# EDGAR Filing Document

**Accession Number:** 0000889284
**File Stem:** 0001752724-23-046766
**Filing Date:** 2023-2
**Character Count:** 142837
**Document Hash:** eb445f5d0febfcbf1798c48d118ef4b1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046766.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046766

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** STERLING CAPITAL FUNDS
- **CENTRAL INDEX KEY:** 0000889284
- **IRS NUMBER:** 043331055
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06719
- **FILM NUMBER:** 23683020

**BUSINESS ADDRESS:**
- **STREET 1:** 3605 GLENWOOD AVENUE
- **STREET 2:** SUITE 100
- **CITY:** RALEIGH
- **STATE:** NC
- **ZIP:** 27612
- **BUSINESS PHONE:** 8002281872

**MAIL ADDRESS:**
- **STREET 1:** 3605 GLENWOOD AVENUE
- **STREET 2:** SUITE 100
- **CITY:** RALEIGH
- **STATE:** NC
- **ZIP:** 27612

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BB&T FUNDS /
- **DATE OF NAME CHANGE:** 20010419

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BB&T MUTUAL FUNDS GROUP
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### Sterling Capital Quality Income Fund (Series ID: S000033167)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000123271 | A Class             | SCSSX           |
| C000123272 | C Class             | SCSTX           |
| C000123273 | Institutional Class | SCSPX           |

## Nport-Ex

Sterling

Capital

Quality

Income

Fund

Schedule

of

Portfolio

Investments

December

31,

2022

(Unaudited)

See

accompanying

Notes

to

the

Schedule

of

Portfolio

Investments.

Principal

Amount

Fair

Value

ASSET

BACKED

SECURITIES

—

18.9%

$

10,965

Aegis

Asset

Backed

Securities

Trust,

Series

2005-5,

Class

1A4,

5.089%,

(LIBOR

USD

1-Month

plus

0.70%),

12/25/35(a)

(b) ...........................

$

10,944

342,310

AmeriCredit

Automobile

Receivables

Trust,

Series

2019-2,

Class

C,

2.740%,

4/18/25

.......................

338,912

297,000

AmeriCredit

Automobile

Receivables

Trust,

Series

2020-3,

Class

B,

0.760%,

12/18/25

.......................

286,510

405,000

AmeriCredit

Automobile

Receivables

Trust,

Series

2021-2,

Class

B,

0.690%,

1/19/27

.......................

379,798

361,698

ARI

Fleet

Lease

Trust,

Series

2020-A,

Class

A3,

1.800%,

8/15/28(c)

........

360,765

170,000

ARI

Fleet

Lease

Trust,

Series

2021-A,

Class

A3,

0.680%,

3/15/30(c)

........

158,728

470,000

ARI

Fleet

Lease

Trust,

Series

2022-A,

Class

A3,

3.430%,

1/15/31(c)

........

452,263

285,000

Avis

Budget

Rental

Car

Funding

AESOP,

LLC,

Series

2019-2A,

Class

A,

3.350%,

9/22/25(c)

.....................

275,420

200,000

Avis

Budget

Rental

Car

Funding

AESOP,

LLC,

Series

2019-3A,

Class

A,

2.360%,

3/20/26(c)

.....................

186,245

850,000

Avis

Budget

Rental

Car

Funding

AESOP,

LLC,

Series

2021-1A,

Class

A,

1.380%,

8/20/27(c)

.....................

740,906

550,000

Carvana

Auto

Receivables

Trust,

Series

2021-P1,

Class

A4,

0.860%,

1/11/27

...

500,800

509,000

Carvana

Auto

Receivables

Trust,

Series

2021-P2,

Class

B,

1.270%,

3/10/27

....

439,959

600,000

Carvana

Auto

Receivables

Trust,

Series

2021-P3,

Class

B,

1.420%,

8/10/27

....

504,667

316,961

Chesapeake

Funding

II,

LLC,

Series

2020-

1A,

Class

A1,

0.870%,

8/15/32(c)

.....

312,549

351,139

Chesapeake

Funding

II,

LLC,

Series

2021-

1A,

Class

A1,

0.470%,

4/15/33(c)

.....

345,595

620,000

Citibank

Credit

Card

Issuance

Trust,

Series

2007-A3,

Class

A3,

6.150%,

6/15/39(b)

682,272

Citicorp

Residential

Mortgage

Trust,

STEP,

Series

2007-2,

Class

A6,

4.730%,

6/25/37

.......................

500,000

Enterprise

Fleet

Financing,

LLC,

Series

2019-2,

Class

A3,

2.380%,

2/20/25(c)

..

498,431

451,150

Enterprise

Fleet

Financing,

LLC,

Series

2020-2,

Class

A2,

0.610%,

7/20/26(c)

..

439,567

300,000

Enterprise

Fleet

Financing,

LLC,

Series

2021-2,

Class

A3,

0.740%,

5/20/27(c)

..

271,217

410,000

Enterprise

Fleet

Financing,

LLC,

Series

2021-3,

Class

A3,

1.220%,

8/20/27(c)

..

367,463

375,000

Enterprise

Fleet

Funding,

LLC,

Series

2021-1,

Class

A3,

0.700%,

12/21/26(c)

.

347,836

281,685

Fifth

Third

Auto

Trust,

Series

2019-1,

Class

A4,

2.690%,

11/16/26

.............

281,470

Principal

Amount

Fair

Value

ASSET

BACKED

SECURITIES

—

(continued)

$

642,000

Ford

Credit

Auto

Owner

Trust

2020-

REV2,

Series

2020-2,

Class

A,

1.060%,

4/15/33(b)

.....................

$

575,368

415,000

Ford

Credit

Auto

Owner

Trust

2021-

REV2,

Series

2021-2,

Class

A,

1.530%,

5/15/34(c)

.....................

360,234

339,723

GreatAmerica

Leasing

Receivables

Funding,

LLC,

Series

2021-1,

Class

A3,

0.340%,

8/15/24(c)

...............

330,646

205,000

GreatAmerica

Leasing

Receivables

Funding,

LLC,

Series

2021-1,

Class

A4,

0.550%,

12/15/26(c)

..............

189,766

1,295,000

Hertz

Vehicle

Financing

III

L.P.,

Series

2021-2A,

Class

A,

1.680%,

12/27/27(c)

1,128,550

750,000

OneMain

Direct

Auto

Receivables

Trust

2021-1,

Series

2021-1A,

Class

A,

0.870%,

7/14/28(c)

...............

693,675

225,045

OneMain

Financial

Issuance

Trust,

Series

2020-1A,

Class

A,

3.840%,

5/14/32(c)

.

223,404

630,000

OneMain

Financial

Issuance

Trust

2019-

2,

Series

2019-2A,

Class

A,

3.140%,

10/14/36(b)(c)

..................

563,018

480,000

OneMain

Financial

Issuance

Trust

2021-1,

Series

2021-1A,

Class

A1,

1.550%,

6/16/36(b)(c)

...................

408,976

434,723

Santander

Drive

Auto

Receivables

Trust,

Series

2020-3,

Class

C,

1.120%,

1/15/26

430,823

154,356

Saxon

Asset

Securities

Trust,

Series

2004-

3,

Class

M1,

5.289%,

(LIBOR

USD

1-Month

plus

0.90%),

12/26/34(a)

....

144,437

345,142

SoFi

Professional

Loan

Program

Trust,

Series

2020-A,

Class

A2FX,

2.540%,

5/15/46(b)(c)

...................

312,587

750,000

Toyota

Auto

Loan

Extended

Note

Trust

2021-1,

Series

2021-1A,

Class

A,

1.070%,

2/27/34(b)

...............

665,444

1,000,000

Toyota

Auto

Loan

Extended

Note

Trust

2022-1,

Series

2022-1A,

Class

A,

3.820%,

4/25/35(c)

...............

948,672

49,190

U.S.

Small

Business

Administration,

Series

2010-20D,

Class

1,

4.360%,

4/1/30(b)(c)

47,504

215,000

Wheels

SPV

2,

LLC,

Series

2020-1A,

Class

A3,

0.620%,

8/20/29(c)

........

205,165

Total

Asset

Backed

Securities

(Cost

$16,635,323)

...............

15,410,898

COLLATERALIZED

MORTGAGE

OBLIGATIONS

—

19.5%

375,741

Chase

Home

Lending

Mortgage

Trust,

Series

2019-ATR2,

Class

A3,

3.500%,

7/25/49(c)(d)

...................

334,843

25,768

Citicorp

Mortgage

Securities,

Inc.,

Series

2005-1,

Class

1A4,

5.500%,

2/25/35

...

23,495

Sterling

Capital

Quality

Income

Fund

Schedule

of

Portfolio

Investments

—

(continued)

December

31,

2022

(Unaudited)

Continued

Principal

Amount

Fair

Value

COLLATERALIZED

MORTGAGE

OBLIGATIONS

—

(continued)

$

9,227

Citigroup

Mortgage

Loan

Trust,

Inc.,

Series

2004-NCM2,

Class

3CB2,

6.500%,

8/25/19

.......................

$

9,124

29,595

Countrywide

Home

Loan

Mortgage

Pass-

Through

Trust,

Series

2004-3,

Class

A4,

5.750%,

4/25/34

.................

28,263

59,362

Credit

Suisse

First

Boston

Mortgage-

Backed

Pass-Through

Certificates,

Series

2004-1,

Class

2A1,

6.500%,

2/25/34

...

58,264

43,037

Fannie

Mae,

Series

2003-19,

Class

AR,

5.500%,

3/25/33

.................

43,246

192,600

Fannie

Mae,

Series

2003-21,

Class

OW,

4.000%,

3/25/33

.................

184,297

682,000

Fannie

Mae,

Series

2008-2,

Class

PH,

5.500%,

2/25/38

.................

697,670

527,000

Fannie

Mae,

Series

2009-28,

Class

HX,

5.000%,

5/25/39

.................

530,396

825,833

Fannie

Mae,

Series

2010-150,

Class

YL,

4.000%,

1/25/41

.................

761,463

800,000

Fannie

Mae,

Series

2011-131,

Class

PB,

4.500%,

12/25/41

................

782,108

176,985

Fannie

Mae,

Series

2011-74,

Class

QM,

4.500%,

11/25/40

................

174,596

1,034,000

Fannie

Mae,

Series

2013-30,

Class

PY,

3.000%,

4/25/43(e)

...............

977,490

441,551

Fannie

Mae,

Series

2013-91,

Class

DV,

3.000%,

10/25/26

................

425,683

142,664

Fannie

Mae,

Series

2016-85,

Class

GA,

2.500%,

10/25/45

................

128,163

61,798

Fannie

Mae,

Series

2017-26,

Class

CD,

3.500%,

1/25/43

.................

61,511

870,000

Fannie

Mae,

Series

2017-42,

Class

HL,

3.000%,

6/25/47

.................

775,333

348,227

Fannie

Mae,

Series

2020-10,

Class

Q,

3.000%,

3/25/50

.................

308,853

73,095

Freddie

Mac,

Series

2485,

Class

WG,

6.000%,

8/15/32

.................

74,714

141,573

Freddie

Mac,

Series

2768,

Class

PC,

4.000%,

3/15/34

.................

136,812

110,286

Freddie

Mac,

Series

3042,

Class

PZ,

5.750%,

9/15/35

.................

116,665

99,602

Freddie

Mac,

Series

3440,

Class

EM,

5.000%,

4/15/38

.................

99,967

500,000

Freddie

Mac,

Series

3714,

Class

PB,

4.750%,

8/15/40(b)

...............

501,369

12,490

Freddie

Mac,

Series

3803,

Class

PJ,

4.250%,

1/15/41

.................

12,345

200,000

Freddie

Mac,

Series

3815,

Class

TB,

4.500%,

2/15/41

.................

191,674

137,158

Freddie

Mac,

Series

3816,

Class

HM,

4.500%,

5/15/40

.................

134,137

990,000

Freddie

Mac,

Series

3895,

Class

PW,

4.500%,

7/15/41

.................

972,119

Principal

Amount

Fair

Value

COLLATERALIZED

MORTGAGE

OBLIGATIONS

—

(continued)

$

330,711

Freddie

Mac,

Series

3989,

Class

JW,

3.500%,

1/15/42(b)(c)

.............

$

309,269

338,000

Freddie

Mac,

Series

4088,

Class

CD,

3.000%,

8/15/42

.................

274,368

300,000

Freddie

Mac,

Series

4094,

Class

ME,

2.500%,

8/15/42

.................

255,135

215,000

Freddie

Mac,

Series

4097,

Class

CU,

1.500%,

8/15/27

.................

190,714

628,000

Freddie

Mac,

Series

4135,

Class

AY,

2.000%,

11/15/42

................

485,186

455,194

Freddie

Mac,

Series

4136,

Class

HZ,

3.500%,

11/15/27

................

425,765

119,000

Freddie

Mac,

Series

4160,

Class

HH,

2.500%,

12/15/32(b)

..............

106,865

133,882

Freddie

Mac,

Series

4173,

Class

NB,

3.000%,

3/15/43

.................

121,499

99,776

Freddie

Mac,

Series

4215,

Class

LD,

2.000%,

7/15/41

.................

93,565

39,224

Freddie

Mac,

Series

4293,

Class

MH,

3.000%,

12/15/41

................

36,946

1,000,000

Freddie

Mac,

Series

4507,

Class

GB,

3.000%,

9/15/45

.................

849,363

84,830

Freddie

Mac,

Series

4650,

Class

BC,

3.500%,

5/15/43(b)

...............

84,451

841,468

Freddie

Mac,

Series

4941,

Class

MB,

3.000%,

7/25/49

.................

745,892

410,563

Freddie

Mac,

Series

5115,

Class

G,

2.500%,

9/25/50

.................

342,692

250,446

Freddie

Mac

Strips,

Series

219,

Class

PO,

3/1/32

........................

216,694

56,352

Ginnie

Mae,

Series

2004-69,

Class

GC,

5.500%,

4/20/34

.................

57,248

482,970

Ginnie

Mae,

Series

2005-60,

Class

WZ,

5.500%,

9/20/35

.................

486,613

706

Ginnie

Mae,

Series

2010-85,

Class

DQ,

3.000%,

12/20/39

................

704

750,000

Ginnie

Mae,

Series

2011-135,

Class

PG,

3.000%,

10/16/41

................

652,138

612,000

Ginnie

Mae,

Series

2017-75,

Class

DL,

3.000%,

3/20/47

.................

528,561

800,000

Ginnie

Mae,

Series

2019-6,

Class

JK,

3.500%,

1/20/49

.................

715,101

279,993

JP

Morgan

Mortgage

Trust,

Series

2017-5,

Class

A1B,

3.211%,

10/26/48(c)(d)

...

266,215

143,622

MASTR

Alternative

Loan

Trust,

Series

2003-5,

Class

8A1,

5.500%,

6/25/33(b)

.

133,268

20,916

MASTR

Alternative

Loan

Trust,

Series

2004-13,

Class

3A1,

6.500%,

1/25/35(b)

15,370

Total

Collateralized

Mortgage

Obligations

(Cost

$17,441,363)

...............

15,938,222

Sterling

Capital

Quality

Income

Fund

Schedule

of

Portfolio

Investments

—

(continued)

December

31,

2022

(Unaudited)

Continued

Principal

Amount

Fair

Value

COMMERCIAL

MORTGAGE-BACKED

SECURITIES

—

23.8%

$

250,000

BANK

2020-BNK29,

Series

2020-BN29,

Class

A4,

1.997%,

11/15/53

.........

$

198,574

325,000

BBCMS

Mortgage

Trust,

Series

2020-C7,

Class

A5,

2.037%,

4/15/53

..........

265,197

589,492

Benchmark

Mortgage

Trust,

Series

2020-

B18,

Class

A5,

1.925%,

7/15/53

......

476,443

1,250,000

Benchmark

Mortgage

Trust,

Series

2020-

B21,

Class

A5,

1.978%,

12/17/53(b)

...

999,797

270,000

BX

2021-LBA3

Mortgage

Trust,

Series

2021-PAC,

Class

C,

5.417%,

(LIBOR

USD

1-Month

plus

1.10%),

10/15/36(a)

(c) ...........................

253,748

200,408

BX

Commercial

Mortgage

Trust,

Series

2021-21M,

Class

C,

5.495%,

(LIBOR

USD

1-Month

plus

1.18%),

10/15/36(a)

(c) ...........................

187,906

277,000

BX

Commercial

Mortgage

Trust,

Series

2021-ACNT,

Class

C,

5.818%,

(LIBOR

USD

1-Month

plus

1.50%),

11/15/38(a)

(c) ...........................

263,085

313,000

BX

Commercial

Mortgage

Trust,

Series

2021-CIP,

Class

C,

5.789%,

(LIBOR

USD

1-Month

plus

1.47%),

12/15/38(a)

(c) ...........................

297,302

212,218

BX

Commercial

Mortgage

Trust,

Series

2021-XL2,

Class

C,

5.515%,

(LIBOR

USD

1-Month

plus

1.20%),

10/15/38(a)

(c) ...........................

201,307

340,719

BX

Commercial

Mortgage

Trust,

Series

2022-LP2,

Class

B,

5.648%,

(TSFR1M

plus

1.31%),

2/15/39(a)(c)

..........

323,135

275,000

BX

Trust,

Series

2021-RISE,

Class

C,

5.768%,

(LIBOR

USD

1-Month

plus

1.45%),

11/15/36(a)(c)

............

260,000

589,000

CD

Mortgage

Trust,

Series

2016-CD2,

Class

A4,

3.526%,

11/10/49(b)(d)

.....

548,167

700,000

CD

Mortgage

Trust,

Series

2017-CD3,

Class

A4,

3.631%,

2/10/50

..........

651,782

100,000

CFCRE

Commercial

Mortgage

Trust,

Series

2016-C7,

Class

A3,

3.839%,

12/10/54

.......................

93,270

365,000

Citigroup

Commercial

Mortgage

Trust,

Series

2013-GC15,

Class

A4,

4.371%,

9/10/46(d)

.....................

361,237

405,000

Citigroup

Commercial

Mortgage

Trust,

Series

2013-GC17,

Class

AS,

4.544%,

11/10/46(b)

....................

395,887

500,000

Citigroup

Commercial

Mortgage

Trust,

Series

2015-GC33,

Class

A4,

3.778%,

9/10/58

.......................

476,208

75,000

COMM

2013-CCRE11

Mortgage

Trust,

Series

2013-CR11,

Class

A4,

4.258%,

8/10/50

.......................

74,173

Principal

Amount

Fair

Value

COMMERCIAL

MORTGAGE-BACKED

SECURITIES

—

(continued)

$

75,000

COMM

2013-CCRE13

Mortgage

Trust,

Series

2013-CR13,

Class

A4,

4.194%,

11/10/46(d)

....................

$

73,684

350,000

COMM

2014-CCRE15

Mortgage

Trust,

Series

2014-CR15,

Class

A4,

4.074%,

2/10/47(d)

.....................

343,425

500,000

COMM

2014-CCRE18

Mortgage

Trust,

Series

2014-CR18,

Class

A5,

3.828%,

7/15/47(b)

.....................

485,182

266,000

COMM

Mortgage

Trust,

Series

2014-

CR20,

Class

A4,

3.590%,

11/10/47

....

256,572

153,000

COMM

Mortgage

Trust,

Series

2014-

UBS2,

Class

A5,

3.961%,

3/10/47

....

149,530

455,000

COMM

Mortgage

Trust,

Series

2014-

UBS4,

Class

A5,

3.694%,

8/10/47

....

440,011

250,000

COMM

Mortgage

Trust,

Series

2017-

COR2,

Class

A3,

3.510%,

9/10/50(b)

..

229,950

500,000

CSAIL

Commercial

Mortgage

Trust,

Series

2015-C3,

Class

A4,

3.718%,

8/15/48(b)

476,269

251,000

ELP

Commercial

Mortgage

Trust,

Series

2021-ELP,

Class

C,

5.638%,

(LIBOR

USD

1-Month

plus

1.32%),

11/15/38(a)

(c) ...........................

238,411

1,000,000

Freddie

Mac

Multifamily

Structured

Pass

Through

Certificates,

Series

K1522,

Class

A2,

2.361%,

10/25/36

.........

760,952

140,000

Freddie

Mac

Multifamily

Structured

Pass

Through

Certificates,

Series

K159,

Class

A2,

3.950%,

11/25/30(d)

...........

133,144

285,756

FRESB

Mortgage

Trust,

Series

2017-SB36,

Class

A10F,

2.880%,

7/25/27(b)(d)

....

262,047

690,900

Ginnie

Mae,

Series

2014-126,

Class

A,

2.500%,

11/16/46

................

652,704

398,555

Ginnie

Mae,

Series

2019-79,

Class

V,

2.800%,

3/16/29

.................

369,906

25,021

GS

Mortgage

Securities

Trust,

Series

2010-

C1,

Class

B,

5.148%,

8/10/43(c)

......

24,690

300,000

GS

Mortgage

Securities

Trust,

Series

2013-

GC14,

Class

A5,

4.243%,

8/10/46(b)

..

297,028

85,000

GS

Mortgage

Securities

Trust,

Series

2014-

GC24,

Class

A5,

3.931%,

9/10/47

....

82,130

500,000

GS

Mortgage

Securities

Trust,

Series

2016-

GS4,

Class

A4,

3.442%,

11/10/49(b)(d)

465,552

64,000

GS

Mortgage

Securities

Trust,

Series

2020-

GC47,

Class

A5,

2.377%,

5/12/53

....

52,968

500,000

GS

Mortgage

Securities

Trust,

Series

2020-

GSA2,

Class

A5,

2.012%,

12/12/53(b)

.

393,129

170,887

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2011-C3,

Class

B,

5.013%,

2/15/46(c)(d)

...........

163,495

116,487

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2013-C13,

Class

A4,

3.994%,

1/15/46(d)

............

115,497

Sterling

Capital

Quality

Income

Fund

Schedule

of

Portfolio

Investments

—

(continued)

December

31,

2022

(Unaudited)

Continued

Principal

Amount

Fair

Value

COMMERCIAL

MORTGAGE-BACKED

SECURITIES

—

(continued)

$

279,094

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2013-LC11,

Class

A5,

2.960%,

4/15/46

..........

$

277,069

500,000

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2014-C20,

Class

A5,

3.805%,

7/15/47(b)

............

485,601

185,000

JP

Morgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2016-JP4,

Class

A4,

3.648%,

12/15/49(d)

...........

172,810

274,000

Med

Trust,

Series

2021-MDLN,

Class

C,

6.118%,

(LIBOR

USD

1-Month

plus

1.80%),

11/15/38(a)(c)

............

260,314

100,000

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust,

Series

2014-C18,

Class

A4,

3.923%,

10/15/47(b)

..............

96,680

300,167

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust,

Series

2014-C19,

Class

A4,

3.526%,

12/15/47

................

287,577

500,000

Morgan

Stanley

Bank

of

America

Merrill

Lynch

Trust,

Series

2016-C32,

Class

A4,

3.720%,

12/15/49(b)

..............

468,550

435,000

Morgan

Stanley

Capital

I

Trust,

Series

2018-H3,

Class

A5,

4.177%,

7/15/51

..

410,559

659,333

Morgan

Stanley

Capital

I

Trust,

Series

2020-HR8,

Class

A4,

2.041%,

7/15/53

.

531,464

205,612

OPG

Trust,

Series

2021-PORT,

Class

C,

5.150%,

(LIBOR

USD

1-Month

plus

0.83%),

10/15/36(a)(c)

............

192,205

245,006

SMR

Mortgage

Trust,

Series

2022-IND,

Class

A,

5.986%,

(TSFR1M

plus

1.65%),

2/15/39(a)(c)

...................

231,490

600,000

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2014-LC18,

Class

A5,

3.405%,

12/15/47

.......................

572,787

644,000

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2015-P2,

Class

A4,

3.809%,

12/15/48

.......................

612,897

50,000

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2016-C37,

Class

A5,

3.794%,

12/15/49

.......................

47,181

300,000

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2017-C40,

Class

A4,

3.581%,

10/15/50

.......................

278,132

220,800

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2020-C56,

Class

A5,

2.448%,

6/15/53

.......................

183,840

500,000

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2020-C57,

Class

A4,

2.118%,

8/15/53

.......................

405,595

300,000

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2020-C58,

Class

A4,

2.092%,

7/15/53

.......................

240,140

Principal

Amount

Fair

Value

COMMERCIAL

MORTGAGE-BACKED

SECURITIES

—

(continued)

$

75,628

WFRBS

Commercial

Mortgage

Trust,

Series

2013-UBS1,

Class

A4,

4.079%,

3/15/46(d)

.....................

$

74,303

475,000

WFRBS

Commercial

Mortgage

Trust,

Series

2014-C20,

Class

AS,

4.176%,

5/15/47

.......................

458,143

302,000

WFRBS

Commercial

Mortgage

Trust,

Series

2014-C23,

Class

A5,

3.917%,

10/15/57

.......................

292,658

Total

Commercial

Mortgage-Backed

Securities

(Cost

$21,689,472)

...............

19,373,489

CORPORATE

BONDS

—

0.8%

Diversified

Telecommunication

Services

—

0.5%

421,875

Sprint

Spectrum

Co.,

LLC/Sprint

Spectrum

Co.

II,

LLC/Sprint

Spectrum

Co.

III,

LLC,

4.738%,

3/20/25(b)(c)

.........

417,066

Equity

Real

Estate

Investment

Trusts

(REITS)

—

0.3%

250,000

American

Tower

Trust,

3.652%,

3/23/28(b)

(c) ...........................

226,532

Total

Corporate

Bonds

(Cost

$684,634)

.................

643,598

MORTGAGE-BACKED

SECURITIES

—

31.5%

Fannie

Mae

—

16.4%

117,943

3.000%,

1/1/31,

Pool

#BA6574

........

112,933

337,446

4.500%,

3/1/34,

Pool

#CA3294

........

337,839

303,629

2.500%,

11/1/35,

Pool

#CA7939

.......

278,264

64,727

5.500%,

6/1/38,

Pool

#984277(b)

.......

66,941

31,860

5.500%,

8/1/38,

Pool

#995072

.........

33,062

40,558

4.500%,

9/1/39,

Pool

#AC1830

........

40,248

37,940

4.500%,

10/1/40,

Pool

#AE4855

.......

37,649

75,900

3.500%,

2/1/41,

Pool

#AH5646

........

71,142

117,091

4.000%,

3/1/41,

Pool

#AH4008

........

112,590

347,116

2.500%,

5/1/41,

Pool

#MA4334

........

305,784

30,215

4.500%,

6/1/41,

Pool

#AC9298

........

29,984

88,409

5.000%,

7/1/41,

Pool

#AI5595

.........

89,602

148,900

4.000%,

9/1/41,

Pool

#AJ1717

........

143,170

115,436

3.500%,

6/1/42,

Pool

#AB5373

........

108,209

37,450

4.500%,

10/1/44,

Pool

#MA2066

.......

36,828

119,320

4.000%,

12/1/44,

Pool

#MA2127

.......

114,434

118,188

4.500%,

1/1/45,

Pool

#MA2158

........

116,223

143,327

3.500%,

3/1/45,

Pool

#AS4552

........

133,612

130,440

4.000%,

10/1/45,

Pool

#AL7487

.......

125,097

891,999

3.000%,

10/1/46,

Pool

#BC4764

.......

799,665

88,994

4.000%,

11/1/46,

Pool

#MA2808

.......

85,220

115,957

3.000%,

2/1/47,

Pool

#BE2329

........

103,702

69,200

4.000%,

5/1/47,

Pool

#BE9598

........

66,172

60,502

4.500%,

11/1/47,

Pool

#BM3286

.......

60,406

Sterling

Capital

Quality

Income

Fund

Schedule

of

Portfolio

Investments

—

(continued)

December

31,

2022

(Unaudited)

Continued

Principal

Amount

Fair

Value

MORTGAGE-BACKED

SECURITIES

—

(continued)

Fannie

Mae

—

(continued)

$

213,320

3.500%,

12/1/47,

Pool

#CA0833

.......

$

197,892

69,332

4.500%,

5/1/48,

Pool

#CA1711

........

67,892

96,138

3.500%,

9/1/49,

Pool

#BJ9608

.........

88,479

214,968

3.500%,

6/1/50,

Pool

#CA6097

........

196,909

220,419

3.000%,

7/1/50,

Pool

#CA6421

........

194,519

215,864

3.000%,

7/1/50,

Pool

#CA6422

........

190,300

559,720

2.500%,

8/1/50,

Pool

#FM4053

........

480,319

351,588

2.500%,

8/1/50,

Pool

#FM4055

........

300,118

860,712

3.000%,

8/1/50,

Pool

#FS0973

........

771,902

435,679

2.500%,

10/1/50,

Pool

#FM4702

.......

371,360

512,307

2.500%,

3/1/51,

Pool

#FM6523

........

437,521

367,195

3.000%,

5/1/51,

Pool

#FM7346

........

323,267

1,130,684

2.500%,

8/1/51,

Pool

#FM8438

........

967,355

1,364,438

4.000%,

8/1/51,

Pool

#FS1976

........

1,299,943

333,743

3.000%,

11/1/51,

Pool

#CB2170

.......

293,345

894,410

3.500%,

2/1/52,

Pool

#MA4550

........

815,046

1,056,535

3.000%,

3/1/52,

Pool

#BV4143

........

939,175

773,278

3.500%,

4/1/52,

Pool

#FS1185

........

704,580

719,137

3.500%,

4/1/52,

Pool

#FS1260

........

658,513

706,524

4.500%,

6/1/52,

Pool

#FS2157

........

687,779

13,394,990

Freddie

Mac

—

15.1%

43,100

4.000%,

11/1/32,

Pool

#ZS8993

.......

41,769

198,850

3.500%,

5/1/35,

Pool

#ZA2378

........

190,354

143,147

4.000%,

5/1/37,

Pool

#ZA2461

........

138,001

20,154

5.500%,

10/1/39,

Pool

#ZI9359

........

20,834

34,380

5.000%,

4/1/40,

Pool

#ZI9910

.........

34,845

57,136

5.500%,

4/1/40,

Pool

#ZA1042

........

59,277

24,484

5.000%,

8/1/40,

Pool

#ZA1056

........

24,815

62,759

4.000%,

11/1/40,

Pool

#ZJ0654

........

60,205

77,584

4.000%,

12/1/40,

Pool

#ZJ0811

........

74,600

162,192

3.500%,

8/1/42,

Pool

#ZL3508

........

152,220

608,339

3.000%,

12/1/42,

Pool

#Q14108

.......

556,707

210,838

3.500%,

3/1/43,

Pool

#ZT1107

........

197,215

873,217

3.500%,

1/1/45,

Pool

#SD1309

........

816,956

162,512

3.500%,

1/1/45,

Pool

#ZL8964

........

151,761

123,283

3.500%,

3/1/45,

Pool

#ZT1164

........

115,189

96,024

3.000%,

1/1/46,

Pool

#ZS4646

........

86,284

96,774

4.000%,

4/1/46,

Pool

#ZM1015

........

92,788

101,719

3.500%,

12/1/47,

Pool

#ZM5123

.......

94,368

257,684

2.500%,

11/1/49,

Pool

#QA4396

.......

220,678

122,335

3.000%,

1/1/50,

Pool

#QA6230

........

108,431

540,842

3.000%,

6/1/51,

Pool

#SD8152

........

476,051

710,420

2.500%,

7/1/51,

Pool

#QC4230

........

612,139

398,617

3.000%,

7/1/51,

Pool

#RA5552

........

350,885

308,842

3.500%,

7/1/51,

Pool

#RA5549

........

281,887

1,071,097

3.000%,

8/1/51,

Pool

#SD8162

........

942,614

1,047,401

2.500%,

9/1/51,

Pool

#RA5921

........

889,922

597,945

3.500%,

1/1/52,

Pool

#RA6531

........

544,708

467,264

3.000%,

2/1/52,

Pool

#SD8195

........

410,907

951,819

3.500%,

4/1/52,

Pool

#SD0957

........

866,592

782,847

4.500%,

6/1/52,

Pool

#SD1265

........

757,392

1,212,806

4.500%,

8/1/52,

Pool

#SD1515

........

1,169,389

797,284

5.000%,

10/1/52,

Pool

#SD1710

.......

789,856

Principal

Amount

Fair

Value

MORTGAGE-BACKED

SECURITIES

—

(continued)

Freddie

Mac

—

(continued)

$

990,435

5.000%,

11/1/52,

Pool

#SD1727

.......

$

984,240

12,313,879

Ginnie

Mae

—

0.0%

7,654

4.000%,

12/20/40,

Pool

#755678

.......

7,424

Total

Mortgage-Backed

Securities

(Cost

$28,488,393)

...............

25,716,293

U.S.

TREASURY

BONDS

—

1.2%

1,000,000

2.375%,

2/15/42

.................

768,984

315,000

1.875%,

11/15/51(b)

..............

201,526

Total

U.S.

Treasury

Bonds

(Cost

$1,273,306)

................

970,510

U.S.

TREASURY

NOTES

—

3.1%

1,250,000

0.875%,

9/30/26

.................

1,111,426

650,000

1.375%,

11/15/31

................

530,918

1,000,000

1.875%,

2/15/32

.................

851,328

Total

U.S.

Treasury

Notes

(Cost

$2,718,865)

................

2,493,672

Shares

MONEY

MARKET

FUND

—

1.1%

912,114

Federated

Treasury

Obligations

Fund,

Institutional

Shares,

4.14%(f)

........

912,114

Total

Money

Market

Fund

(Cost

$912,114)

.................

912,114

Total

Investments

—

99.9%

(Cost

$89,843,470)

............................

81,458,796

Net

Other

Assets

(Liabilities)

—

0.1%

...............

82,496

NET

ASSETS

—

100.0%

.......................

$

81,541,292

(a) The

interest

rate

for

this

floating

rate

note,

which

will

change

periodically,

is

based

either

on

the

prime

rate

or

an

index

of

market

rates.

The

reflected

rate

is

in

effect

as

of

December

31,

2022. The

maturity

date

reflected

is

the

final

maturity

date.

(b) Represents

that

all

or

a

portion

of

the

security

was

pledged

as

collateral

for

securities

purchased

on

a

when-issued

basis.

(c) Rule

144A,

Section

4(2)

or

other

security

that

is

restricted

as

to

resale

to

qualified

institutional

investors.

The

Advisor,

using

Board

approved

procedures,

has

deemed

these

securities

or

a

portion

of

these

securities

to

be

liquid.

(d) The

interest

rate

for

this

variable

rate

note,

which

will

change

periodically,

is

based

either

on

the

prime

rate

or

an

index

of

market

rates.

The

reflected

rate

is

in

effect

as

of

December

31,

2022. The

maturity

date

reflected

is

the

final

maturity

date.

(e) Represents

securities

purchased

on

a

when-issued

basis.

At

December

31,

2022,

total

cost

of

investments

purchased

on

a

when-issued

basis

was

$1,026,934.

Sterling

Capital

Quality

Income

Fund

Schedule

of

Portfolio

Investments

—

(continued)

December

31,

2022

(Unaudited)

Continued

(f) Represents

the

current

yield

as

of

report

date.

STEP

Step

Coupon

Bond

Sterling

Capital

Funds

Notes

to

Schedule

of

Portfolio

Investments

-

Sterling

Capital

Quality

Income

Fund

December

31,

2022

(Unaudited)

1. Organization:

Sterling

Capital

Funds

(the

"Trust")

commenced

operations

on

October

5,

1992

and

is

registered

under

the

Investment

Company

Act

of

1940,

as

amended

("the

1940

Act"),

as

an

open-end

investment

company

established

as

a

Massachusetts

business

trust.

The

Trust

offers

shares

of

Sterling

Capital

Quality

Income

Fund

(referred

to

as

a

"Fund").

The

Fund

is

a

"diversified"

fund

as

defined

in

the

1940

Act.

2. Significant

Accounting

Policies:

The

Fund

is

an

investment

company

and

accordingly

follows

the

investment

company

accounting

and

reporting

guidance

of

the

Financial

Accounting

Standards

Board

("FASB")

Accounting

Standard

Codification

Topic

946

Financial

Services-

Investment

Companies.

The

following

is

a

summary

of

significant

accounting

policies

followed

by

the

Fund.

The

policies

are

in

conformity

with

United

States

generally

accepted

accounting

principles

("U.S.

GAAP").

The

preparation

of

this

schedule

requires

management

to

make

estimates

and

assumptions

that

affect

the

reported

amounts

of

assets

and

liabilities

and

disclosure

of

contingent

assets

and

liabilities

at

the

date

of

the

schedule

and

the

reported

amount

of

income

and

expense

for

the

reporting

period.

Actual

result

could

differ

from

those

estimates.

Securities

Valuation

—

Investments

of

the

Fund

in

securities

traded

on

a

national

securities

exchange

or

in

the

over-the-

counter

market

are

valued

at

the

closing

price

on

the

principal

exchange

or

market

(including

the

NASDAQ

Closing

Price

for

securities

traded

on

NASDAQ),

typically

4:00

PM

ET

or,

absent

such

a

price,

by

reference

to

the

latest

available

bid

prices

in

the

principal

market

in

which

such

securities

are

normally

traded.

The

Fund

may

also

use

an

independent

pricing

service

approved

by

the

Board

of

Trustees

(the

"Board")

to

value

certain

securities,

including

the

use

of

electronic

and

matrix

techniques.

Investments

in

open-end

investment

companies

are

valued

at

their

respective

net

asset

values

as

reported

by

such

companies.

Investments

in

closed-end

investment

companies

and

exchange-traded

funds

are

valued

at

their

market

values

based

upon

the

latest

available

sale

price

or,

absent

such

a

price,

by

reference

to

the

latest

available

bid

prices

in

the

principal

market

in

which

such

securities

are

normally

traded.

The

differences

between

cost

and

fair

value

of

investments

are

reflected

as

either

unrealized

appreciation

or

depreciation.

Securities

for

which

market

quotations

are

not

readily

available

or

deemed

unreliable

(e.g.,

an

approved

pricing

service

does

not

provide

a

price,

a

furnished

price

is

in

error,

certain

stale

prices,

or

an

event

occurs

that

materially

affects

the

furnished

price)

will

be

fair

valued

in

accordance

with

procedures

established

in

good

faith

under

the

general

supervision

of

the

Board.

Fair

Value

Measurements

—

The

objective

of

a

fair

value

measurement

is

to

determine

the

price

that

would

be

received

to

sell

an

asset

or

paid

to

transfer

a

liability

in

an

orderly

transaction

between

market

participants

at

the

measurement

date

(an

exit

price).

Accordingly,

the

fair

value

hierarchy

gives

the

highest

priority

to

quoted

prices

(unadjusted)

in

active

markets

for

identical

assets

or

liabilities

(Level

1)

and

the

lowest

priority

to

unobservable

inputs

(Level

3).

The

three

levels

of

the

fair

value

hierarchy

are

described

as

follows:

Level

–

quoted

prices

in

active

markets

for

identical

securities

Level

–

based

on

other

significant

observable

inputs

(including

quoted

prices

for

similar

securities,

interest

rates,

prepayment

speeds,

credit

risk,

etc.)

Level

–

based

on

significant

unobservable

inputs

(including

a

Fund's

own

assumptions

in

determining

the

fair

value

of

investments)

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

During

the

period

ended

December

31,

2022

,

there

were

no

significant

changes

to

the

valuation

policies

and

procedures.

Sterling

Capital

Funds

Notes

to

Schedule

of

Portfolio

Investments

-

Sterling

Capital

Quality

Income

Fund

—

(continued)

December

31,

2022

(Unaudited)

The

summary

of

inputs

used

to

determine

the

fair

value

of

the

Fund's

investments

as

of

December

31,

2022

is

as

follows:

Cash

and

Cash

Equivalents

—

The

Fund

considers

liquid

assets

deposited

with

a

bank,

and

certain

short

term

debt

instruments

with

original

maturities

of

three

months

or

less

to

be

cash

equivalents.

These

investments

represent

amounts

held

with

financial

institutions

that

are

readily

accessible

to

pay

Fund

expenses

or

investments.

The

Fund

may

invest

its

excess

cash

in

the

Federated

Treasury

Obligations

Fund

or

a

similar

money

market

fund

or

other

short-term

investment.

Credit

Enhancements

—

Certain

obligations

held

in

the

Fund

have

credit

enhancement

or

liquidity

features

that

may,

under

certain

circumstances,

provide

for

repayment

of

principal

and

interest

on

the

obligation

upon

demand

date,

interest

rate

reset

date

or

final

maturity.

These

enhancements

may

include:

letters

of

credit;

liquidity

guarantees;

security

purchase

agreements;

tender

option

purchase

agreements;

and

third

party

insurance

(i.e.,

AMBAC).

Forward

Foreign

Currency

Exchange

Contracts

—

The

Fund

may

enter

into

forward

foreign

currency

exchange

contracts

(foreign

currency

exchange

risk)

in

connection

with

planned

purchases

or

sales

of

securities

or

to

hedge

the

U.S.

dollar

value

of

Funds

securities

denominated

in

a

particular

currency.

A

foreign

currency

exchange

contract

is

an

agreement

between

two

parties

to

buy

and

sell

a

currency

at

a

set

exchange

rate

on

a

future

date.

The

Fund

can

be

exposed

to

risks

if

the

counterparties

to

the

contracts

are

unable

to

meet

the

terms

of

their

contracts

and

from

unanticipated

movements

in

the

value

of

a

foreign

currency

relative

to

the

U.S.

dollar.

In

the

event

of

default

by

the

counterparty

to

the

transaction,

the

Fund's

maximum

amount

of

loss,

as

either

the

buyer

or

seller,

is

the

unrealized

gain

of

the

contract.

The

forward

foreign

currency

exchange

contracts

are

adjusted

by

the

daily

exchange

rate

of

the

underlying

currency

and

any

gains

or

losses

are

recorded

for

purposes

of

this

schedule

as

unrealized

gains

or

losses

until

the

contract

settlement

date.

When

the

contract

is

closed,

the

Fund

records

a

realized

gain

(loss)

equal

to

the

difference

between

the

value

at

the

time

it

was

opened

and

the

value

at

the

time

it

was

closed.

Mortgage

Dollar

Rolls

—

The

Fund

may

sell

mortgage-backed

securities

for

delivery

in

the

current

month

and

simultaneously

contract

to

repurchase

substantially

similar

(same

type,

coupon

and

maturity)

securities

on

a

specific

future

date

at

an

agreed-upon

price.

The

market

value

of

the

securities

that

a

Fund

is

required

to

purchase

may

decline

below

the

agreed

upon

repurchase

price

of

those

securities.

Pools

of

mortgages

collateralizing

those

securities

may

have

different

prepayment

histories

than

those

sold.

During

the

period

between

the

sale

and

repurchase,

a

Fund

will

not

be

entitled

to

receive

interest

and

principal

payments

on

the

securities

sold.

Proceeds

of

the

sale

will

be

invested

in

additional

instruments

for

a

Fund,

and

the

income

from

these

investments

will

generate

income

for

a

Fund.

If

such

income

does

not

exceed

the

income,

capital

appreciation

and

gain

or

loss

that

would

have

been

realized

on

the

securities

sold

as

part

of

the

dollar

roll,

the

use

of

this

technique

will

diminish

the

investment

performance

of

a

Fund

compared

with

what

the

performance

would

have

been

without

the

use

of

dollar

rolls.

The

Fund

accounts

for

mortgage

dollar

roll

transactions

as

purchases

and

sales.

The

Fund

did

not

hold

any

mortgage

dollar

rolls

during

the

period.

Risks

Associated

with

Foreign

Securities

and

Currencies

—

Investments

in

securities

of

foreign

issuers

carry

certain

risks

not

ordinarily

associated

with

investments

in

securities

of

domestic

issuers.

Such

risks

include

future

political

and

economic

developments

and

the

possible

imposition

of

exchange

controls

or

other

foreign

governmental

laws

and

restrictions.

In

addition,

with

respect

to

certain

countries,

there

is

the

possibility

of

expropriation

of

assets,

confiscatory

taxation,

political

or

social

instability

or

diplomatic

developments

which

could

adversely

affect

investments

in

those

countries.

Certain

foreign

investments

may

also

be

subject

to

foreign

withholding

taxes.

When-Issued

—

The

Fund

may

purchase

securities

on

a

"when-issued"

basis.

The

Fund

records

when-issued

securities

on

the

trade

date

and

pledge

assets

with

a

value

at

least

equal

to

the

purchase

commitment

for

payment

of

the

securities

purchased.

Level

1-

Quoted

Prices

Level

2-

Other

Significant

Observable

Inputs

Level

3-

Significant

Unobservable

Inputs

Total

Assets:

Investments

in

Securities

Sterling

Capital

Quality

Income

Fund

.................

$

912,114(a)

$

80,546,682(b)

$

—

$

81,458,796

(a) Represents

money

market

funds

and/or

certain

preferred

stocks.

(b) Industries,

countries

or

security

types

are

disclosed

in

the

Schedule

of

Portfolio

Investments.

Sterling

Capital

Funds

Notes

to

Schedule

of

Portfolio

Investments

-

Sterling

Capital

Quality

Income

Fund

—

(continued)

December

31,

2022

(Unaudited)

The

value

of

the

securities

underlying

when-issued

to

purchase

securities,

and

any

subsequent

fluctuation

in

their

value,

is

taken

into

account

when

determining

the

net

asset

value

of

the

Fund

commencing

with

the

date

the

Fund

agrees

to

purchase

the

securities.

The

Fund

does

not

accrue

interest

or

dividends

on

"when-issued"

securities

until

the

underlying

securities

are

received.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Sterling Capital Funds

- **b. Investment Company Act file number:** 811-06719

- **c. CIK number of Registrant:** 0000889284

- **d. LEI of Registrant:** 54930017VPAACVI5ZX74

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

  - **Street Address 1:** 3605 Glenwood Avenue

  - **City:** Raleigh

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 27612

  - **Telephone number:** 800-228-1872

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

- **a. Name of Series:** Sterling Capital Quality Income Fund

- **b. EDGAR series identifier (if any):** S000033167

- **c. LEI of Series:** 549300912JEZXXK10112

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $81681268.69

**Total Liabilities:** $230470.56

**Net Assets:** $81450798.13

**Cash Not Reported:** $30.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 162.72021000 | **1-Year:** 3897.52330000 | **5-Year:** 21436.52342000 | **10-Year:** 10575.85677000 | **30-Year:** 73.52484000

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

- **3-Month:** 0.15146000 | **1-Year:** 4.85462000 | **5-Year:** 11.90173000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000123271 | -1.40%               | 2.41%                | 0.10%                |
| Class ID C000123273 | -1.37%               | 2.43%                | 0.12%                |
| Class ID C000123272 | -1.45%               | 2.35%                | 0.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-9262.64                | $-1231132.45                               |
| Month 2  | $-8819.49                | $1677606.26                                |
| Month 3  | $-15477.00               | $-32884.36                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Bank                                       | BANK 2020-BNK29                                                                 | CUSIP: 06541TBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $198573.95    | 0.24%             | 2053-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3131WPAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34380 | PA      | $34844.96     | 0.04%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137AWAR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628000 | PA      | $485185.64    | 0.60%             | 2042-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AKGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88409 | PA      | $89602.31     | 0.11%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F             | Ford Credit Auto Owner Trust 2021-REV2                                          | CUSIP: 345285AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415000 | PA      | $360234.65    | 0.44%             | 2034-05-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137FQTC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    841468 | PA      | $745891.73    | 0.92%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140X8GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435679 | PA      | $371359.71    | 0.46%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31417WKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30215 | PA      | $29983.86     | 0.04%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust              | MASTR Alternative Loan Trust 2003-5                                             | CUSIP: 576434FK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143622 | PA      | $133268.39    | 0.16%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust             | Carvana Auto Receivables Trust 2021-P1                                          | CUSIP: 14687BAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $500799.81    | 0.61%             | 2027-01-11      | Fixed         | 0.86%                 | No            |                  2 | On Loan: No      |
| Fifth Third Auto Trust                     | Fifth Third Auto Trust 2019-1                                                   | CUSIP: 31680YAE7<br>LEI: 549300EMGYBMVWMPNI56 | Long             | ABS-O            | CORP              | US        |    281685 | PA      | $281470.36    | 0.35%             | 2026-11-16      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137A6ED0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $191674.12    | 0.24%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr             | SoFi Professional Loan Program 2020-ATrust                                      | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345142 | PA      | $312586.43    | 0.38%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Small Business Administration              | United States Small Business Administration                                     | CUSIP: 83162CTE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49190 | PA      | $47504.08     | 0.06%             | 2030-04-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva             | Americredit Automobile Receivables Trust 2019-2                                 | CUSIP: 03066KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342310 | PA      | $338912.53    | 0.42%             | 2025-04-18      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                   | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    421875 | PA      | $417066.29    | 0.51%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust               | GS Mortgage Securities Trust 2010-C1                                            | CUSIP: 36249KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25021 | PA      | $24690.15     | 0.03%             | 2043-08-10      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Wheels SPV LLC                             | Wheels SPV 2 LLC                                                                | CUSIP: 96328DBU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $205165.13    | 0.25%             | 2029-08-20      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas             | FRESB 2017-SB36 Mortgage Trust                                                  | CUSIP: 35802YAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    285756 | PA      | $262047.17    | 0.32%             | 2027-07-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note             | Toyota Auto Loan Extended Note Trust 2022-1                                     | CUSIP: 89231EAA1<br>LEI: 549300VJ12IVOF78MZ11 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $948672.00    | 1.16%             | 2035-04-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC             | Enterprise Fleet Financing 2020-2 LLC                                           | CUSIP: 29375MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451150 | PA      | $439567.31    | 0.54%             | 2026-07-20      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 31392JY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192600 | PA      | $184297.03    | 0.23%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                   | BX Commercial Mortgage Trust 2021-CIP                                           | CUSIP: 12434FAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313000 | PA      | $297302.14    | 0.37%             | 2038-12-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31417B6K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115436 | PA      | $108209.34    | 0.13%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31860 | PA      | $33061.71     | 0.04%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Government National Mortgage Association                                        | CUSIP: 38381BH56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $715100.80    | 0.88%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137AXUF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119000 | PA      | $106865.46    | 0.13%             | 2032-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                   | JP Morgan Mortgage Trust 2017-5                                                 | CUSIP: 46590YAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279993 | PA      | $266214.45    | 0.33%             | 2048-10-26      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467264 | PA      | $410906.75    | 0.50%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DNN25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873217 | PA      | $816955.84    | 1.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31418CDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88994 | PA      | $85219.48     | 0.10%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FMST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115957 | PA      | $103701.82    | 0.13%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC             | Enterprise Fleet Funding 2021-1 LLC                                             | CUSIP: 29374EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $347835.49    | 0.43%             | 2026-12-21      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                   | Benchmark 2020-B18 Mortgage Trust                                               | CUSIP: 08163AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589492 | PA      | $476443.23    | 0.58%             | 2053-07-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust             | Carvana Auto Receivables Trust 2021-P3                                          | CUSIP: 14687JAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $504667.44    | 0.62%             | 2027-08-10      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DN4L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    990435 | PA      | $984240.05    | 1.21%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                  | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32                     | CUSIP: 61691GAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $468549.75    | 0.58%             | 2049-12-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BX Trust                                   | BX Commercial Mortgage Trust 2021-ACNT                                          | CUSIP: 05609QAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277000 | PA      | $263085.46    | 0.32%             | 2038-11-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU             | WFRBS Commercial Mortgage Trust 2014-C20                                        | CUSIP: 92890FBB1<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $458143.30    | 0.56%             | 2047-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4RG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $760952.30    | 0.93%             | 2036-10-25      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag             | Wells Fargo Commercial Mortgage Trust 2014-LC18                                 | CUSIP: 94989AAU9<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $572786.46    | 0.70%             | 2047-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BX Trust                                   | BX Commercial Mortgage Trust 2021-21M                                           | CUSIP: 05609CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200408 | PA      | $187905.50    | 0.23%             | 2036-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust              | MASTR Alternative Loan Trust 2004-13                                            | CUSIP: 576434ZS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20916 | PA      | $15369.96     | 0.02%             | 2035-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 31397T2X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99602 | PA      | $99967.34     | 0.12%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Government National Mortgage Association                                        | CUSIP: 38380NEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398555 | PA      | $369905.94    | 0.45%             | 2029-03-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                        | COMM 2014-UBS4 Mortgage Trust                                                   | CUSIP: 12591QAR3<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    455000 | PA      | $440011.53    | 0.54%             | 2047-08-10      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 31392TAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73095 | PA      | $74714.06     | 0.09%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC             | Enterprise Fleet Financing 2019-2 LLC                                           | CUSIP: 29374DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $498431.35    | 0.61%             | 2025-02-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140HBVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96138 | PA      | $88479.02     | 0.11%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust               | GS Mortgage Securities Trust 2020-GC47                                          | CUSIP: 36258RBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64000 | PA      | $52967.74     | 0.07%             | 2053-05-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                               | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251000 | PA      | $238410.69    | 0.29%             | 2038-11-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust               | GS Mortgage Securities Trust 2016-GS4                                           | CUSIP: 36251XAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $465551.55    | 0.57%             | 2049-11-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Government National Mortgage Association                                        | CUSIP: 38378XMJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690900 | PA      | $652703.78    | 0.80%             | 2046-11-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                        | COMM 2013-CCRE11 Mortgage Trust                                                 | CUSIP: 12626LAE2<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $74172.62     | 0.09%             | 2050-08-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                  | Chesapeake Funding II LLC                                                       | CUSIP: 165183CP7<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    351139 | PA      | $345594.64    | 0.42%             | 2033-04-15      | Fixed         | 0.47%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,              | Citicorp Mortgage Securities Inc                                                | CUSIP: 172973M97<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |     25768 | PA      | $23495.04     | 0.03%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31418BMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118188 | PA      | $116223.31    | 0.14%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Government National Mortgage Association                                        | CUSIP: 38374H6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56352 | PA      | $57247.95     | 0.07%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Ginnie Mae II Pool                                                              | CUSIP: 36230QJX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7654 | PA      | $7423.87      | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3133A04P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122335 | PA      | $108431.30    | 0.13%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                  | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                     | CUSIP: 61764PBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300167 | PA      | $287577.58    | 0.35%             | 2047-12-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540842 | PA      | $476051.03    | 0.58%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Government National Mortgage Association                                        | CUSIP: 38374YTU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       706 | PA      | $704.03       | 0.00%             | 2039-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137BLHK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $849363.40    | 1.04%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                        | COMM 2014-CCRE18 Mortgage Trust                                                 | CUSIP: 12632QAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $485181.90    | 0.60%             | 2047-07-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus             | CFCRE Commercial Mortgage Trust 2016-C7                                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93269.76     | 0.11%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XBEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367194 | PA      | $323266.83    | 0.40%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QED33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220419 | PA      | $194518.68    | 0.24%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S             | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $265196.65    | 0.33%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137A0XA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $501368.65    | 0.62%             | 2040-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QFZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303629 | PA      | $278264.19    | 0.34%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                        | COMM 2017-COR2 Mortgage Trust                                                   | CUSIP: 12595EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $229949.55    | 0.28%             | 2050-09-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust              | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GHE1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      9227 | PA      | $9124.17      | 0.01%             | 2019-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance              | Citibank Credit Card Issuance Trust                                             | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $682272.37    | 0.84%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3133KMEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398617 | PA      | $350884.62    | 0.43%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3131WNMG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20154 | PA      | $20833.65     | 0.03%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132HQR53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608339 | PA      | $556707.63    | 0.68%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                      | ARI Fleet Lease Trust 2022-A                                                    | CUSIP: 00217QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $452262.67    | 0.56%             | 2031-01-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AGGY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441551 | PA      | $425682.98    | 0.52%             | 2026-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 3136A2M67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $782107.92    | 0.96%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FVUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69200 | PA      | $66172.45     | 0.08%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DNMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782847 | PA      | $757391.90    | 0.93%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3138WEBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143327 | PA      | $133612.20    | 0.16%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust               | GS Mortgage Securities Trust 2020-GSA2                                          | CUSIP: 36264KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $393129.45    | 0.48%             | 2053-12-12      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust             | Morgan Stanley Capital I Trust 2020-HR8                                         | CUSIP: 61692BBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659333 | PA      | $531463.54    | 0.65%             | 2053-07-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132A97E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43100 | PA      | $41768.92     | 0.05%             | 2032-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DWB77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1071097 | PA      | $942613.92    | 1.16%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                  | Chesapeake Funding II LLC                                                       | CUSIP: 165183CJ1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    316961 | PA      | $312549.64    | 0.38%             | 2032-08-15      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31415MM28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64727 | PA      | $66940.86     | 0.08%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Government National Mortgage Association                                        | CUSIP: 38377YWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $652138.13    | 0.80%             | 2041-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note/Bond                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $851328.12    | 1.05%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva             | AmeriCredit Automobile Receivables Trust 2021-2                                 | CUSIP: 03066RAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405000 | PA      | $379797.62    | 0.47%             | 2027-01-19      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding             | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDQ4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $186245.12    | 0.23%             | 2026-03-20      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F             | Ford Credit Auto Owner Trust 2020-REV2                                          | CUSIP: 34532JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    642000 | PA      | $575367.65    | 0.71%             | 2033-04-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3133ANVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    710420 | PA      | $612138.99    | 0.75%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AWCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61798 | PA      | $61510.90     | 0.08%             | 2043-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding             | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDL5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $275419.95    | 0.34%             | 2025-09-22      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Government National Mortgage Association                                        | CUSIP: 38374L5H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482970 | PA      | $486612.65    | 0.60%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 31329JEP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57136 | PA      | $59277.39     | 0.07%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage              | Citigroup Commercial Mortgage Trust 2013-GC15                                   | CUSIP: 17321JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $361237.32    | 0.44%             | 2046-09-10      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FKKN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $133143.39    | 0.16%             | 2030-11-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 31339U3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257684 | PA      | $220678.15    | 0.27%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31419FMD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37940 | PA      | $37649.01     | 0.05%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Residential Mortgage              | Citicorp Residential Mortgage Trust Series 2007-2                               | CUSIP: 17312HAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       315 | PA      | $311.77       | 0.00%             | 2037-06-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QDX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214968 | PA      | $196909.43    | 0.24%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31418BLH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119320 | PA      | $114433.57    | 0.14%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3138A7HY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75900 | PA      | $71141.98     | 0.09%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag             | Wells Fargo Commercial Mortgage Trust 2015-P2                                   | CUSIP: 95000AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    644000 | PA      | $612896.67    | 0.75%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU             | WFRBS Commercial Mortgage Trust 2014-C23                                        | CUSIP: 92939HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302000 | PA      | $292657.39    | 0.36%             | 2057-10-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 3136ADND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014000 | PA      | $958583.18    | 1.18%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federated Hermes Treasury Obligations Fund | Federated Hermes Treasury Obligations Fund                                      | CUSIP: 60934N500<br>LEI: 254900WUIGYHOH89FC60 | Long             | STIV             | RF                | US        |    912114 | NS      | $912113.75    | 1.12%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                        | COMM 2014-CCRE20 Mortgage Trust                                                 | CUSIP: 12592LBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266000 | PA      | $256571.66    | 0.32%             | 2047-11-10      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 31329JE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24484 | PA      | $24814.75     | 0.03%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva             | AmeriCredit Automobile Receivables Trust 2020-3                                 | CUSIP: 03066PAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297000 | PA      | $286510.11    | 0.35%             | 2025-12-18      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 31396YFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682000 | PA      | $697670.52    | 0.86%             | 2038-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag             | Wells Fargo Commercial Mortgage Trust 2017-C40                                  | CUSIP: 95000YAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $278132.34    | 0.34%             | 2050-10-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137ACW96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    990000 | PA      | $972118.92    | 1.19%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DN3T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797284 | PA      | $789856.06    | 0.97%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note/Bond                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $768984.38    | 0.94%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag             | Wells Fargo Commercial Mortgage Trust 2020-C57                                  | CUSIP: 95002XBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $405595.35    | 0.50%             | 2053-08-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                   | BX Trust 2021-RISE                                                              | CUSIP: 12434EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $260000.29    | 0.32%             | 2036-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XAG97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512307 | PA      | $437521.41    | 0.54%             | 2051-03-01      | Fixed         | 2.50%                 | 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        |    700000 | PA      | $651782.53    | 0.80%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137B7HJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39224 | PA      | $36945.84     | 0.05%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137H0WB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410563 | PA      | $342691.84    | 0.42%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora             | Chase Home Lending Mortgage Trust 2019-ATR2                                     | CUSIP: 16159GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375741 | PA      | $334842.82    | 0.41%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140Q74T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213320 | PA      | $197892.20    | 0.24%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note             | Toyota Auto Loan Extended Note Trust 2021-1                                     | CUSIP: 89237MAA7<br>LEI: 54930055QDKD6LCRW256 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $665443.58    | 0.82%             | 2034-02-27      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137A75D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12490 | PA      | $12345.45     | 0.02%             | 2041-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MED Trust                                  | Med Trust 2021-MDLN                                                             | CUSIP: 58403YAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274000 | PA      | $260314.52    | 0.32%             | 2038-11-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                        | Comm 2014-UBS2 Mortgage Trust                                                   | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153000 | PA      | $149530.39    | 0.18%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3138EQJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130440 | PA      | $125096.50    | 0.15%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 31329KWW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143147 | PA      | $138001.06    | 0.17%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3138A5N24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117091 | PA      | $112590.10    | 0.14%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137B34U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99776 | PA      | $93564.78     | 0.11%             | 2041-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor             | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-1                    | CUSIP: 22541SAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59362 | PA      | $58263.88     | 0.07%             | 2034-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note/Bond                                                | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1250000 | PA      | $1111425.78   | 1.36%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl             | Santander Drive Auto Receivables Trust 2020-3                                   | CUSIP: 80285WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434723 | PA      | $430822.90    | 0.53%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU             | WFRBS Commercial Mortgage Trust 2013-UBS1                                       | CUSIP: 92938JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75628 | PA      | $74303.30     | 0.09%             | 2046-03-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210838 | PA      | $197215.45    | 0.24%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru             | OneMain Financial Issuance Trust 2020-A                                         | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225045 | PA      | $223403.60    | 0.27%             | 2032-05-14      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru             | OneMain Financial Issuance Trust 2021-1                                         | CUSIP: 68269MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $408975.89    | 0.50%             | 2036-06-16      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140X7QF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559720 | PA      | $480318.52    | 0.59%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVAB             | GreatAmerica Leasing Receivables Funding LLC Series 2021-1                      | CUSIP: 39154TBJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    339723 | PA      | $330646.10    | 0.41%             | 2024-08-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140F0JJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    891999 | PA      | $799664.86    | 0.98%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1295000 | PA      | $1128550.15   | 1.39%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage              | Citigroup Commercial Mortgage Trust 2013-GC17                                   | CUSIP: 17321RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405000 | PA      | $395887.05    | 0.49%             | 2046-11-10      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3131XYVQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101719 | PA      | $94368.04     | 0.12%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                   | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340719 | PA      | $323134.95    | 0.40%             | 2039-02-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag             | Wells Fargo Commercial Mortgage Trust 2016-C37                                  | CUSIP: 95000PAE4<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $47181.43     | 0.06%             | 2049-12-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust             | Carvana Auto Receivables Trust 2021-P2                                          | CUSIP: 14687TAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    509000 | PA      | $439958.88    | 0.54%             | 2027-03-10      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 3136A0LG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176985 | PA      | $174595.52    | 0.21%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor             | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279094 | PA      | $277069.08    | 0.34%             | 2046-04-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust               | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589000 | PA      | $548166.93    | 0.67%             | 2049-11-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 3136B9CQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348227 | PA      | $308853.02    | 0.38%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3131XUDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96774 | PA      | $92788.27     | 0.11%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru             | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630000 | PA      | $563018.34    | 0.69%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QED41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215864 | PA      | $190300.46    | 0.23%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note/Bond                                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    315000 | PA      | $201526.17    | 0.25%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40558 | PA      | $40247.92     | 0.05%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69332 | PA      | $67892.27     | 0.08%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3133KMEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308842 | PA      | $281886.67    | 0.35%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust               | Saxon Asset Securities Trust 2004-3                                             | CUSIP: 805564QV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154356 | PA      | $144436.63    | 0.18%             | 2034-12-26      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 31394TAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141573 | PA      | $136811.79    | 0.17%             | 2034-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    860712 | PA      | $771902.45    | 0.95%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                      | ARI Fleet Lease Trust 2021-A                                                    | CUSIP: 00217FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $158728.27    | 0.19%             | 2030-03-15      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding             | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $740906.16    | 0.91%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor             | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                   | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $172810.04    | 0.21%             | 2049-12-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag             | Wells Fargo Commercial Mortgage Trust 2020-C58                                  | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $240140.01    | 0.29%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140X7QH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351588 | PA      | $300118.39    | 0.37%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137ATHV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215000 | PA      | $190714.40    | 0.23%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3131XQ5Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162512 | PA      | $151761.44    | 0.19%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust               | GS Mortgage Securities Trust 2014-GC24                                          | CUSIP: 36253GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $82130.22     | 0.10%             | 2047-09-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137BUQL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84830 | PA      | $84451.41     | 0.10%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QMMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333743 | PA      | $293345.43    | 0.36%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                      | ARI Fleet Lease Trust 2020-A                                                    | CUSIP: 00217TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361698 | PA      | $360764.52    | 0.44%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132ADJH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123283 | PA      | $115188.81    | 0.14%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31418EBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894410 | PA      | $815045.67    | 1.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus             | CSAIL 2015-C3 Commercial Mortgage Trust                                         | CUSIP: 12635FAT1<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $476269.40    | 0.58%             | 2048-08-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVAB             | GreatAmerica Leasing Receivables Funding LLC Series 2021-1                      | CUSIP: 39154TBK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $189765.75    | 0.23%             | 2026-12-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 31396A5J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110286 | PA      | $116664.90    | 0.14%             | 2035-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137B0HP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133882 | PA      | $121498.75    | 0.15%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                           | Freddie Mac Strips                                                              | CUSIP: 3128CVVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250446 | PA      | $216694.29    | 0.27%             | 2032-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140MHS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056535 | PA      | $939175.19    | 1.15%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC             | Enterprise Fleet Financing 2021-3 LLC                                           | CUSIP: 29373MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $367462.54    | 0.45%             | 2027-08-20      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable             | OneMain Direct Auto Receivables Trust 2021-1                                    | CUSIP: 682687AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $693675.38    | 0.85%             | 2028-07-14      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor             | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13                   | CUSIP: 46640JAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116487 | PA      | $115497.16    | 0.14%             | 2046-01-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137ASP65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338000 | PA      | $274368.12    | 0.34%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor             | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3                    | CUSIP: 46635TAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170887 | PA      | $163494.97    | 0.20%             | 2046-02-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                   | Benchmark 2020-B21 Mortgage Trust                                               | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $999796.75    | 1.23%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137AKHT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330711 | PA      | $309269.14    | 0.38%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage              | Citigroup Commercial Mortgage Trust 2015-GC33                                   | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $476207.65    | 0.58%             | 2058-09-10      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust               | GS Mortgage Securities Trust 2013-GCJ14                                         | CUSIP: 36198FAE2<br>LEI: 549300ITVQSU1IHX4H03 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $297027.48    | 0.36%             | 2046-08-10      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC             | Enterprise Fleet Financing 2021-2 LLC                                           | CUSIP: 29374YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $271216.86    | 0.33%             | 2027-05-20      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                  | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18                     | CUSIP: 61763XAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96679.78     | 0.12%             | 2047-10-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AS4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148900 | PA      | $143169.48    | 0.18%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor             | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20                   | CUSIP: 46642CBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $485601.15    | 0.60%             | 2047-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XGMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719137 | PA      | $658512.52    | 0.81%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note/Bond                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $530917.97    | 0.65%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XGJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773278 | PA      | $704580.25    | 0.87%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 31329KUB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198850 | PA      | $190354.36    | 0.23%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XHFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1364438 | PA      | $1299943.25   | 1.60%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DNB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    951819 | PA      | $866592.16    | 1.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                   | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212218 | PA      | $201306.70    | 0.25%             | 2038-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3131WQ3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77584 | PA      | $74600.01     | 0.09%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60502 | PA      | $60406.30     | 0.07%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140EBJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117943 | PA      | $112932.74    | 0.14%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A             | Government National Mortgage Association                                        | CUSIP: 38376UK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    612000 | PA      | $528561.08    | 0.65%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31418BJL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37450 | PA      | $36827.65     | 0.05%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                   | BX 2021-LBA3 Mortgage Trust                                                     | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $253748.21    | 0.31%             | 2036-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST I                     | American Tower Trust #1                                                         | CUSIP: 03027WAK8<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              | CORP              | US        |    250000 | PA      | $226532.13    | 0.28%             | 2028-03-23      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XHMF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706524 | PA      | $687779.27    | 0.84%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AWW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870000 | PA      | $775333.13    | 0.95%             | 2047-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                        | COMM 2014-CCRE15 Mortgage Trust                                                 | CUSIP: 12591RBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $343425.29    | 0.42%             | 2047-02-10      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137AWH81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455194 | PA      | $425764.51    | 0.52%             | 2027-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3131XJ3R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162192 | PA      | $152220.36    | 0.19%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 31418DY89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347116 | PA      | $305784.05    | 0.38%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities              | Aegis Asset Backed Securities Trust 2005-5                                      | CUSIP: 00764MHC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10965 | PA      | $10944.10     | 0.01%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3133KMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1047401 | PA      | $889922.39    | 1.09%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 31397NZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527000 | PA      | $530396.04    | 0.65%             | 2039-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag             | Wells Fargo Commercial Mortgage Trust 2020-C56                                  | CUSIP: 95002RAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220800 | PA      | $183839.85    | 0.23%             | 2053-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                     | CHL Mortgage Pass-Through Trust 2004-3                                          | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29595 | PA      | $28263.35     | 0.03%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3131WQWP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62759 | PA      | $60204.79     | 0.07%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                        | Comm 2013-CCRE13 Mortgage Trust                                                 | CUSIP: 12630BBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $73684.41     | 0.09%             | 2046-11-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132A5ET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96024 | PA      | $86283.61     | 0.11%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3132DNVG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1212806 | PA      | $1169388.67   | 1.44%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 31392JKC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43037 | PA      | $43245.69     | 0.05%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137ASTQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $255134.61    | 0.31%             | 2042-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AUBX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142664 | PA      | $128162.92    | 0.16%             | 2045-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QAUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337446 | PA      | $337838.56    | 0.41%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1130684 | PA      | $967354.51    | 1.19%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac REMICS                                                              | CUSIP: 3137A6R38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137158 | PA      | $134136.69    | 0.16%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                 | Fannie Mae REMICS                                                               | CUSIP: 31397QBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825833 | PA      | $761463.28    | 0.93%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                | SMR 2022-IND Mortgage Trust                                                     | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245006 | PA      | $231490.03    | 0.28%             | 2039-02-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| OPG Trust                                  | OPG Trust 2021-PORT                                                             | CUSIP: 67118AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205612 | PA      | $192204.64    | 0.24%             | 2036-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                | Freddie Mac Pool                                                                | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    597945 | PA      | $544707.53    | 0.67%             | 2052-01-01      | Fixed         | 3.50%                 | 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        |    435000 | PA      | $410559.13    | 0.50%             | 2051-07-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Sterling Capital Funds

**Signature:** Todd Miller

**Name of Signer:** Todd Miller

**Title:** Treasurer and Secretary