 | PA      | $345967.85    | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                  | ACE Securities Corp Home Equity Loan Trust Series 2007-HE4                                                           | CUSIP: 00442LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1037250 | PA      | $181213.00    | 0.01%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS 2017-DELC Mortgage Trust                                                                                       | CUSIP: 05552EAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297000 | PA      | $285258.91    | 0.01%             | 2036-08-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1010000 | PA      | $1053122.26   | 0.04%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                                                       | CUSIP: 46639YAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $7754.25      | 0.00%             | 2046-04-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities        | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                                                        | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409502 | PA      | $100693.43    | 0.00%             | 2035-11-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2339572 | PA      | $2097052.57   | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180DVB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75751 | PA      | $71237.74     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2007-OA3                                                                                      | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423656 | PA      | $366634.72    | 0.01%             | 2047-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                              | KLA Corp                                                                                                             | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    2305000 | PA      | $1669152.17   | 0.06%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2632807 | PA      | $2325942.71   | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                    | Tricon Residential 2021-SFR1 Trust                                                                                   | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     639000 | PA      | $530057.15    | 0.02%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                        | Mariner Finance Issuance Trust 2021-B                                                                                | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $300037.56    | 0.01%             | 2036-11-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XX3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74786 | PA      | $71989.78     | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                                                    | CUSIP: 05609BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     735000 | PA      | $637132.18    | 0.02%             | 2036-02-15      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XQXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259938 | PA      | $250674.05    | 0.01%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122744 | PA      | $118028.51    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376544 | PA      | $351553.75    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aon Corp                                              | Aon Corp                                                                                                             | CUSIP: 037389BB8<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |     612000 | PA      | $590284.13    | 0.02%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341919 | PA      | $320956.48    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                        | Amazon.com Inc                                                                                                       | CUSIP: 023135CR5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    5565000 | PA      | $5508382.41   | 0.19%             | 2032-12-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10822000 | PA      | $6720631.04   | 0.24%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                      | Owl Rock CLO VI Ltd                                                                                                  | CUSIP: 69120WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241495.25    | 0.01%             | 2032-06-21      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     498473 | PA      | $494711.22    | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64162 | PA      | $63605.89     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOL EQUITY FINANCE SA                                 | GOL Equity Finance SA                                                                                                | CUSIP: 36256KAA8<br>LEI: 222100H9BH197YU7RY14 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $47650.00     | 0.00%             | 2024-07-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMR56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3441411 | PA      | $3209006.19   | 0.11%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14035147 | PA      | $11438525.86  | 0.40%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2611134 | PA      | $2245380.83   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                             | College Ave Student Loans 2021-B LLC                                                                                 | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $80112.96     | 0.00%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                             | College Ave Student Loans 2021-C LLC                                                                                 | CUSIP: 19424WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $77875.35     | 0.00%             | 2055-07-26      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JPMCC Commercial Mortgage Securities Trust 2017-JP6                                                                  | CUSIP: 48128KAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320000 | PA      | $295999.49    | 0.01%             | 2050-07-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.      | BCMSC Trust 2000-A                                                                                                   | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1178847 | PA      | $169957.02    | 0.01%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                              | Pioneer Natural Resources Co                                                                                         | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     783000 | PA      | $613183.41    | 0.02%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                                                      | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2089000 | PA      | $1894018.67   | 0.07%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1947449 | PA      | $1925978.24   | 0.07%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gores Holdings VIII Inc                               | Gores Holdings VIII Inc                                                                                              | CUSIP: 382863116<br>LEI: N/A                  | N/A              | DE               |  | US        |       6990 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357821 | PA      | $351508.45    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312938YY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78749 | PA      | $79151.65     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Ltd.                      | Mill City Solar Loan 2019-2 Ltd                                                                                      | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1077554 | PA      | $966695.65    | 0.03%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co                                       | DTE Electric Co                                                                                                      | CUSIP: 23338VAH9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1373000 | PA      | $1141014.80   | 0.04%             | 2048-05-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED USD / SOLD HUF                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-10100.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                   | Petroleos Mexicanos                                                                                                  | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4225600 | PA      | $200583.99    | 0.01%             | 2024-09-12      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD NZD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $2112.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aon Corp                                              | Aon Corp                                                                                                             | CUSIP: 037389BC6<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |    1493000 | PA      | $1377208.43   | 0.05%             | 2029-05-02      | Fixed         | 3.75%                 | 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        |     994000 | PA      | $917001.68    | 0.03%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Wyeth LLC                                             | Wyeth LLC                                                                                                            | CUSIP: 983024AG5<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |     250000 | PA      | $280228.18    | 0.01%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRF GmbH                                              | BRF GmbH                                                                                                             | CUSIP: 05583BAA7<br>LEI: 5299002S6DY5RA2IOQ11 | Long             | DBT              | CORP              | AT        |     580000 | PA      | $526514.19    | 0.02%             | 2026-09-29      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     828339 | PA      | $745997.06    | 0.03%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED ZAR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $7488.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                                                        | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1784000 | PA      | $1608327.41   | 0.06%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2019-KW08 Mortgage Trust                                                                                       | CUSIP: 30297YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25269481 | PA      | $111653.20    | 0.00%             | 2029-01-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                      | Long: BRTB746D5 CDS USD R V 01MEVENT 1 CMBX / Short: BRTB746D5 CDS USD P F   .50000 2 CMBX                           | CUSIP: 000000000<br>LEI: ANGGYXNX0JLX3X63JN86 | N/A              | DCR              |  | US        |    1610000 | OU      | $720.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3041000 | PA      | $2052625.71   | 0.07%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56921 | PA      | $56461.83     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD CAD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-1130.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15364000 | PA      | $14205098.24  | 0.50%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GENNEIA SA                                            | Genneia SA                                                                                                           | CUSIP: 372319AB9<br>LEI: 529900YZ70LX0XWS9P67 | Long             | DBT              | CORP              | AR        |      84612 | PA      | $82708.23     | 0.00%             | 2027-09-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                              | Service Properties Trust                                                                                             | CUSIP: 81761L102<br>LEI: 529900IS770AG1K9QG27 | Long             | EC               |  | US        |      51813 | NS      | $377716.77    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                                                     | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     179000 | PA      | $118188.73    | 0.00%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR US NEWCO INC                              | TK Elevator US Newco Inc                                                                                             | CUSIP: 92537RAA7<br>LEI: 549300C2AFWPAYWS5574 | Long             | DBT              | CORP              | US        |     926000 | PA      | $821862.04    | 0.03%             | 2027-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                              | Florida Power & Light Co                                                                                             | CUSIP: 341081FP7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     440000 | PA      | $352749.83    | 0.01%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1386395 | PA      | $1141274.93   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110944 | PA      | $103854.48    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | Long: BRY5P6PT1 IRS BRL R F 11.69400 2 NDFPREDISWAP / Short: BRY5P6PT1 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    2574000 | OU      | $-9207.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc             | Structured Asset Mortgage Investments II Trust 2006-AR4                                                              | CUSIP: 86360QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     801909 | PA      | $657030.43    | 0.02%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED USD / SOLD INR                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1492.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aurora Innovation Inc                                 | Aurora Innovation Inc                                                                                                | CUSIP: 051774115<br>LEI: N/A                  | N/A              | DE               |  | US        |       4108 | NS      | $534.04       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1676 | PA      | $1672.82      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRWWF0E60 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWF0E60 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     740000 | OU      | $2398.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     544918 | PA      | $438900.69    | 0.02%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     775000 | PA      | $755350.60    | 0.03%             | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 7 Ltd                                                                                          | CUSIP: 03328TBA2<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |     830000 | PA      | $819404.22    | 0.03%             | 2031-01-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | Long: BRW16PAR1 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW16PAR1 CDS USD P F  1.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1185000 | OU      | $1699.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                   | HONO 2021-LULU Mortgage Trust                                                                                        | CUSIP: 40390MAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     387000 | PA      | $350215.57    | 0.01%             | 2036-10-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                        | PURCHASED USD / SOLD BRL                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2013.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                      | Bain Capital Credit CLO 2021-3 Ltd                                                                                   | CUSIP: 05683NAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $221420.00    | 0.01%             | 2034-07-24      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                      | TRESTLES CLO III LTD                                                                                                 | CUSIP: 89532TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1170000 | PA      | $1144316.16   | 0.04%             | 2033-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1219800 | PA      | $1168398.23   | 0.04%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                | Merrill Lynch Mortgage Investors Trust Series 2006-A3                                                                | CUSIP: 59023CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487419 | PA      | $357468.28    | 0.01%             | 2036-05-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                              | Intercontinental Exchange Inc                                                                                        | CUSIP: 45866FAQ7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     179000 | PA      | $110810.97    | 0.00%             | 2060-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16387807 | PA      | $13396679.19  | 0.47%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                                                                    | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     804000 | PA      | $680575.31    | 0.02%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | Long: BRY7LV0U0 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY7LV0U0 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |     777000 | OU      | $10460.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRWWEKH64 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWEKH64 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     524000 | OU      | $1698.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JPMCC Commercial Mortgage Securities Trust 2017-JP7                                                                  | CUSIP: 465968AK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $94548.41     | 0.00%             | 2050-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138YAVZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316525 | PA      | $295414.66    | 0.01%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2006-3                                                                                | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99147 | PA      | $92613.76     | 0.00%             | 2036-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2021-4                                                                        | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2871506 | PA      | $2441876.65   | 0.09%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                              | American Airlines 2016-3 Class AA Pass Through Trust                                                                 | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1543961 | PA      | $1337810.68   | 0.05%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                      | CARLYLE US CLO 2017-4 Ltd                                                                                            | CUSIP: 14315BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1550000 | PA      | $1524679.20   | 0.05%             | 2030-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20100000 | PA      | $15678785.11  | 0.55%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                        | Salesforce Inc                                                                                                       | CUSIP: 79466LAM6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |     656000 | PA      | $416543.72    | 0.01%             | 2061-07-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AEA International Holdings (Lux) S.a.r.l.             | AEA International Holdings (Lux) S.a.r.l. Term Loan B                                                                | CUSIP: 46033XAB7<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     654885 | PA      | $646698.94    | 0.02%             | 2028-09-07      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                                                     | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     825000 | PA      | $664831.46    | 0.02%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                               | Loanpal Solar Loan 2020-2 Ltd                                                                                        | CUSIP: 53948KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     933403 | PA      | $773483.35    | 0.03%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2562.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336839 | PA      | $300614.97    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                    | CWHEQ Revolving Home Equity Loan Trust Series 2006-H                                                                 | CUSIP: 126686AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     168196 | PA      | $162759.26    | 0.01%             | 2036-11-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2017-CD3 Mortgage Trust                                                                                           | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $325469.80    | 0.01%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ALM Loan Funding                                      | ALM 2020 Ltd                                                                                                         | CUSIP: 00166FAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1220000 | PA      | $1187476.02   | 0.04%             | 2029-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                               | Marathon Petroleum Corp                                                                                              | CUSIP: 56585AAM4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     360000 | PA      | $325796.91    | 0.01%             | 2045-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5324000 | PA      | $4619609.83   | 0.16%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                   | BWAY 2013-1515 Mortgage Trust                                                                                        | CUSIP: 05604FAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $525154.98    | 0.02%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     502776 | PA      | $480642.53    | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                | Motorola Solutions Inc                                                                                               | CUSIP: 620076BU2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    3869000 | PA      | $3093427.53   | 0.11%             | 2031-05-24      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -141000 | PA      | $-118134.77   | -0.00%            | 2053-01-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MINERA MEXICO SA DE CV                                | Minera Mexico SA de CV                                                                                               | CUSIP: 000000000<br>LEI: 2549005BMA2EK49I0T98 | Long             | DBT              | CORP              | MX        |     220000 | PA      | $166100.00    | 0.01%             | 2050-01-26      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3568000 | PA      | $3738566.96   | 0.13%             | 2033-10-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | JP        |          1 | NC      | $7074.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD CLP                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-17779.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRY9X3NE6 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY9X3NE6 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     358000 | OU      | $4819.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     456498 | PA      | $371924.29    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp                                     | Lam Research Corp                                                                                                    | CUSIP: 512807AT5<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |     762000 | PA      | $721418.07    | 0.03%             | 2049-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                   | Moody's Corp                                                                                                         | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    1015000 | PA      | $935588.11    | 0.03%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | Long: BRYA63PR2 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRYA63PR2 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     499000 | OU      | $6717.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                             | Apple Inc                                                                                                            | CUSIP: 037833EF3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     518000 | PA      | $341609.24    | 0.01%             | 2051-02-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                               | Mexican Bonos                                                                                                        | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   13700000 | PA      | $635909.48    | 0.02%             | 2026-03-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                | One Market Plaza Trust 2017-1MKT                                                                                     | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4222000 | PA      | $2710.52      | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XWXG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339409 | PA      | $333100.34    | 0.01%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-ARIA                                                                                                   | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1087000 | PA      | $971166.56    | 0.03%             | 2036-10-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                               | AEP Transmission Co LLC                                                                                              | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     482000 | PA      | $375436.82    | 0.01%             | 2049-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1574721 | PA      | $1295323.89   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT                              | United Airlines 2015-1 Class AA Pass Through Trust                                                                   | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     157712 | PA      | $140243.93    | 0.00%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2298023 | PA      | $2075433.69   | 0.07%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-2 Ltd                                                                                        | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |    1781000 | PA      | $1716734.40   | 0.06%             | 2029-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4219000 | PA      | $4229406.59   | 0.15%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                                                                   | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    4039000 | PA      | $3844794.14   | 0.14%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Valcour Packaging LLC                                 | Valcour Packaging LLC 2021 1st Lien Term Loan                                                                        | CUSIP: 91889CAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     349360 | PA      | $292589.00    | 0.01%             | 2028-10-04      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 16-C1 Mortgage Trust                                                                                           | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240000 | PA      | $223989.65    | 0.01%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XC4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343127 | PA      | $329476.90    | 0.01%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED KRW / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $3506.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR4                                                                                       | CUSIP: 74333EAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1340000 | PA      | $1138650.66   | 0.04%             | 2038-05-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                            | Apidos CLO XXVI                                                                                                      | CUSIP: 03766GAS1<br>LEI: 549300RV409NJP65MP20 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239751.00    | 0.01%             | 2029-07-18      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                               | Shell International Finance BV                                                                                       | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     586000 | PA      | $514159.18    | 0.02%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                                                        | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     643000 | PA      | $585737.13    | 0.02%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                           | Prologis LP                                                                                                          | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |     354000 | PA      | $294922.41    | 0.01%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Aimco                                                 | AIMCO CLO Series 2015-A                                                                                              | CUSIP: 00900LAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240870.25    | 0.01%             | 2034-10-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                                                           | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    2408000 | PA      | $1956945.36   | 0.07%             | 2030-09-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LBM Acquisition LLC                                   | LBM Acquisition LLC Term Loan B                                                                                      | CUSIP: 50179JAB4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |    1307716 | PA      | $1138620.61   | 0.04%             | 2027-12-17      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     615000 | PA      | $423243.79    | 0.01%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                  | Signal Peak CLO 2 LLC                                                                                                | CUSIP: 56844XBJ7<br>LEI: 549300SC4HK60KIV1S28 | Long             | ABS-CBDO         | CORP              | US        |    1412000 | PA      | $1384261.26   | 0.05%             | 2029-04-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1459361 | PA      | $1230156.32   | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                                                        | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     937000 | PA      | $643305.60    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                     | General Motors Co                                                                                                    | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     591000 | PA      | $563989.95    | 0.02%             | 2029-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                  | Mariner CLO 2016-3 LLC                                                                                               | CUSIP: 56845AAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1015000 | PA      | $978001.22    | 0.03%             | 2029-07-23      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32519855 | PA      | $26453609.70  | 0.93%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                | Conseco Finance Corp                                                                                                 | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     107136 | PA      | $96173.58     | 0.00%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498684 | PA      | $488572.41    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                    | Raytheon Technologies Corp                                                                                           | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     497000 | PA      | $347915.57    | 0.01%             | 2050-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | BRYAU0LR5 BLACKROCK FXVAN PUT USD MXN 19.3500000                                                                     | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |     716000 | OU      | $4391.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     823236 | PA      | $773467.66    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                                                        | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3803000 | PA      | $3197659.76   | 0.11%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                                                            | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     909000 | PA      | $663486.81    | 0.02%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2019-BNK20                                                                                                      | CUSIP: 06540AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8619000 | PA      | $178290.05    | 0.01%             | 2062-09-15      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                     | Vedanta Resources Finance II PLC                                                                                     | CUSIP: 92243XAE1<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |     412000 | PA      | $279645.00    | 0.01%             | 2025-03-11      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4409640 | PA      | $3595253.39   | 0.13%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Genius Sports Ltd                                     | Genius Sports Ltd                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GG        |      76133 | NS      | $68519.70     | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| Bank of America Corp                                  | Bank of America Corp                                                                                                 | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1153000 | PA      | $1015400.98   | 0.04%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital                                      | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     461000 | PA      | $280319.23    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                     | Atmos Energy Corp                                                                                                    | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     368000 | PA      | $300952.37    | 0.01%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76316 | PA      | $73619.91     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243470 | PA      | $228281.32    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | Long: BRTB78HA0 CDS USD R V 01MEVENT 1 CMBX / Short: BRTB78HA0 CDS USD P F   .50000 2 CMBX                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |    1090000 | OU      | $488.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                                                                   | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1104000 | PA      | $1091169.11   | 0.04%             | 2042-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JUNIPER NETWORKS INC                                  | Juniper Networks Inc                                                                                                 | CUSIP: 48203RAP9<br>LEI: AUHIXNGG7U2U7JEHM527 | Long             | DBT              | CORP              | US        |     723000 | PA      | $550379.83    | 0.02%             | 2030-12-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30796900 | PA      | $27385506.45  | 0.96%             | 2038-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312944SL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68212 | PA      | $65628.17     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                          | Comcast Corp                                                                                                         | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1833000 | PA      | $1727707.37   | 0.06%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473223 | PA      | $398890.48    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates     | First Franklin Mortgage Loan Trust 2006-FF17                                                                         | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1611424 | PA      | $1458339.02   | 0.05%             | 2036-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                   | Mastr Asset Backed Securities Trust 2006-AM2                                                                         | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356163 | PA      | $319225.58    | 0.01%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                                                     | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     620000 | PA      | $568174.88    | 0.02%             | 2026-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                  | OHA Loan Funding 2015-1 Ltd                                                                                          | CUSIP: 67109BDC5<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $486879.00    | 0.02%             | 2037-01-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | BRYBSUGS4 BLACKROCK SWAPTION 3.105 CALL USD 202312                                                                   | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -53185800 | NC      | $-1484006.15  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51656 | PA      | $49196.07     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                        | Barings CLO Ltd 2019-III                                                                                             | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245453.50    | 0.01%             | 2031-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                              | Anheuser-Busch InBev Worldwide Inc                                                                                   | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     406000 | PA      | $346734.95    | 0.01%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270738 | PA      | $260046.22    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21911 | PA      | $20533.01     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349114 | PA      | $286746.10    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                        | Home Partners of America 2021-2 Trust                                                                                | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1376677 | PA      | $1125433.73   | 0.04%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2777000 | PA      | $2866709.68   | 0.10%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-VIV5                                                                               | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     474000 | PA      | $378220.76    | 0.01%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc          | BAMLL Commercial Mortgage Securities Trust 2015-200P                                                                 | CUSIP: 05526QAN6<br>LEI: 549300UQK6PJ8BF5JQ90 | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $203162.88    | 0.01%             | 2033-04-14      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                        | Lowe's Cos Inc                                                                                                       | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    3315000 | PA      | $3176931.97   | 0.11%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312943JY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48421 | PA      | $46553.11     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                    | BX Trust 2019-OC11                                                                                                   | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1791000 | PA      | $1385574.55   | 0.05%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust         | Bankers Healthcare Group Securitization Trust 2020-A                                                                 | CUSIP: 06616PAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $91525.18     | 0.00%             | 2031-09-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31412MJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74062 | PA      | $76801.90     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                | Egypt Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     200000 | PA      | $147700.00    | 0.01%             | 2032-05-29      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                    | Whitebox Clo I Ltd                                                                                                   | CUSIP: 96467CAE7<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $218043.75    | 0.01%             | 2032-07-24      | Floating      | 10.72%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138X5EH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133172 | PA      | $130619.51    | 0.00%             | 2028-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67308 | PA      | $70214.48     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REGIONAL MGMT ISSUANCE                                | REGIONAL MGMT ISSUANCE                                                                                               | CUSIP: 75907WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3710000 | PA      | $3166485.00   | 0.11%             | 2033-10-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     507072 | PA      | $475502.75    | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO X Ltd                                                                                                  | CUSIP: 07132JBC7<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |    6220000 | PA      | $6052632.24   | 0.21%             | 2035-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                           | Viatris Inc                                                                                                          | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     179000 | PA      | $110288.68    | 0.00%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pivotal Investment Corp III                           | Pivotal Investment Corp III                                                                                          | CUSIP: 72582M114<br>LEI: N/A                  | N/A              | DE               |  | US        |       5219 | NS      | $26.10        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SCC POWER PLC                                         | SCC Power PLC                                                                                                        | CUSIP: 78397YAB8<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |    1215425 | PA      | $420537.05    | 0.01%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ATENTO LUXCO 1 SA                                     | Atento Luxco 1 SA                                                                                                    | CUSIP: 04684LAC2<br>LEI: 549300MLFF3HYCZQTC48 | Long             | DBT              | CORP              | LU        |     347000 | PA      | $183910.00    | 0.01%             | 2026-02-10      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                              | OZLM XVIII Ltd                                                                                                       | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |     520000 | PA      | $506704.12    | 0.02%             | 2031-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                                                      | CUSIP: 46651MAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570000 | PA      | $529447.12    | 0.02%             | 2036-07-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                   | Petroleos Mexicanos                                                                                                  | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     134000 | PA      | $85491.83     | 0.00%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MIDWEST GMNG BOR/MWG FIN                              | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp                                                            | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     609000 | PA      | $518176.27    | 0.02%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     834032 | PA      | $739428.12    | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                   | Petroleos Mexicanos                                                                                                  | CUSIP: 71654QBE1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      98000 | PA      | $57575.00     | 0.00%             | 2044-06-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                | RR 5 Ltd                                                                                                             | CUSIP: 74979VAE3<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242007.00    | 0.01%             | 2031-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Bally's Corporation                                   | Bally's Corporation 2021 Term Loan B                                                                                 | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |    2700720 | PA      | $2516171.69   | 0.09%             | 2028-10-02      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | Long: BRTT2EPF3 CDS USD R V 01MEVENT 1 CMBX / Short: BRTT2EPF3 CDS USD P F  3.00000 2 CMBX                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     500000 | OU      | $94299.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14357000 | PA      | $13732807.03  | 0.48%             | 2024-07-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                                                               | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     249000 | PA      | $270199.58    | 0.01%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                | Commonwealth Edison Co                                                                                               | CUSIP: 202795JT8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     971000 | PA      | $669983.64    | 0.02%             | 2051-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2447143 | PA      | $2024337.60   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                   | BWAY 2013-1515 Mortgage Trust                                                                                        | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1847304 | PA      | $1725047.76   | 0.06%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Dupont De Nemours Inc                                 | DuPont de Nemours Inc                                                                                                | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |     385000 | PA      | $370007.43    | 0.01%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                                                               | CUSIP: 62954HAV0<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    3699000 | PA      | $3448574.07   | 0.12%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                 | Mexico Government International Bond                                                                                 | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2105000 | PA      | $1697742.96   | 0.06%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497650 | PA      | $460613.81    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371399 | PA      | $344549.38    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SRS Distribution Inc.                                 | SRS Distribution Inc. 2021 Term Loan B                                                                               | CUSIP: 78466YAN8<br>LEI: 549300ZQ3XP75BCYM468 | Long             | LON              | CORP              | US        |     938125 | PA      | $896612.97    | 0.03%             | 2028-06-02      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Antares CLO                                           | Antares CLO 2021-1 Ltd                                                                                               | CUSIP: 03666BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1820000 | PA      | $1756401.92   | 0.06%             | 2033-07-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Axtel SAB de CV                                       | Axtel SAB de CV                                                                                                      | CUSIP: 05462GAJ3<br>LEI: 549300BVRDR8XTSXAD13 | Long             | DBT              | CORP              | MX        |     451000 | PA      | $368887.73    | 0.01%             | 2024-11-14      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                  | Edison International                                                                                                 | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    1939000 | PA      | $2024861.42   | 0.07%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                                                        | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     428453 | PA      | $329637.02    | 0.01%             | 2047-06-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97820 | PA      | $99456.33     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-21M                                                                                | CUSIP: 05609CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399326 | PA      | $366029.94    | 0.01%             | 2036-10-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVI LTD                   | Octagon Investment Partners XVI Ltd                                                                                  | CUSIP: 67590BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3370000 | PA      | $3321013.68   | 0.12%             | 2030-07-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                           | Oracle Corp                                                                                                          | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4072000 | PA      | $2967422.40   | 0.10%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                                                                 | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    2438000 | PA      | $1978899.66   | 0.07%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28769 | PA      | $27462.61     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5272000 | PA      | $4129042.79   | 0.15%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| SPECTACLE GARY HOLDINGS LLC                           | Spectacle Gary Holdings LLC 2021 Term Loan B                                                                         | CUSIP: 000000000<br>LEI: 549300V1ELIRK8JURN28 | Long             | LON              | CORP              | US        |    3057300 | PA      | $2950294.50   | 0.10%             | 2028-11-19      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49917 | PA      | $47628.26     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1230002 | PA      | $1097174.86   | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2020-FACT                                                                                                       | CUSIP: 126395AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $661086.45    | 0.02%             | 2037-10-15      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| SHELF DRILL HOLD LTD                                  | Shelf Drilling Holdings Ltd                                                                                          | CUSIP: 822538AG9<br>LEI: 54930078ZJ3XP4MRYB68 | Long             | DBT              | CORP              | KY        |      72000 | PA      | $70560.00     | 0.00%             | 2024-11-15      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33585 | PA      | $32075.21     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA21                                                                                     | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     901316 | PA      | $711032.97    | 0.03%             | 2047-03-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3865000 | PA      | $3297328.13   | 0.12%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                                                     | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     401000 | PA      | $292868.87    | 0.01%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Gray Television, Inc.                                 | Gray Television, Inc. 2021 Term Loan D                                                                               | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |     995940 | PA      | $968729.92    | 0.03%             | 2028-12-01      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Logan CLO I Ltd                                       | Logan CLO I Ltd                                                                                                      | CUSIP: 540543AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     730000 | PA      | $711921.55    | 0.03%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                        | Palmer Square Loan Funding 2020-1 Ltd                                                                                | CUSIP: 69701EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     980000 | PA      | $963224.36    | 0.03%             | 2028-02-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                | Conseco Finance Corp                                                                                                 | CUSIP: 393505P22<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     871646 | PA      | $779802.44    | 0.03%             | 2030-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2019-C17 Commercial Mortgage Trust                                                                             | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3100443 | PA      | $187783.00    | 0.01%             | 2052-09-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30377 | PA      | $28481.67     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding V CLO Ltd                                                                                              | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |     770000 | PA      | $754903.38    | 0.03%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387435 | PA      | $362295.18    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                                                             | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     954000 | PA      | $948873.83    | 0.03%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6413000 | PA      | $6369984.23   | 0.22%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CBU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10482000 | PA      | $10374651.32  | 0.37%             | 2023-03-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                                                        | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    1031000 | PA      | $797776.82    | 0.03%             | 2031-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                                                                    | CUSIP: 31394C3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4000 | PA      | $3966.15      | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                             | BXP Trust 2021-601L                                                                                                  | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327000 | PA      | $203630.09    | 0.01%             | 2044-01-15      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                                                        | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3155000 | PA      | $3254830.35   | 0.11%             | 2033-11-17      | Fixed         | 6.27%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJ4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695680 | PA      | $621821.14    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36180DPF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156652 | PA      | $147365.47    | 0.01%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust       | BankAmerica Manufactured Housing Contract Trust                                                                      | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     470000 | PA      | $141484.85    | 0.00%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                              | Sabine Pass Liquefaction LLC                                                                                         | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    7829000 | PA      | $7840057.76   | 0.28%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC                                          | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     738000 | PA      | $626890.53    | 0.02%             | 2028-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| DREYFUS TREASURY & AGENCY LEX                         | DREYFUS TREASURY & AGENCY LEX                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    1000000 | NS      | $1000000.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1413399 | PA      | $1163505.58   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                                                              | CUSIP: 15189XAV0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    1154000 | PA      | $956899.62    | 0.03%             | 2031-04-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                   | BWAY 2013-1515 Mortgage Trust                                                                                        | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1495000 | PA      | $1333649.58   | 0.05%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                      | Bain Capital Credit CLO 2017-1 Ltd                                                                                   | CUSIP: 05682QAU0<br>LEI: 549300GUKNMHLHIJO049 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239279.50    | 0.01%             | 2030-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                                                      | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    1430000 | PA      | $52419.81     | 0.00%             | 2049-08-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102191 | PA      | $103475.74    | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2007-6                                                                                | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    1113767 | PA      | $974317.19    | 0.03%             | 2037-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                   | 522 Funding CLO 2019-4 Ltd                                                                                           | CUSIP: 33834WAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     360000 | PA      | $331141.32    | 0.01%             | 2030-04-20      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                | UnitedHealth Group Inc                                                                                               | CUSIP: 91324PCZ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     549000 | PA      | $471911.57    | 0.02%             | 2047-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31416WSC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324806 | PA      | $321990.03    | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                          | Ecopetrol SA                                                                                                         | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      71000 | PA      | $70541.11     | 0.00%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                              | FirstEnergy Transmission LLC                                                                                         | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    1684000 | PA      | $1362605.97   | 0.05%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ODBRCHT OFFSHRE DRLL FIN                              | Odebrecht Offshore Drilling Finance Ltd                                                                              | CUSIP: 67576GAD9<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |        257 | PA      | $67.46        | 0.00%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                              | Devon Energy Corp                                                                                                    | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     854000 | PA      | $796722.91    | 0.03%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2006-1                                                                                | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73136 | PA      | $65747.61     | 0.00%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3870499 | PA      | $3352639.32   | 0.12%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                            | Impac Secured Assets Trust 2006-3                                                                                    | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168991 | PA      | $143631.58    | 0.01%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475037 | PA      | $407569.52    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | Long: BRYA9THW0 IRS BRL R F 13.96500 2 NDFPREDISWAP / Short: BRYA9THW0 IRS BRL P V 00MBRCDI 1 NDFPREDISWAP           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    3840000 | OU      | $3371.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                                                        | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     699000 | PA      | $564103.31    | 0.02%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: B95V4ZFC7 CDS EUR R V 03MEVENT 1 CCPCDX / Short: B95V4ZFC7 CDS EUR P F  1.00000 2 CCPCDX                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    9090000 | OU      | $-4193.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                      | OneMain Financial Issuance Trust 2020-A                                                                              | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1049609 | PA      | $1041954.40   | 0.04%             | 2032-05-14      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                   | Elmwood CLO II Ltd                                                                                                   | CUSIP: 29001RAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $221950.25    | 0.01%             | 2034-04-20      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31391JQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19576 | PA      | $19654.11     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132M57A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     490067 | PA      | $472741.29    | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                   | Petroleos Mexicanos                                                                                                  | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     634000 | PA      | $594495.97    | 0.02%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY3CQBH7 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY3CQBH7 IRS JPY P F   .42400 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1160485472 | OU      | $368003.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL INC COMMON                                                                                         | CUSIP: 939ESCAZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3780000 | PA      | $0.38         | 0.00%             | 2017-09-21      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED PLN / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $3125.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                | UnitedHealth Group Inc                                                                                               | CUSIP: 91324PDF6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     570000 | PA      | $453234.61    | 0.02%             | 2047-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     414517 | PA      | $407922.75    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX 2021-MFM1                                                                                                         | CUSIP: 05608VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $260322.83    | 0.01%             | 2034-01-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FRIGORIFICO CONCEPCION                                | Frigorifico Concepcion SA                                                                                            | CUSIP: 358648AA1<br>LEI: 529900Q6VZVL47QJCQ91 | Long             | DBT              | CORP              | PY        |     220000 | PA      | $177650.00    | 0.01%             | 2028-07-21      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                                                               | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1715000 | PA      | $1420124.84   | 0.05%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                                                        | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1030000 | PA      | $975708.19    | 0.03%             | 2038-04-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Kestrel Bidco Inc.                                    | Kestrel Bidco Inc. Term Loan B                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |        590 | PA      | $541.49       | 0.00%             | 2026-12-11      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO V-B Ltd                                                                                  | CUSIP: 08181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1030000 | PA      | $1013536.48   | 0.04%             | 2031-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: B91ZBY777 CDS USD R V 03MEVENT 2I65BRSB7/2I65BRTK6 /2I65BRTR1 / Short: B91ZBY777 CDS USD P F  5.00000   CCPCDX | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    4732640 | OU      | $-134776.12   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31390MJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1987 | PA      | $1995.44      | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                              | Enterprise Products Operating LLC                                                                                    | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1738000 | PA      | $1530217.96   | 0.05%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138A5WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5162 | PA      | $5122.75      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                                                                   | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     778000 | PA      | $567119.98    | 0.02%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     588149 | PA      | $574706.27    | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257990 | PA      | $241234.69    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust           | MF1 2021-W10X                                                                                                        | CUSIP: 55284DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163000 | PA      | $145980.19    | 0.01%             | 2034-12-15      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRY5PMFX8 BLACKROCK SWAPTION 2.48 PUT USD 20230810                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   36484000 | NC      | $3193977.19   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                              | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                        | CUSIP: 709599BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1921000 | PA      | $1680465.98   | 0.06%             | 2026-06-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                        | William Carter Co/The                                                                                                | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |      42000 | PA      | $40287.21     | 0.00%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475023 | PA      | $425342.16    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1745500 | PA      | $1608587.34   | 0.06%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175481 | PA      | $182047.18    | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67105 | PA      | $68894.94     | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OZLM Funding Ltd                                      | OZLM Funding IV Ltd                                                                                                  | CUSIP: 67108FAN6<br>LEI: 549300788AI08GTXXH35 | Long             | ABS-CBDO         | CORP              | KY        |   10503398 | PA      | $10385056.04  | 0.37%             | 2030-10-22      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276987 | PA      | $264959.90    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14, LTD.                                      | AGL CLO 14 Ltd                                                                                                       | CUSIP: 00851WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1330000 | PA      | $1293890.50   | 0.05%             | 2034-12-02      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183427 | PA      | $171510.15    | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| M/I HOMES INC                                         | M/I Homes Inc                                                                                                        | CUSIP: 55305BAS0<br>LEI: 5299005M71FH9CCSFB69 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $897344.60    | 0.03%             | 2028-02-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4219000 | PA      | $-4229406.59  | -0.15%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1733240 | PA      | $1415782.24   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $3941.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1404211 | PA      | $1152727.02   | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-120.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490547 | PA      | $424951.55    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED CAD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $414.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                              | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                                  | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     564000 | PA      | $446935.07    | 0.02%             | 2029-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2017-GPTX                                                                          | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     710000 | PA      | $660300.00    | 0.02%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd                                   | Great Lakes CLO V Ltd                                                                                                | CUSIP: 39055VAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     420000 | PA      | $402825.36    | 0.01%             | 2033-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365681 | PA      | $362510.52    | 0.01%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36177YDZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187591 | PA      | $176417.66    | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                    | Mattamy Group Corp                                                                                                   | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |     662000 | PA      | $536527.33    | 0.02%             | 2030-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70392 | PA      | $69649.85     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HP INC                                                | HP Inc                                                                                                               | CUSIP: 40434LAJ4<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     976000 | PA      | $760384.55    | 0.03%             | 2031-06-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                                                              | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     469000 | PA      | $421701.75    | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                   | Braskem Netherlands Finance BV                                                                                       | CUSIP: 10554TAF2<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |     245000 | PA      | $237365.64    | 0.01%             | 2081-01-23      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                 | Conseco Finance Securitizations Corp                                                                                 | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     586391 | PA      | $130387.57    | 0.00%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9612116 | PA      | $8536333.39   | 0.30%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68355 | PA      | $66030.82     | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5294965 | PA      | $-4486193.51  | -0.16%            | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                                                          | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1303871.09   | 0.05%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2019-C16 Commercial Mortgage Trust                                                                             | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7078972 | PA      | $507121.99    | 0.02%             | 2052-06-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40722 | PA      | $37956.15     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 3620ARHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7789 | PA      | $7928.50      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     629819 | PA      | $518956.19    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 45 Senior Loan Fund                                                                                           | CUSIP: 26244MAQ5<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |     540000 | PA      | $527717.16    | 0.02%             | 2030-10-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | BRYB0U275 BLACKROCK FXVAN CALL GBP USD 1.2800000                                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    -588000 | OU      | $-332.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | BRY7ZWY36 BLACKROCK PUT USD BRL 4.6500000 20230323                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |      88000 | OU      | $4292.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.      | BCMSC Trust 2000-A                                                                                                   | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1270292 | PA      | $177176.71    | 0.01%             | 2030-06-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F012619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -130000 | PA      | $-100062.33   | -0.00%            | 2053-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-68488.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3007364 | PA      | $2575123.71   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2007-5CB                                                                                      | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547575 | PA      | $299365.94    | 0.01%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                     | NSTAR Electric Co                                                                                                    | CUSIP: 67021CAP2<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     104000 | PA      | $97764.53     | 0.00%             | 2030-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81445 | PA      | $75954.41     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                                                           | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    1679000 | PA      | $1666803.74   | 0.06%             | 2030-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO XX Ltd                                                                                                 | CUSIP: 07134UAA5<br>LEI: 549300CDYR56PY734566 | Long             | ABS-CBDO         | CORP              | KY        |     730000 | PA      | $707767.85    | 0.02%             | 2034-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83833 | PA      | $78611.19     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8787000 | PA      | $7151758.72   | 0.25%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138YNTH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68855 | PA      | $64563.29     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     817093 | PA      | $767572.56    | 0.03%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                           | NVIDIA Corp                                                                                                          | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     501000 | PA      | $378133.57    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                                                         | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6256726 | PA      | $237818.78    | 0.01%             | 2029-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                                                              | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4029000 | PA      | $3474916.69   | 0.12%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2015-1 Ltd                                                                                         | CUSIP: 69689ABL3<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $239103.25    | 0.01%             | 2034-05-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Signal Parent, Inc                                    | Signal Parent, Inc Term Loan B                                                                                       | CUSIP: 82666KAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     551600 | PA      | $335924.40    | 0.01%             | 2028-04-03      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31158 | PA      | $30922.91     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO 2013-2 Ltd                                                                                          | CUSIP: 09626YAN0<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |     745093 | PA      | $734357.04    | 0.03%             | 2030-10-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                                                                | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2700000 | PA      | $2597986.52   | 0.09%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-G                                                                                      | CUSIP: 00969VAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432000 | PA      | $404741.45    | 0.01%             | 2059-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36179F7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168434 | PA      | $158399.28    | 0.01%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| XHR LP                                                | XHR LP                                                                                                               | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              |  | US        |     137000 | PA      | $112220.30    | 0.00%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-6291.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                | Anglo American Capital PLC                                                                                           | CUSIP: 034863BA7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     617000 | PA      | $503786.53    | 0.02%             | 2031-03-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED CAD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $1476.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137345 | PA      | $1084463.01   | 0.04%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2015-B                                                                              | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |    1340000 | PA      | $1268239.65   | 0.04%             | 2040-12-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | Long: BRYBSSV11 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRYBSSV11 IRS USD P F  3.45300 2 CCPOIS                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  106371600 | OU      | $566423.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                                                                   | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     323000 | PA      | $273599.54    | 0.01%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     413462 | PA      | $390003.57    | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3865000 | PA      | $3154655.28   | 0.11%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                    | JP Morgan Alternative Loan Trust 2007-A1                                                                             | CUSIP: 466287AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     724731 | PA      | $636764.76    | 0.02%             | 2037-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 54 Ltd                    | Octagon 54 Ltd                                                                                                       | CUSIP: 67577FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $229562.00    | 0.01%             | 2034-07-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WCK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494114 | PA      | $475160.28    | 0.02%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                   | Suzano Austria GmbH                                                                                                  | CUSIP: 05674XAA9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $200534.13    | 0.01%             | 2026-07-14      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                   | Oportun Issuance Trust 2021-B                                                                                        | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     170000 | PA      | $146840.97    | 0.01%             | 2031-05-08      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X82Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549292 | PA      | $490316.57    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                              | United Airlines 2019-1 Class AA Pass Through Trust                                                                   | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     202580 | PA      | $179183.15    | 0.01%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317359 | PA      | $297542.71    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED JPY / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $22902.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2005-4                                                                                | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50963 | PA      | $46146.29     | 0.00%             | 2036-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                                                                   | CUSIP: 907818GD4<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     300000 | PA      | $288196.93    | 0.01%             | 2063-01-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AVIANCA MIDCO 2 PLC                                   | Avianca Midco 2 PLC                                                                                                  | CUSIP: 05368PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     574316 | PA      | $424993.84    | 0.01%             | 2028-12-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XJDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327843 | PA      | $316723.86    | 0.01%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                           | Equinix Inc                                                                                                          | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |    1958000 | PA      | $1704284.87   | 0.06%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XLUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     661349 | PA      | $637929.37    | 0.02%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                              | OZLM XXI Ltd                                                                                                         | CUSIP: 67112AAE1<br>LEI: 5493002HF6D1C4B1AK86 | Long             | ABS-CBDO         | CORP              | KY        |     320000 | PA      | $293763.84    | 0.01%             | 2031-01-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                               | Long: BRT8DTKL6 CDS USD R F  3.00000 2 CMBX / Short: BRT8DTKL6 CDS USD P V 01MEVENT 1 CMBX                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |      40000 | OU      | $-6930.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO XX Ltd                                                                                   | CUSIP: 08182KAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $227336.25    | 0.01%             | 2034-07-15      | Floating      | 10.83%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2478712 | PA      | $2125134.90   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                     | EURO-BUXL 30Y BND MAR23                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -24 | NC      | $714458.15    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                               | United Airlines 2014-1 Class A Pass Through Trust                                                                    | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     176592 | PA      | $164066.35    | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4788710 | PA      | $129005.94    | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| SCIH Salt Holdings Inc.                               | SCIH Salt Holdings Inc. 2021 Incremental Term Loan B                                                                 | CUSIP: 78397GAF8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     824085 | PA      | $803997.98    | 0.03%             | 2027-03-16      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299634 | PA      | $295587.51    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                                                             | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3279000 | PA      | $2194736.12   | 0.08%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                                    | AGL Core CLO 4 LTD                                                                                                   | CUSIP: 001199AG3<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $839169.94    | 0.03%             | 2033-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98590 | PA      | $95253.63     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                      | Flatiron CLO 21 Ltd                                                                                                  | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2390000 | PA      | $2331557.33   | 0.08%             | 2034-07-19      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                               | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                                                            | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    1215000 | PA      | $1493582.61   | 0.05%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23806000 | PA      | $19512550.76  | 0.69%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42654 | PA      | $40756.68     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933948 | PA      | $769532.70    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                 | MET TRANSPRTN AUTH NY REVENUE                                                                                        | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     330000 | PA      | $344815.52    | 0.01%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3789236 | PA      | $3235587.05   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US BOND FUTR OPTN FEB23P 126 EXP 01/27/2023                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -3 | NC      | $-6703.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO 18 Ltd                                                                                                 | CUSIP: 07134QAQ9<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |     298000 | PA      | $282014.68    | 0.01%             | 2036-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                                                           | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $966115.79    | 0.03%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Aimbridge Acquisition Co., Inc.                       | Aimbridge Acquisition Co., Inc. 2019 Term Loan B                                                                     | CUSIP: 00900YAD8<br>LEI: 549300SPGKLVE9WYCQ20 | Long             | LON              | CORP              | US        |     823167 | PA      | $750625.43    | 0.03%             | 2026-02-02      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Fin Square Govt Fd                      | Goldman Sachs Fin Square Govt Fd                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    1000000 | NS      | $1000000.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                                                              | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     532000 | PA      | $341313.88    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                | Bank of New York Mellon Corp/The                                                                                     | CUSIP: 064058AF7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     629000 | PA      | $536373.46    | 0.02%             | 2026-09-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                                                         | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1794000 | PA      | $1581125.14   | 0.06%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2496.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                       | Republic Finance Issuance Trust 2021-A                                                                               | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2250000 | PA      | $2015760.60   | 0.07%             | 2031-12-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial              | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1                                                       | CUSIP: 52521GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64489 | PA      | $64297.67     | 0.00%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 6-2015, Ltd.                      | HPS Loan Management 6-2015 Ltd                                                                                       | CUSIP: 40436KAC9<br>LEI: 549300OYG05TXUTUVD98 | Long             | ABS-CBDO         | CORP              | KY        |    1380565 | PA      | $1358838.91   | 0.05%             | 2031-02-05      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| IMT Trust                                             | IMT Trust 2017-APTS                                                                                                  | CUSIP: 44974AAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540000 | PA      | $514792.31    | 0.02%             | 2034-06-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                                                                   | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     449000 | PA      | $346844.24    | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS                                | Digicel Group Holdings Ltd                                                                                           | CUSIP: 25381YAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     295601 | PA      | $79110.08     | 0.00%             | 2025-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2887913 | PA      | $2469912.40   | 0.09%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kronos Acquisition Holdings Inc.                      | Kronos Acquisition Holdings Inc. 2021 1st Lien Term Loan                                                             | CUSIP: 50106JAF3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     272250 | PA      | $264763.13    | 0.01%             | 2026-12-22      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                    | Cold Storage Trust 2020-ICE5                                                                                         | CUSIP: 193051AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1582615 | PA      | $1517054.92   | 0.05%             | 2037-11-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                   | Sound Point CLO XXVIII Ltd                                                                                           | CUSIP: 83615CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $342915.30    | 0.01%             | 2032-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2019-H                                                                                      | CUSIP: 00969XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $391843.28    | 0.01%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust             | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3                                                    | CUSIP: 06427DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $87428.72     | 0.00%             | 2050-02-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     391638 | PA      | $385165.42    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 65 CLO Ltd                                                                                                    | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242367.75    | 0.01%             | 2030-07-18      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA16                                                                                     | CUSIP: 23242GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     584526 | PA      | $509987.46    | 0.02%             | 2046-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45129 | PA      | $42244.73     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     328663 | PA      | $331241.89    | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                              | Cheniere Corpus Christi Holdings LLC                                                                                 | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    2021000 | PA      | $1996602.69   | 0.07%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174536 | PA      | $167563.56    | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94388 | PA      | $59837.17     | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO VIII Ltd                                                                                 | CUSIP: 08180XAN2<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1972638.00   | 0.07%             | 2031-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO                                         | Voya Euro CLO V DAC                                                                                                  | CUSIP: 000000000<br>LEI: 549300IGE7MPYA8F0423 | Long             | ABS-CBDO         | CORP              | IE        |     340000 | PA      | $333883.41    | 0.01%             | 2035-04-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -79000 | PA      | $-70324.36    | -0.00%            | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                   | American Tower Corp                                                                                                  | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     456000 | PA      | $420366.54    | 0.01%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912828YY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41246000 | PA      | $39151476.56  | 1.38%             | 2024-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2127514 | PA      | $1750014.81   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Refi Loan Trust 2021-D                                                                     | CUSIP: 63942CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     230000 | PA      | $194752.94    | 0.01%             | 2060-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust 2007-AHL3                                                                              | CUSIP: 17312GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     604457 | PA      | $429666.52    | 0.02%             | 2045-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED EUR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $25149.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147495 | PA      | $139883.92    | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1613000 | PA      | $1232151.02   | 0.04%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: —       |
| Oracle Corp                                           | Oracle Corp                                                                                                          | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     176000 | PA      | $116940.48    | 0.00%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                   | Global Payments Inc                                                                                                  | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1142000 | PA      | $1032551.79   | 0.04%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                    | Panama Government International Bond                                                                                 | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    1811000 | PA      | $1319395.30   | 0.05%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                              | CSX Corp                                                                                                             | CUSIP: 126408HL0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     614000 | PA      | $517316.99    | 0.02%             | 2068-03-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                           | PROLOGIS LP                                                                                                          | CUSIP: 74340XCA7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    1944000 | PA      | $1530304.88   | 0.05%             | 2031-02-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                          | ELP Commercial Mortgage Trust 2021-ELP                                                                               | CUSIP: 26863LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     994000 | PA      | $905806.16    | 0.03%             | 2038-11-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-D                                                                                     | CUSIP: 64034YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     170000 | PA      | $132549.29    | 0.00%             | 2062-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCPE North Star US HoldCo 2, Inc.                     | BCPE North Star US HoldCo 2, Inc. Term Loan                                                                          | CUSIP: 05552DAD4<br>LEI: 254900AGB0JDUDNIJC95 | Long             | LON              | CORP              | US        |     794977 | PA      | $723429.40    | 0.03%             | 2028-06-09      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2261000 | PA      | $1803126.77   | 0.06%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1010000 | PA      | $1070955.08   | 0.04%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-1 AA PTT                              | American Airlines 2016-1 Class AA Pass Through Trust                                                                 | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     128588 | PA      | $114781.73    | 0.00%             | 2028-01-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2007-9T1                                                                                      | CUSIP: 02150JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2052577 | PA      | $1054344.35   | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED USD / SOLD MXN                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $680.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                              | Service Properties Trust                                                                                             | CUSIP: 44106MAR3<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |    1350000 | PA      | $1326634.05   | 0.05%             | 2023-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | Long: BRY7LMPJ8 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRY7LMPJ8 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     584000 | OU      | $93159.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BXP Trust                                             | BXP Trust 2017-CC                                                                                                    | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260000 | PA      | $203621.00    | 0.01%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | BRY63QMA3 BLACKROCK SWAPTION 3.2 PUT USD 20230810                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -24293848 | NC      | $-1078037.08  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                                                     | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     724000 | PA      | $696649.94    | 0.02%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                   | LCM 26 Ltd                                                                                                           | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2590000 | PA      | $2542693.65   | 0.09%             | 2031-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27931 | PA      | $26217.30     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1838000 | PA      | $1438347.58   | 0.05%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| American Auto Auction Group, LLC                      | American Auto Auction Group, LLC 2021 2nd Lien Term Loan                                                             | CUSIP: 02403MAP5<br>LEI: 5493002VI1KML1L8HW19 | Long             | LON              | CORP              | US        |     859000 | PA      | $665725.00    | 0.02%             | 2029-01-02      | Floating      | 13.33%                | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                                                         | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     432000 | PA      | $340251.32    | 0.01%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO II Ltd                              | Bridge Street CLO II Ltd                                                                                             | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $241538.25    | 0.01%             | 2034-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                               | Air Canada 2017-1 Class AA Pass Through Trust                                                                        | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     480301 | PA      | $410021.55    | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                                                             | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     304000 | PA      | $203875.82    | 0.01%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129746 | PA      | $120828.48    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | Ares LVI CLO Ltd                                                                                                     | CUSIP: 04018NAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $338674.00    | 0.01%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1851917 | PA      | $1523914.52   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp                                | Chesapeake Energy Corp                                                                                               | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |       6878 | NS      | $649076.86    | 0.02%             |  |  |  | No            |                  1 | 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        |     855000 | PA      | $620686.45    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161992 | PA      | $1219414.60   | 0.04%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     978289 | PA      | $804397.41    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10822000 | PA      | $7035568.23   | 0.25%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Vaco Holdings, LLC                                    | Vaco Holdings, LLC 2022 Term Loan                                                                                    | CUSIP: 000000000<br>LEI: 54930076HTNXBP03T379 | Long             | LON              | CORP              | US        |     611820 | PA      | $591553.46    | 0.02%             | 2029-01-21      | Variable      | 9.73%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-E                                                                                      | CUSIP: 009740AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     449000 | PA      | $353958.69    | 0.01%             | 2060-12-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Woodmont Trust                                        | Woodmont 2017-2 Trust                                                                                                | CUSIP: 97988QAL8<br>LEI: 254900PE376ILSXG5546 | Long             | ABS-CBDO         | CORP              | US        |    1570000 | PA      | $1510372.97   | 0.05%             | 2033-04-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68852 | PA      | $67579.65     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242032 | PA      | $245366.38    | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                                                        | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1346000 | PA      | $950887.51    | 0.03%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82429 | PA      | $78220.29     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                                                       | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1760000 | PA      | $1327966.69   | 0.05%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-1 Ltd                                                                                        | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |    1856000 | PA      | $1797298.43   | 0.06%             | 2034-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                | Nationstar Mortgage Holdings Inc                                                                                     | CUSIP: 63861CAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     531000 | PA      | $410111.14    | 0.01%             | 2030-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                      | TRESTLES CLO 2017-1 Ltd                                                                                              | CUSIP: 89531FAU1<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $232139.75    | 0.01%             | 2032-04-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70708 | PA      | $67821.12     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                | Lendmark Funding Trust 2021-2                                                                                        | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     170000 | PA      | $128877.83    | 0.00%             | 2032-04-20      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2304656 | PA      | $1964645.03   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NBK TIER 1 FNC LTD                                    | NBK Tier 1 Ltd                                                                                                       | CUSIP: 62879NAA5<br>LEI: 5493000G4QCCEE8YHF19 | Long             | DBT              | CORP              | AE        |     318000 | PA      | $276937.93    | 0.01%             | 2026-08-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                  | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-4379.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390028 | PA      | $354641.24    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                        | JPN 10Y BOND(OSE) MAR23                                                                                              | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |       -114 | NC      | $2272978.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Romark CLO Ltd                                        | Romark WM-R Ltd                                                                                                      | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     247404 | PA      | $243577.11    | 0.01%             | 2031-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1880.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 77 CLO Ltd                                                                                                    | CUSIP: 26252VAS0<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |     610000 | PA      | $593207.31    | 0.02%             | 2034-05-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                             | CFK Trust 2019-FAX                                                                                                   | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     728000 | PA      | $614088.68    | 0.02%             | 2039-01-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193744 | PA      | $187200.74    | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY0YR295 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BRY0YR295 IRS JPY P F   .30290 2 CCPOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  861582705 | OU      | $334010.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31412RHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24627 | PA      | $24413.34     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28555 | PA      | $26701.53     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1723920 | PA      | $1416500.53   | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                   | Mastr Asset Backed Securities Trust 2007-HE1                                                                         | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     621846 | PA      | $473384.37    | 0.02%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO                                         | Voya Euro CLO V DAC                                                                                                  | CUSIP: 000000000<br>LEI: 549300IGE7MPYA8F0423 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $223871.40    | 0.01%             | 2035-04-15      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                                                     | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3854000 | PA      | $3491010.05   | 0.12%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                        | Halliburton Co                                                                                                       | CUSIP: 406216101<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | EC               | CORP              | US        |      23602 | NS      | $928738.70    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Equity Loan Trust                    | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES                                                | CUSIP: 23242YAT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     105820 | PA      | $105475.92    | 0.00%             | 2033-12-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                 | Tenet Healthcare Corp                                                                                                | CUSIP: 88033GDL1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     857000 | PA      | $742419.10    | 0.03%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD NOK                                                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $141.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED ZAR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $5322.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                 | VOLT CVI LLC                                                                                                         | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1979457 | PA      | $1828760.60   | 0.06%             | 2051-12-26      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138XPHS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234195 | PA      | $229842.76    | 0.01%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                   | Eaton Vance CLO 2019-1 Ltd                                                                                           | CUSIP: 27830VAG5<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $454601.50    | 0.02%             | 2031-04-15      | Floating      | 10.58%                | No            |                  2 | On Loan: No      |
| CIGNA CORP                                            | Cigna Corp                                                                                                           | CUSIP: 125523CM0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     500000 | PA      | $409191.79    | 0.01%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC                               | Sasol Financing USA LLC                                                                                              | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     600000 | PA      | $530440.30    | 0.02%             | 2026-09-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1053617 | PA      | $939755.36    | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                     | EURO STOXX BANK MAR23                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |       -395 | NC      | $-67897.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners Clo XII Ltd                                                                                  | CUSIP: 08179HAC4<br>LEI: 549300CIOPBDYOSN3T91 | Long             | ABS-CBDO         | CORP              | KY        |     270000 | PA      | $256036.68    | 0.01%             | 2030-10-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                                                      | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    3410000 | PA      | $3303159.93   | 0.12%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                              | OHA Credit Funding 3 LTD                                                                                             | CUSIP: 67112RAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     550000 | PA      | $536543.70    | 0.02%             | 2035-07-02      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                           | Long: BRY85BAP0 IRS PLN R V 03MWIBOR 1 CCPVANILLA / Short: BRY85BAP0 IRS PLN P F  6.87000 2 CCPVANILLA               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     895300 | OU      | $-6388.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31412TMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44323 | PA      | $44441.78     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                                                           | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21158200 | PA      | $17727086.00  | 0.62%             | 2053-01-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | United States Treasury Note/Bond                                                                                     | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1989000 | PA      | $1672702.38   | 0.06%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11327000 | PA      | $10896986.53  | 0.38%             | 2024-09-10      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| Bofa Securities, Inc                                  | Bofa Securities, Inc                                                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |    1054969 | PA      | $1054969.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority       | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                                                             | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |     270000 | PA      | $295503.61    | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                                                         | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1855000 | PA      | $1752347.38   | 0.06%             | 2033-08-09      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FRESNILLO PLC                                         | Fresnillo PLC                                                                                                        | CUSIP: 000000000<br>LEI: 549300JXWH1UV5J0XV81 | Long             | DBT              | CORP              | GB        |     218000 | PA      | $171624.74    | 0.01%             | 2050-10-02      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                | Full House Resorts Inc                                                                                               | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |     253000 | PA      | $223983.43    | 0.01%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWHEQ Home Equity Loan Trust Series 2006-S5                                                                          | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50984 | PA      | $60956.18     | 0.00%             | 2035-06-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4307777 | PA      | $3511101.14   | 0.12%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                    | Whitebox Clo I Ltd                                                                                                   | CUSIP: 96467FAQ3<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $468523.00    | 0.02%             | 2032-07-24      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2886163 | PA      | $2626026.95   | 0.09%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                 | Northrop Grumman Corp                                                                                                | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     968000 | PA      | $802164.54    | 0.03%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                                  | Western Digital Corp                                                                                                 | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     533000 | PA      | $412366.11    | 0.01%             | 2029-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                                                         | CUSIP: 20030NDN8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     365000 | PA      | $284189.23    | 0.01%             | 2031-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104308 | PA      | $97750.38     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                               | Entergy Mississippi LLC                                                                                              | CUSIP: 29366WAA4<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |     382000 | PA      | $291555.32    | 0.01%             | 2049-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ATENTO LUXCO 1 SA                                     | Atento Luxco 1 SA                                                                                                    | CUSIP: 000000000<br>LEI: 549300MLFF3HYCZQTC48 | Long             | DBT              | CORP              | LU        |      53000 | PA      | $28090.00     | 0.00%             | 2026-02-10      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                        | KKR Industrial Portfolio Trust 2021-KDIP                                                                             | CUSIP: 48254CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $387242.35    | 0.01%             | 2037-12-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2020-A                                                                                      | CUSIP: 00969WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     732499 | PA      | $713012.24    | 0.03%             | 2059-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                              | FactSet Research Systems Inc                                                                                         | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |    2033000 | PA      | $1704470.84   | 0.06%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                        | Long Beach Mortgage Loan Trust 2006-7                                                                                | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     531746 | PA      | $222991.27    | 0.01%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: BRTVTKUR3 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRTVTKUR3 CDS USD P F  5.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     250000 | OU      | $-7658.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                | Canyon CLO 2020-3 Ltd                                                                                                | CUSIP: 13876RAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     290000 | PA      | $279691.66    | 0.01%             | 2034-01-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43155 | PA      | $40334.16     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2006-OA4                                                                             | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3102478 | PA      | $977021.27    | 0.03%             | 2046-04-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Cantor Fitzgeral & Co                                 | Cantor Fitzgeral & Co                                                                                                | CUSIP: 000000000<br>LEI: 5493004J7H4GCPG6OB62 | Long             | RA               | CORP              | US        |    1000000 | PA      | $1000000.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     756664 | PA      | $712901.27    | 0.03%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29725 | PA      | $28129.83     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730291 | PA      | $677935.91    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                                                          | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5185000 | PA      | $4616648.09   | 0.16%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA9                                                                                      | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1575175 | PA      | $1161766.24   | 0.04%             | 2046-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3244148 | PA      | $2661683.04   | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                           | Equinix Inc                                                                                                          | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |    4632000 | PA      | $4115268.95   | 0.14%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                               | Philippine Government International Bond                                                                             | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    1834000 | PA      | $1706051.43   | 0.06%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                   | Buckeye Partners LP                                                                                                  | CUSIP: 118230AN1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     500000 | PA      | $481406.76    | 0.02%             | 2024-10-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279925 | PA      | $273365.34    | 0.01%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                                                        | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1138000 | PA      | $973321.78    | 0.03%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Apex Tool Group, LLC                                  | Apex Tool Group, LLC 2022 Term Loan                                                                                  | CUSIP: 03759DAK4<br>LEI: 549300LWC59TPOM4ZR02 | Long             | LON              | CORP              | US        |    1069236 | PA      | $928565.46    | 0.03%             | 2029-02-08      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED ZAR / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |          1 | NC      | $1605.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED USD / SOLD MXN                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $133.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121734 | PA      | $113834.89    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                              | United Airlines 2019-2 Class AA Pass Through Trust                                                                   | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     513024 | PA      | $413946.77    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                      | RELX Capital Inc                                                                                                     | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     789000 | PA      | $672344.23    | 0.02%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: BRYBXD1D5 CDS JPY R V 03MEVENT 1 CDX / Short: BRYBXD1D5 CDS JPY P F  1.00000 2 CDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | JP        |   69472800 | OU      | $-3276.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                  | YPF SA                                                                                                               | CUSIP: 000000000<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      19765 | PA      | $13114.08     | 0.00%             | 2033-09-30      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| MP Clo III, LTD                                       | MP CLO III LTD                                                                                                       | CUSIP: 553205AC9<br>LEI: 549300FWSFBNCWDD1P18 | Long             | ABS-CBDO         | CORP              | KY        |    1010000 | PA      | $993011.80    | 0.03%             | 2030-10-20      | Floating      | 5.49%                 | 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        |    1617000 | PA      | $1268443.60   | 0.04%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                                                         | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     371000 | PA      | $282547.45    | 0.01%             | 2032-11-24      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 33 Ltd                    | Octagon Investment Partners 33 Ltd                                                                                   | CUSIP: 675711AA3<br>LEI: 549300IDWDG12HO3TO90 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $247637.00    | 0.01%             | 2031-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Park Hotels & Resorts Inc                             | Park Hotels & Resorts Inc                                                                                            | CUSIP: 700517105<br>LEI: 5493005UZ5TQN0H6HS73 | Long             | EC               |  | US        |      24018 | NS      | $283172.22    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TVC Mortgage Trust 2020-RTL1                          | TVC Mortgage Trust 2020-RTL1                                                                                         | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114185 | PA      | $113799.17    | 0.00%             | 2024-09-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Henley CLO                                            | Henley CLO IV DAC                                                                                                    | CUSIP: 000000000<br>LEI: 6354009HFM8XXW6PPK55 | Long             | ABS-CBDO         | CORP              | IE        |     100000 | PA      | $96682.14     | 0.00%             | 2034-04-25      | Floating      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                                                           | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    4489000 | PA      | $3482738.62   | 0.12%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp                                 | Freedom Mortgage Corp                                                                                                | CUSIP: 35640YAA5<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     734000 | PA      | $675280.00    | 0.02%             | 2024-11-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2017-2                                                                        | CUSIP: 92258VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48491 | PA      | $38083.51     | 0.00%             | 2047-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                                                      | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1071803.88   | 0.04%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38923 | PA      | $22850.12     | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                                                                 | CUSIP: 46654CAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127472 | PA      | $99280.42     | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                                                      | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     610000 | PA      | $485507.91    | 0.02%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings, Inc                            | Triton Water Holdings, Inc Term Loan                                                                                 | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |     371346 | PA      | $346558.19    | 0.01%             | 2028-03-31      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42902 | PA      | $40051.70     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Element Solutions Inc                                 | Element Solutions Inc                                                                                                | CUSIP: 28618M106<br>LEI: 549300FLGN6P5CU20J91 | Long             | EC               | CORP              | US        |      25267 | NS      | $459606.73    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                                | CNH Industrial Capital LLC                                                                                           | CUSIP: 12592BAJ3<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |    2628000 | PA      | $2590268.60   | 0.09%             | 2024-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                           | Legacy Mortgage Asset Trust 2021-GS2                                                                                 | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3153088 | PA      | $2850048.00   | 0.10%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED USD / SOLD ZAR                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-447.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                              | CenterPoint Energy Houston Electric LLC                                                                              | CUSIP: 15189XAY4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     425000 | PA      | $326305.21    | 0.01%             | 2052-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                                                                 | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3782000 | PA      | $3313472.19   | 0.12%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277641 | PA      | $272626.34    | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | PURCHASED CAD / SOLD USD                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $414.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                 | Indonesia Government International Bond                                                                              | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    1965000 | PA      | $1410082.31   | 0.05%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: —       |
| Textron Inc                                           | Textron Inc                                                                                                          | CUSIP: 883203CA7<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    1540000 | PA      | $1394852.67   | 0.05%             | 2029-09-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1412106 | PA      | $1211444.62   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | Long: BRWWF00S7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BRWWF00S7 CDS USD P F  1.00000 2 SOVEREIGN                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |     526000 | OU      | $1704.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR10 Trust                                                                                | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     347919 | PA      | $275363.02    | 0.01%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| HSBC US GOVT FUND LEX                                 | HSBC US GOVT FUND LEX                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    1000000 | NS      | $1000000.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2021-IV Ltd                                                                                             | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1082744.30   | 0.04%             | 2033-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                  | Colombian TES                                                                                                        | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  758500000 | PA      | $110363.98    | 0.00%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | Long: SRY7NYGV3 IRS MXN R F 10.17000 2 CCPVANILLA / Short: SRY7NYGV3 IRS MXN P V 01MTIIE 1 CCPVANILLA                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   37346000 | OU      | $-11612.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                 | PRPM 2020-4 LLC                                                                                                      | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1078616 | PA      | $1040616.70   | 0.04%             | 2025-10-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 31402RA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90495 | PA      | $93048.20     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102827 | PA      | $101657.99    | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                         | PURCHASED USD / SOLD CLP                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2683.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122997 | PA      | $117278.75    | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | Long: BRYBVMS55 CDS JPY R V 03MEVENT 1 CDX / Short: BRYBVMS55 CDS JPY P F  1.00000 2 CDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | JP        |   46315200 | OU      | $-2184.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                                                                | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169394 | PA      | $158397.45    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                         | CITIBANK N.A.                                                                                                        | CUSIP: 17305T6C1<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | STIV             | CORP              | US        |    1842000 | PA      | $1828808.96   | 0.06%             | 2023-08-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Cenovus Energy Inc                                    | Cenovus Energy Inc                                                                                                   | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     623000 | PA      | $567530.63    | 0.02%             | 2037-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2004-HE7                                                                | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16229 | PA      | $15917.65     | 0.00%             | 2034-08-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140Q9ZW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2179738 | PA      | $2135407.80   | 0.08%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                     | EURO-BUND FUTURE MAR23                                                                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -1 | NC      | $9536.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                                                    | CUSIP: 36177Q6Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104347 | PA      | $98134.77     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1067704 | PA      | $1047905.59   | 0.04%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                    | Panama Government International Bond                                                                                 | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    1279000 | PA      | $1201815.92   | 0.04%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406547 | PA      | $391163.92    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1632274 | PA      | $1375885.04   | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co                | Prodigy Finance CM2021-1 DAC                                                                                         | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |     665320 | PA      | $642866.89    | 0.02%             | 2051-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50272 | PA      | $48088.54     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                                                     | CUSIP: 3132DMRG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     337988 | PA      | $311163.51    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2005-4                                                                                | CUSIP: 07324SCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68458 | PA      | $62310.46     | 0.00%             | 2036-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                                                                   | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3292000 | PA      | $2630080.29   | 0.09%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                                                                   | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143605 | PA      | $133845.65    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                              | CSX Corp                                                                                                             | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     611000 | PA      | $439590.98    | 0.02%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164632 | PA      | $158102.82    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2018-D                                                                                      | CUSIP: 00968EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6454 | PA      | $4456.76      | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1B PTT                                | Air Canada 2017-1 Class B Pass Through Trust                                                                         | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       6085 | PA      | $5546.33      | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                                                                  | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     786000 | PA      | $595841.90    | 0.02%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| SONDER WARRANTS EQUITY                                | SONDER WARRANTS EQUITY                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      20820 | NS      | $208.20       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Aqua Finance Trust                                    | Aqua Finance Trust 2021-A                                                                                            | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     430000 | PA      | $361962.26    | 0.01%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc                                     | DT Midstream, Inc Term Loan B                                                                                        | CUSIP: 23345NAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     286318 | PA      | $287113.57    | 0.01%             | 2028-06-26      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2013-IV Ltd                                                                                             | CUSIP: 12549FBP3<br>LEI: 549300QSQ98IRWUWDV20 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243762.50    | 0.01%             | 2031-04-27      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                              | Long: BRW2VGNQ9 CDS USD R V 03MEVENT 1 CORPORATE / Short: BRW2VGNQ9 CDS USD P F  5.00000 2 CORPORATE                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     460000 | OU      | $-21027.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding VI CLO Ltd                                                                                             | CUSIP: 15032DAR2<br>LEI: 549300PQ60B57EBTK013 | Long             | ABS-CBDO         | CORP              | KY        |    3020000 | PA      | $2916084.82   | 0.10%             | 2034-04-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                                                        | CUSIP: 059165EP1<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     305000 | PA      | $269368.12    | 0.01%             | 2052-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                                                      | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386597 | PA      | $358634.67    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Brighthouse Funds Trust II

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer