# EDGAR Filing Document

**Accession Number:** 0001699360
**File Stem:** 0001145549-25-042291
**Filing Date:** 2025-6
**Character Count:** 696283
**Document Hash:** 5a65be4111829a7a8fbd7a19718c4f36
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-042291.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001145549-25-042291

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20250430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Morningstar Funds Trust
- **CENTRAL INDEX KEY:** 0001699360

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23235
- **FILM NUMBER:** 251077266

**BUSINESS ADDRESS:**
- **STREET 1:** 22 W. WASHINGTON STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60602
- **BUSINESS PHONE:** 312-696-6000

**MAIL ADDRESS:**
- **STREET 1:** 22 W. WASHINGTON STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60602

## Series and Classes Contracts Data

### Morningstar Total Return Bond Fund (Series ID: S000057730)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000186141 | Institutional | MSTRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Morningstar Funds Trust

- **b. Investment Company Act file number:** 811-23235

- **c. CIK number of Registrant:** 0001699360

- **d. LEI of Registrant:** 254900AE65UZA65M0T82

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

  - **Street Address 1:** 22 W. WASHINGTON STREET

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60602

  - **Telephone number:** 312-696-6000

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

- **a. Name of Series:** Morningstar Total Return Bond Fund

- **b. EDGAR series identifier (if any):** S000057730

- **c. LEI of Series:** 2549003ESAHXEQHTHU51

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

- **a. Date of fiscal year-end:** 2025-04-30

- **b. Date as of which information is reported:** 2025-04-30

**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:** $1041521642.75

**Total Liabilities:** $166996806.15

**Net Assets:** $874524836.60

**Delayed Delivery Securities:** $148815047.14

**Cash Not Reported:** $1179583.95

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 38.611908351278 | **1-Year:** 5142.248766984304 | **5-Year:** 30307.013205621091 | **10-Year:** 43678.214939520691 | **30-Year:** 64308.732971706194

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

- **3-Month:** 17.679488133139 | **1-Year:** 1300.231458376184 | **5-Year:** 3276.007336295216 | **10-Year:** 547.117441074908 | **30-Year:** 59.653167190507

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000186141 | 2.14%                | 0.04%                | 0.25%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $160726.38               | $15831879.17                               |
| Month 2  | $100616.58               | $-2871007.30                               |
| Month 3  | $-2119042.20             | $2683647.86                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** XIUSA000MC

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Lebanese Republic                                                                    | LEBAN 6.85 03/23/27 10Y                                                       | CUSIP: M6S21BAP8<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |       17000 | PA      | $2909.55      | 0.00%             | 2027-03-23      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust 2019-LIFE                                             | CAMB 2019-LIFE D                                                              | CUSIP: 12482HAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99437.50     | 0.01%             | 2037-12-15      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Jupiter Mortgage No.1 Plc                                                            | JUPIT 1X DR                                                                   | CUSIP: G5210VAR0<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $134133.86    | 0.02%             | 2055-07-20      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                            | NEE 5.8 03/15/65                                                              | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      125000 | PA      | $125818.75    | 0.01%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 5.875 07/11/32 144A                                                    | CUSIP: X7360WDM1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |        9000 | PA      | $10018.07     | 0.00%             | 2032-07-11      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: —       |
| AT&T Inc                                                                             | T 4.3 02/15/30 144A                                                           | CUSIP: 00206RES7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      105000 | PA      | $104170.31    | 0.01%             | 2030-02-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3238                                                                     | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59651 | PA      | $54659.33     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G61047                                                                     | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65933 | PA      | $64343.26     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust 2006-6                                                | LBMLT 2006-6 2A3                                                              | CUSIP: 54251RAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      704727 | PA      | $274973.60    | 0.03%             | 2036-07-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Last Mile Securities Pe 2021 Designated Activity Company                             | LMILE 2021-1X D                                                               | CUSIP: G5S82ZAF2<br>LEI: 635400UJZKP57EXKMQ33 | Long             | ABS-O            | CORP              | IE        |      194960 | PA      | $220165.26    | 0.03%             | 2031-05-19      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 6.7 08/01/28                                                              | CUSIP: 913017AT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      630000 | PA      | $672313.25    | 0.08%             | 2028-08-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.75 08/15/42                                                             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       27000 | PA      | $19295.17     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.15 02/01/43                                                              | CUSIP: 29273RAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       23000 | PA      | $19635.21     | 0.00%             | 2043-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS2947                                                                     | CUSIP: 3138WCHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      273179 | PA      | $261579.34    | 0.03%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5304                                                                     | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15520 | PA      | $15153.24     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 245 Park Avenue Trust 2017                                                           | PRKAV 2017-245P E                                                             | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      740000 | PA      | $682422.75    | 0.08%             | 2037-06-05      | Variable      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST 2025-VLT6                                                                   | BX 2025-VLT6 A                                                                | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      512000 | PA      | $506880.00    | 0.06%             | 2042-03-17      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 7.75 11/13/42 M                                                         | CUSIP: P4R0C9EK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      299800 | PA      | $12583.80     | 0.00%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 8.5 05/31/29 M                                                          | CUSIP: P9767G6N6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      800000 | PA      | $40575.03     | 0.00%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 8 11/07/47 M                                                            | CUSIP: P4R07XQS8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      574000 | PA      | $24287.03     | 0.00%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                            | DUK 3.7 12/01/47                                                              | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      100000 | PA      | $73551.98     | 0.01%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AW4229                                                                     | CUSIP: 3138XTVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12829 | PA      | $12596.93     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cfk Trust 2019-Fax                                                                   | CFK 2019-FAX D                                                                | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $92421.85     | 0.01%             | 2039-01-15      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 6.2 02/14/59                                                               | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      158000 | PA      | $152651.87    | 0.02%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA3094                                                                     | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      267111 | PA      | $261887.09    | 0.03%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM4614                                                                     | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18921 | PA      | $18466.10     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Company                                                            | AEP 4.5 03/01/49 Y                                                            | CUSIP: 037735CX3<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |       31000 | PA      | $24590.60     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                                 | PRPM 2025-NQM1 A1                                                             | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      101484 | PA      | $102338.59    | 0.01%             | 2069-11-25      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                              | BAYC 2007-4A A1                                                               | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      183274 | PA      | $169428.47    | 0.02%             | 2037-09-25      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3210                                                                     | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98095 | PA      | $89937.85     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN0691                                                                     | CUSIP: 3140JGXV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23479 | PA      | $22825.44     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AX6435                                                                     | CUSIP: 3138Y8EH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13077 | PA      | $12809.60     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA3022                                                                     | CUSIP: 3140QALC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53044 | PA      | $52289.99     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS7488                                                                     | CUSIP: 3138WHKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      555325 | PA      | $498078.55    | 0.06%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Expedia Group Inc                                                                    | EXPE 5.4 02/15/35                                                             | CUSIP: 30212PBL8<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      114000 | PA      | $112219.55    | 0.01%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 6.2 03/01/55                                                              | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      280000 | PA      | $274338.01    | 0.03%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Minejesa Capital BV                                                                  | MINCAP 5.625 08/10/37 REGS                                                    | CUSIP: N57445AB9<br>LEI: 549300KS7ERCP10BKC35 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $186241.98    | 0.02%             | 2037-08-10      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3149                                                                     | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32719 | PA      | $30899.87     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0754                                                                     | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30110 | PA      | $27575.69     | 0.00%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Secretaria Do Tesouro Nacional                                                       | BNTNF 10 01/01/29 NTNF                                                        | CUSIP: P8T60MZC0<br>LEI: N/A                  | Long             | DBT              | NUSS              | BR        |     2600000 | PA      | $413625.00    | 0.05%             | 2029-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN1628                                                                     | CUSIP: 3140JHY23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186494 | PA      | $181461.31    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7495                                                                     | CUSIP: 3140XBKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58853 | PA      | $54073.72     | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SB0539                                                                     | CUSIP: 3132CWS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       72278 | PA      | $66182.57     | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                    | MASTR 2007-2 A2                                                               | CUSIP: 57646NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300127 | PA      | $155879.67    | 0.02%             | 2038-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                            | NEE 3.99 03/01/49                                                             | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      257000 | PA      | $200869.52    | 0.02%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB0622                                                                     | CUSIP: 3140QKVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60157 | PA      | $53557.55     | 0.01%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB6329                                                                     | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207137 | PA      | $212348.27    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MSC 2019-L2 XA                                                                | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2325466 | PA      | $73699.36     | 0.01%             | 2052-03-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1                                                                       | EFMT 2025-INV1 A1                                                             | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      165295 | PA      | $165749.50    | 0.02%             | 2070-03-25      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB6321                                                                     | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      260900 | PA      | $262875.84    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V5.162 01/24/31                                                           | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      542000 | PA      | $552100.37    | 0.06%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Carbone CLO, Limited / Carbone CLO LLC                                               | CRBN 2017-1A A1                                                               | CUSIP: 141312AA6<br>LEI: 5493005I53NEC017LN87 | Long             | ABS-CBDO         | CORP              | KY        |       95370 | PA      | $95340.79     | 0.01%             | 2031-01-21      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Synchrony Financial                                                                  | SYF 3.95 12/01/27                                                             | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |       37000 | PA      | $36018.01     | 0.00%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| Altria Group, Inc.                                                                   | MO 5.625 02/06/35                                                             | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       60000 | PA      | $60703.89     | 0.01%             | 2035-02-06      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9318                                                                     | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30670 | PA      | $28149.88     | 0.00%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS0496                                                                     | CUSIP: 3138W9RS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5403 | PA      | $5311.77      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| D.R. Horton, Inc.                                                                    | DHI 5.5 10/15/35                                                              | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |       32000 | PA      | $32033.20     | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-2                                                    | VERUS 2023-2 B1                                                               | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99674.24     | 0.01%             | 2068-03-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA9063                                                                     | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      239706 | PA      | $241521.11    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 5.125 05/15/32                                                           | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       35000 | PA      | $35387.37     | 0.00%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AW1281                                                                     | CUSIP: 3138XQM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2606 | PA      | $2558.71      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA9073                                                                     | CUSIP: 3133KRCJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      186091 | PA      | $190558.56    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BY0568                                                                     | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25414 | PA      | $26053.11     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3182                                                                     | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97941 | PA      | $89821.91     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.52 10/27/28                                                              | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      197000 | PA      | $192153.46    | 0.02%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Southern Co.                                                                         | SO 5.2 06/15/33                                                               | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20125.14     | 0.00%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MCR TRUST 2024-HF1                                                                   | MCR 2024-HF1 A                                                                | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      328000 | PA      | $327590.00    | 0.04%             | 2041-12-16      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4838                                                                     | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36636 | PA      | $34528.58     | 0.00%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4901                                                                     | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18065 | PA      | $17004.00     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KSL COMMERCIAL MORTGAGE TRUST 2024-HT2                                               | KSL 2024-HT2 A                                                                | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99062.50     | 0.01%             | 2039-12-15      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH MORTGAGE TRUST 2024-FBLU                                   | FMBT 2024-FBLU G                                                              | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99209.41     | 0.01%             | 2039-12-15      | Floating      | 10.66%                | Yes           |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                | CHCOCH 5.125 06/30/27                                                         | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |      103000 | PA      | $104144.76    | 0.01%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5711                                                                     | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31537 | PA      | $30517.72     | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Firstenergy Transmission Llc                                                         | FE 5 01/15/35                                                                 | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      350000 | PA      | $344997.97    | 0.04%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners Lp                                                          | CQP 5.75 08/15/34                                                             | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      234000 | PA      | $234652.17    | 0.03%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB5310                                                                     | CUSIP: 3140QQ3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      279901 | PA      | $285910.89    | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 5.186 04/01/30 144A                                                    | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      395000 | PA      | $399936.30    | 0.05%             | 2030-04-01      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V5.14 01/24/31                                                            | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      530000 | PA      | $541249.97    | 0.06%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| LCM 36 LTD FRN                                                                       | LCM 36 LTD FRN                                                                | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $248157.63    | 0.03%             | 2034-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Mong Duong Finance Holdings B V                                                      | MONDFI 5.125 05/07/29 REGS                                                    | CUSIP: N6000DAA1<br>LEI: 549300995KGQFMWSV879 | Long             | DBT              | CORP              | NL        |      190612 | PA      | $183005.10    | 0.02%             | 2029-05-07      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7136                                                                     | CUSIP: 3140QE4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24999 | PA      | $22886.18     | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA9432                                                                     | CUSIP: 3140QHPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44123 | PA      | $40390.46     | 0.00%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 5.25 03/01/52                                                             | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      152000 | PA      | $126444.30    | 0.01%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 5.75 05/15/63                                                            | CUSIP: 30303M8R6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      294000 | PA      | $293930.71    | 0.03%             | 2063-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BY2967                                                                     | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46650 | PA      | $47003.58     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                                              | MGMCHI 7.125 06/26/31 REGS                                                    | CUSIP: G60744AJ1<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |      500000 | PA      | $502116.00    | 0.06%             | 2031-06-26      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| SAGARD- HALSEYPOINT CLO 8 LTD                                                        | HLSY 2024-8A A1                                                               | CUSIP: 78662AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248569.53    | 0.03%             | 2038-02-01      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | Petroleos Mexicanos 7.5% SNR NTS 20/03/2026 USD (144A)                        | CUSIP: 71654IAA8<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      422000 | PA      | $413560.00    | 0.05%             | 2026-03-20      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 2.3 12/20/54 85                                                           | CUSIP: J2S39L6L3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   161900000 | PA      | $1053876.43   | 0.12%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V5.23 01/15/31                                                             | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      230000 | PA      | $234505.32    | 0.03%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0894                                                                     | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      215299 | PA      | $174117.55    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                           | AMGN 4.4 02/22/62                                                             | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      270000 | PA      | $205374.23    | 0.02%             | 2062-02-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0785                                                                     | CUSIP: 3140XF2T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180034 | PA      | $164560.75    | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3325                                                                     | CUSIP: 3140XJVT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92407 | PA      | $84631.15     | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Diamond II Ltd.                                                                      | RNW 7.95 07/28/26 REGS                                                        | CUSIP: V28479AA7<br>LEI: 254900KL4GQ2XC50XL44 | Long             | DBT              | CORP              | MU        |      450000 | PA      | $448848.75    | 0.05%             | 2026-07-28      | Fixed         | 7.95%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD2760                                                                     | CUSIP: 3132DQB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       96203 | PA      | $98544.32     | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2023-NQM6                                            | BRAVO 2023-NQM6 B1                                                            | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100276.81    | 0.01%             | 2063-09-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2006-14                                        | CWL 2006-14 M1                                                                | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      109890 | PA      | $94364.35     | 0.01%             | 2035-08-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-NQM1                                                                       | EFMT 2024-NQM1 A1A                                                            | CUSIP: 26845DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      365491 | PA      | $367409.01    | 0.04%             | 2069-11-25      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-1                                                      | AOMT 2025-1 A1                                                                | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-O            | CORP              | US        |      192287 | PA      | $193006.87    | 0.02%             | 2070-01-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V5.587 01/18/36                                                            | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      640000 | PA      | $649232.61    | 0.07%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Residential Mortgage Loan Trust 2025-Nqm1                             | MSRM 2025-NQM1 M1                                                             | CUSIP: 617932AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      182800 | PA      | $183563.46    | 0.02%             | 2069-11-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 6 08/03/55                                                               | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      630000 | PA      | $612807.20    | 0.07%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2006-S8 Trust                                                           | RFMSI 2006-SA4 2A1                                                            | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       19217 | PA      | $15461.53     | 0.00%             | 2036-11-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V3.35 03/02/33 MTN                                                        | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       49000 | PA      | $43995.91     | 0.01%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES 2022-NQM1                                              | GSMBS 2022-NQM1 A4                                                            | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       68585 | PA      | $62608.48     | 0.01%             | 2062-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6149                                                                     | CUSIP: 3140X9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45118 | PA      | $41301.17     | 0.00%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3221                                                                     | CUSIP: 3140XJSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62588 | PA      | $55714.07     | 0.01%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD2886                                                                     | CUSIP: 3132DQF35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       71271 | PA      | $73029.37     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD2893                                                                     | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      196480 | PA      | $197967.36    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC1 TRUST                                                                | PRKCM 2023-AFC1 B1                                                            | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      226000 | PA      | $226591.83    | 0.03%             | 2058-02-25      | Variable      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| ORL TRUST 2024-GLKS MORTGAGE TRUST                                                   | ORL 2024-GLKS A                                                               | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99375.00     | 0.01%             | 2039-12-17      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-1                                     | GDLP 2025-1A A                                                                | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      275069 | PA      | $277294.10    | 0.03%             | 2049-02-20      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CROSS 2025-H1 MORTGAGE TRUST                                                         | CROSS 2025-H1 M1                                                              | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      771848 | PA      | $774769.60    | 0.09%             | 2070-02-25      | Variable      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 6.125 08/03/65                                                           | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1451000 | PA      | $1415488.79   | 0.16%             | 2065-08-03      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0878                                                                     | CUSIP: 3132DM6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       36793 | PA      | $34663.24     | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RC2480                                                                     | CUSIP: 3133L8XH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      232312 | PA      | $212124.71    | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA9422                                                                     | CUSIP: 3140QHPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36641 | PA      | $32622.02     | 0.00%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SB0544                                                                     | CUSIP: 3132CWS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       29332 | PA      | $26868.46     | 0.00%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings Inc.                                                            | WBD 3.755 03/15/27                                                            | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     2155000 | PA      | $2097132.45   | 0.24%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings Inc.                                                            | WBD 5.141 03/15/52                                                            | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       54000 | PA      | $36917.76     | 0.00%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G67715                                                                     | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90714 | PA      | $88827.47     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BH4095                                                                     | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8353 | PA      | $7889.02      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BY0557                                                                     | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52519 | PA      | $52831.87     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM3                                        | NRZT 2024-NQM3 B1                                                             | CUSIP: 647910AG3<br>LEI: 213800HBIGZVLLQA9I67 | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $97917.35     | 0.01%             | 2064-11-25      | Variable      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Voyager Grnpt                                                                        | VOOML 2009-1 SAA7                                                             | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      161547 | PA      | $34880.89     | 0.00%             | 2038-02-26      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM1922                                                                     | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79962 | PA      | $78580.00     | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VEGAS 2024-GCS                                                                       | VEGAS 2024-GCS C                                                              | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $137067.03    | 0.02%             | 2036-07-10      | Variable      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| EFMT 2025-NQM1 TRUST                                                                 | EFMT 2025-NQM1 M1                                                             | CUSIP: 26846CAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      762245 | PA      | $773547.65    | 0.09%             | 2070-01-25      | Variable      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| Northern Institutional Funds                                                         | Northern Institutional Funds TREAS PRT PRMR                                   | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |    19092847 | NS      | $19092847.26  | 2.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Scottsdale Funds                                                            | Vanguard Scottsdale Funds VANGUARD MTG-BACKED SECS ID                         | CUSIP: 92206C771<br>LEI: 549300Y88GQ3VLJIBX57 | Long             | EC               | RF                | US        |     2276865 | NS      | $105464386.80 | 12.06%            |  |  |  | No            |                  1 | On Loan: —       |
| Paramount Global                                                                     | PARA 4.9 08/15/44                                                             | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       21000 | PA      | $15807.82     | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 4.6 01/15/45                                                             | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       57000 | PA      | $41355.57     | 0.00%             | 2045-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 6.875 04/15/32 144A                                                       | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |       35000 | PA      | $36252.27     | 0.00%             | 2032-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: —       |
| Citigroup Inc.                                                                       | C V5.449 06/11/35                                                             | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      437000 | PA      | $438513.02    | 0.05%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4384                                                                     | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95622 | PA      | $92997.82     | 0.01%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V3.705 04/24/28                                                           | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      390000 | PA      | $384398.15    | 0.04%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3239                                                                     | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41032 | PA      | $38712.13     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3333                                                                     | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8638 | PA      | $8144.54      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace Inc                                                                 | Howmet Aerospace Inc COM                                                      | CUSIP: 443201108<br>LEI: 549300HO5WFZUT5N2T22 | Long             | EC               | CORP              | US        |         252 | NS      | $34922.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Paramount Global                                                                     | PARA V6.375 03/30/62                                                          | CUSIP: 92556HAE7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       33000 | PA      | $31743.54     | 0.00%             | 2062-03-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8592                                                                     | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40548 | PA      | $34287.10     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 5.125 05/15/52                                                             | CUSIP: 373334KR1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      108000 | PA      | $98969.52     | 0.01%             | 2052-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 5.8 09/15/62                                                             | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      358000 | PA      | $345034.41    | 0.04%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Grupo Posadas, S.A.B. de C.V.                                                        | POSADA 7 12/30/27 REGS                                                        | CUSIP: P4983GAS9<br>LEI: 529900NRFIXN5G8NUX35 | Long             | DBT              | CORP              | MX        |       26100 | PA      | $23741.56     | 0.00%             | 2027-12-30      | Variable      |  | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V4.571 04/27/33                                                           | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      253000 | PA      | $245116.43    | 0.03%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7556                                                                     | CUSIP: 3132DVMD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1187911 | PA      | $1044095.43   | 0.12%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 5.2 01/15/33                                                             | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       76000 | PA      | $76424.91     | 0.01%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| European Union                                                                       | EU 2.5 10/04/52 NGEU                                                          | CUSIP: BZ0030834<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |      262000 | PA      | $236538.96    | 0.03%             | 2052-10-04      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QE8252                                                                     | CUSIP: 3133BJEZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       26012 | PA      | $24913.35     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                                                 | EIX 6.95 11/15/29                                                             | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      293000 | PA      | $305236.57    | 0.03%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO 2016-1 Ltd.                                                         | TSYMP 2016-1A AR2                                                             | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |      147926 | PA      | $147632.20    | 0.02%             | 2032-10-13      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-78 IP                                                                | CUSIP: 38382TBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      601946 | PA      | $101121.85    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4 02/29/28                                                                  | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       14000 | PA      | $14150.94     | 0.00%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F062655<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -141000 | PA      | $-145197.51   | -0.02%            | 2055-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 5.375 03/15/30                                                            | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      201000 | PA      | $199544.18    | 0.02%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4465                                                                     | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      884876 | PA      | $703869.74    | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F060659<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28858000 | PA      | $29273877.83  | 3.35%             | 2055-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F062663<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      995000 | PA      | $1023726.76   | 0.12%             | 2055-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                                      | EXC 2.85 09/15/51                                                             | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |       84000 | PA      | $51510.53     | 0.01%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.8 12/01/57                                                                | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       28000 | PA      | $19274.09     | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7553                                                                     | CUSIP: 3132DVMA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      936822 | PA      | $825045.70    | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                | CHCOCH 2.742 12/31/39                                                         | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |      544000 | PA      | $429598.70    | 0.05%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.137 11/15/35 144A                                                      | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      122000 | PA      | $101083.91    | 0.01%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ6334                                                                     | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34282 | PA      | $27448.50     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Vici Properties Inc                                                                  | VICI 4.5 01/15/28 144A                                                        | CUSIP: 92564RAK1<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19681.72     | 0.00%             | 2028-01-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9538                                                                     | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188126 | PA      | $151954.02    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0208                                                                     | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      271267 | PA      | $229040.08    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2633                                                                     | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122584 | PA      | $103755.50    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.785 03/17/33                                                             | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      447000 | PA      | $410869.93    | 0.05%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1133                                                                     | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284759 | PA      | $268272.42    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1331                                                                     | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139348 | PA      | $126939.31    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Blue Owl Credit Income Corp.                                                         | OCINCC 4.7 02/08/27 *                                                         | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |      105000 | PA      | $103557.85    | 0.01%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| Targa Resources Corp.                                                                | TRGP 4.2 02/01/33                                                             | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      262000 | PA      | $239260.21    | 0.03%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                                | TRGP 4.95 04/15/52                                                            | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      225000 | PA      | $181189.89    | 0.02%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7552                                                                     | CUSIP: 3132DVL94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      526170 | PA      | $443826.55    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Viper Energy Inc.                                                                    | VNOM 7.375 11/01/31 144A                                                      | CUSIP: 92763MAB1<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |      536000 | PA      | $556438.22    | 0.06%             | 2031-11-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: —       |
| Northern Institutional Funds                                                         | Northern Institutional Funds TREAS PRT PRMR                                   | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |         846 | NS      | $846.42       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.75 11/15/43                                                               | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1402000 | PA      | $1237648.36   | 0.14%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Northern Institutional Funds                                                         | Northern Institutional Funds TREAS PRT PRMR                                   | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |         482 | NS      | $482.32       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6106                                                                     | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      124849 | PA      | $117512.01    | 0.01%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 4.75 02/01/32                                                             | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      480000 | PA      | $450346.75    | 0.05%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7555                                                                     | CUSIP: 3132DVMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       10121 | PA      | $8912.40      | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFP 2022-9 LTD                                                                       | PFP 2022-9 A                                                                  | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |       85854 | PA      | $85645.08     | 0.01%             | 2035-08-16      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                                              | DUK 3 12/15/51                                                                | CUSIP: 26444HAL5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      263000 | PA      | $164866.85    | 0.02%             | 2051-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7768                                                                     | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       96730 | PA      | $85667.32     | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3742                                                                     | CUSIP: 3140XKEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      488652 | PA      | $418690.88    | 0.05%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CB6094                                                                     | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      135171 | PA      | $138571.31    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Greenko Power II Limited                                                             | GRNKEN 4.3 12/13/28 REGS                                                      | CUSIP: V3855MAA5<br>LEI: 254900YYA4B6O2O4JM12 | Long             | DBT              | CORP              | MU        |      250500 | PA      | $229373.66    | 0.03%             | 2028-12-13      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| India Clean Energy Holdings                                                          | INCLEN 4.5 04/18/27 REGS                                                      | CUSIP: V4605MAA6<br>LEI: 254900XQFJ9593DCY022 | Long             | DBT              | CORP              | MU        |      400000 | PA      | $374122.28    | 0.04%             | 2027-04-18      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB6757                                                                     | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245750 | PA      | $251932.68    | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corporation                                                         | NSC 5.35 08/01/54                                                             | CUSIP: 655844CS5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |       44000 | PA      | $41416.04     | 0.00%             | 2054-08-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | GNR 2021-96 MI                                                                | CUSIP: 38382UVU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      116241 | PA      | $20024.51     | 0.00%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical Inc.                                                              | Intuitive Surgical Inc. COM USD0.001                                          | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |          65 | NS      | $33527.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0209                                                                     | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      336339 | PA      | $283717.47    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9925                                                                     | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141111 | PA      | $113887.48    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital PLC                                                           | AALLN 4.75 03/16/52 144A                                                      | CUSIP: 034863BC3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      217000 | PA      | $177274.41    | 0.02%             | 2052-03-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.25 03/15/27                                                               | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1332700 | PA      | $1347432.59   | 0.15%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1334                                                                     | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207724 | PA      | $165642.78    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                                   | VICI 5.125 05/15/32                                                           | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      835000 | PA      | $817181.94    | 0.09%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.25 06/30/31                                                               | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1775700 | PA      | $1812670.62   | 0.21%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                                                           | SAGB 8 01/31/30 2030                                                          | CUSIP: S69124VP7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     5034000 | PA      | $262762.65    | 0.03%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 3.4 02/04/41                                                               | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      519000 | PA      | $373471.53    | 0.04%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 5.875 02/01/29 144A                                                       | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |       83000 | PA      | $82685.04     | 0.01%             | 2029-02-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.65 09/15/59                                                               | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      697000 | PA      | $461015.82    | 0.05%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7649                                                                     | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      333456 | PA      | $284231.36    | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3665                                                                     | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191908 | PA      | $180499.98    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.65 10/21/32                                                             | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      273000 | PA      | $236900.10    | 0.03%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4500                                                                     | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      907196 | PA      | $748233.92    | 0.09%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                                                 | EIX V5 PERP B                                                                 | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |       37000 | PA      | $32731.88     | 0.00%             | 2049-12-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3102                                                                     | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      328437 | PA      | $264351.41    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3101                                                                     | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      178943 | PA      | $144267.72    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 3.25 01/15/32                                                            | CUSIP: 361841AR0<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      535000 | PA      | $460971.35    | 0.05%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0211                                                                     | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215556 | PA      | $173145.65    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Transdigm Group Inc.                                                                 | Transdigm Group Inc. COM USD0.01                                              | CUSIP: 893641100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          23 | NS      | $32500.61     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Inc.                                                                       | Citigroup Inc. COM USD0.01                                                    | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |         460 | NS      | $31454.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2620                                                                     | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      219998 | PA      | $186587.05    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7973                                                                     | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77139 | PA      | $72673.39     | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6343                                                                     | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      264229 | PA      | $223358.18    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHR 5112 KI                                                                   | CUSIP: 3137H0RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      351598 | PA      | $65584.93     | 0.01%             | 2051-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0216                                                                     | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29925 | PA      | $27465.76     | 0.00%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.375 08/15/50                                                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      389000 | PA      | $193998.56    | 0.02%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 5.65 03/16/52                                                          | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      244000 | PA      | $219682.88    | 0.03%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5820                                                                     | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25762 | PA      | $24181.46     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2139                                                                     | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101798 | PA      | $82414.58     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6342                                                                     | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      254116 | PA      | $214832.69    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                        | EQIX 3.9 04/15/32                                                             | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      129000 | PA      | $120742.21    | 0.01%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN CB2165                                                                     | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212322 | PA      | $186738.53    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 5.7 04/01/28                                                              | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      390000 | PA      | $400413.55    | 0.05%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corp.                                                     | FR RA7506                                                                     | CUSIP: 3133KPKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       79902 | PA      | $76554.39     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.875 08/15/34                                                              | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       16000 | PA      | $15672.50     | 0.00%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8641                                                                     | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37794 | PA      | $35867.95     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.75 04/15/28                                                               | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      644000 | PA      | $646968.44    | 0.07%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Meta Platforms Inc                                                                   | Meta Platforms Inc COM USD0.000006 CL 'A'                                     | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |          52 | NS      | $28548.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4492                                                                     | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49906 | PA      | $39684.43     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dewolf Park CLO Ltd.                                                                 | DWOLF 2017-1A AR                                                              | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       95021 | PA      | $94852.79     | 0.01%             | 2030-10-15      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Renew Power Private Ltd.                                                             | RPVIN 5.875 03/05/27 REGS                                                     | CUSIP: Y7279WAA9<br>LEI: 335800BITJZHVZ1CN475 | Long             | DBT              | CORP              | IN        |      400000 | PA      | $390559.68    | 0.04%             | 2027-03-05      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 4.55 05/15/52                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      124000 | PA      | $100521.07    | 0.01%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 5.375 02/01/29                                                            | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      377000 | PA      | $375294.79    | 0.04%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners Lp                                                          | CQP 4 03/01/31                                                                | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      320000 | PA      | $299115.07    | 0.03%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6341                                                                     | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261430 | PA      | $221040.16    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 4.7 05/15/32                                                               | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      142000 | PA      | $141080.45    | 0.02%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0212                                                                     | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      211650 | PA      | $170313.39    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2601                                                                     | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      197750 | PA      | $159728.10    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V6.296 10/18/28                                                            | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      543000 | PA      | $565442.69    | 0.06%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.375 12/15/26                                                              | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2711900 | PA      | $2740819.86   | 0.31%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0732                                                                     | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      139748 | PA      | $112156.11    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.875 02/28/27                                                              | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        4000 | PA      | $3876.09      | 0.00%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GE Vernova Inc.                                                                      | GE Vernova Inc. COM                                                           | CUSIP: 36828A101<br>LEI: 254900DP080RU6OK2553 | Long             | EC               | CORP              | US        |         127 | NS      | $47094.14     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.125 08/15/40                                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1373000 | PA      | $850401.88    | 0.10%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Vici Properties Inc                                                                  | VICI 3.875 02/15/29 144A                                                      | CUSIP: 92564RAL9<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |      198000 | PA      | $189606.90    | 0.02%             | 2029-02-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3105                                                                     | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125214 | PA      | $101136.69    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Southern Co.                                                                         | SO 5.7 10/15/32                                                               | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       93000 | PA      | $96642.90     | 0.01%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WOW CAYMAN HOLDING LTD                                                               | WOW CAYMAN HOLDING LTD                                                        | CUSIP: 11999RV98<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         405 | NS      | $11340.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5771                                                                     | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4648 | PA      | $4362.83      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hungary (Republic Of)                                                                | REPHUN 5.375 09/12/33 10Y                                                     | CUSIP: X93622GQ9<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |        6000 | PA      | $7124.69      | 0.00%             | 2033-09-12      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SB0510                                                                     | CUSIP: 3132CWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       44050 | PA      | $39218.09     | 0.00%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Belgium (Kingdom Of)                                                                 | BGB 3.3 06/22/54 98                                                           | CUSIP: B1121KHY4<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      835520 | PA      | $867842.33    | 0.10%             | 2054-06-22      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2022-85 IK                                                                | CUSIP: 38383R2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      355865 | PA      | $61304.15     | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.375 05/15/34                                                              | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      572000 | PA      | $582948.43    | 0.07%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7535                                                                     | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      668394 | PA      | $592027.03    | 0.07%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP/Targa Resources Finance Corp.                            | TRGP 4.875 02/01/31                                                           | CUSIP: 87612BBS0<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |      580000 | PA      | $564087.49    | 0.06%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8635                                                                     | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34099 | PA      | $32309.42     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.5 09/15/53                                                                | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      311000 | PA      | $208160.64    | 0.02%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1552                                                                     | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2368304 | PA      | $1984635.91   | 0.23%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD2163                                                                     | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      125147 | PA      | $127299.12    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.52 11/03/32                                                              | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |        7000 | PA      | $6032.97      | 0.00%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                            | NEE 2.875 12/04/51                                                            | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       47000 | PA      | $29546.14     | 0.00%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2079                                                                     | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      308308 | PA      | $247052.03    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain Fuji U.S. CLO I                                                         | BLUEM 2017-2A A1AR                                                            | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      196869 | PA      | $196869.25    | 0.02%             | 2030-10-21      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 5.45 04/01/31                                                             | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      306000 | PA      | $311857.75    | 0.04%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                      | CWHL 2007-9 A11                                                               | CUSIP: 12544XAV7<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |       13848 | PA      | $6467.77      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4586                                                                     | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71280 | PA      | $60852.72     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.375 11/15/39                                                              | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       64000 | PA      | $63252.50     | 0.01%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RC1975                                                                     | CUSIP: 3133L8FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       61970 | PA      | $55057.38     | 0.01%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-83 PI                                                                | CUSIP: 38382QQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      216482 | PA      | $36924.38     | 0.00%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CALIF                                                                     | CA UNVHGR 4.86 05/15/2112                                                     | CUSIP: 91412GHA6<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |       25000 | PA      | $20693.78     | 0.00%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                                                  | NY PORTRN 4.96 08/01/2046                                                     | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       60000 | PA      | $56736.38     | 0.01%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD3176                                                                     | CUSIP: 3132DQQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      155170 | PA      | $159073.82    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3832                                                                     | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      169471 | PA      | $172401.80    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8636                                                                     | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23735 | PA      | $22434.96     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                  | SYF 2.875 10/28/31                                                            | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      314000 | PA      | $266048.28    | 0.03%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD2598                                                                     | CUSIP: 3132DP3F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       43762 | PA      | $44531.85     | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA5039                                                                     | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1913098 | PA      | $1912200.77   | 0.22%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA8560                                                                     | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       76352 | PA      | $77680.78     | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8073                                                                     | CUSIP: 3140QF6K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204283 | PA      | $176268.32    | 0.02%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5530                                                                     | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6404 | PA      | $6010.84      | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PORT BEAUMONT TEX NAV DIST                                                           | TX PTBTRN 10 07/01/2026                                                       | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |      190000 | PA      | $195166.73    | 0.02%             | 2026-07-01      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Synchrony Financial                                                                  | SYF 7.25 02/02/33                                                             | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      739000 | PA      | $753584.07    | 0.09%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Northrop Grumman Corporation                                                         | NOC 4.95 03/15/53                                                             | CUSIP: 666807CJ9<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       70000 | PA      | $61790.47     | 0.01%             | 2053-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSN AUTH N Y                                                         | NY MTATRN 6.67 11/15/2039                                                     | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |       70000 | PA      | $75570.76     | 0.01%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| MUNICIPAL ELEC AUTH GA                                                               | GA MELPWR 6.64 04/01/2057                                                     | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |       38000 | PA      | $41329.02     | 0.00%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      726000 | PA      | $675648.26    | 0.08%             | 2055-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA2708                                                                     | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10111 | PA      | $9551.83      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB0428                                                                     | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      398082 | PA      | $365747.16    | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                           | AMGN 5.75 03/02/63                                                            | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       81000 | PA      | $77030.25     | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4280                                                                     | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255875 | PA      | $192934.31    | 0.02%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7767                                                                     | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      227103 | PA      | $193576.93    | 0.02%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                                                                   | PERU 7.3 08/12/33 REGS                                                        | CUSIP: 715638DZ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      159000 | PA      | $46450.21     | 0.01%             | 2033-08-12      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 6.625 09/27/29 REGS                                                    | CUSIP: X7360WCL4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       18000 | PA      | $21845.67     | 0.00%             | 2029-09-27      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| LOS ANGELES CALIF CMNTY COLLEGE DIST                                                 | CA LOSHGR 6.6 08/01/2042                                                      | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       45000 | PA      | $49101.68     | 0.01%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F022659<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |      -13400 | PA      | $-11137.69    | -0.00%            | 2055-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 5.65 03/15/33                                                             | CUSIP: 03027XBZ2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |       51000 | PA      | $52692.41     | 0.01%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V5.164 04/20/29 MTN                                                        | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      638000 | PA      | $649533.20    | 0.07%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.25 10/15/27                                                             | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      153000 | PA      | $153644.53    | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2622                                                                     | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      402058 | PA      | $339472.68    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CNX Resources Corporation                                                            | CNX 7.25 03/01/32 144A                                                        | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      145000 | PA      | $144918.21    | 0.02%             | 2032-03-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 6.1 04/01/64                                                              | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      342000 | PA      | $326736.26    | 0.04%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0193                                                                     | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207655 | PA      | $174542.74    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA5368                                                                     | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80008 | PA      | $75254.27     | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8564                                                                     | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      140174 | PA      | $119480.58    | 0.01%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD2306                                                                     | CUSIP: 3132DPR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       47622 | PA      | $47015.44     | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3251                                                                     | CUSIP: 3140XJTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50300 | PA      | $51426.47     | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 7 03/15/33 144A                                                           | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      873000 | PA      | $940592.90    | 0.11%             | 2033-03-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CB6063                                                                     | CUSIP: 3140QRWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210607 | PA      | $207924.52    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2022-78 IO                                                                | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       69590 | PA      | $11845.34     | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR7802                                                                     | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92433 | PA      | $74470.95     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLGB 4.75 07/25/29 0729                                                      | CUSIP: X8T02EDA8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      345000 | PA      | $92239.71     | 0.01%             | 2029-07-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Northern Institutional Funds                                                         | Northern Institutional Funds TREAS PRT PRMR                                   | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |         107 | NS      | $107.05       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.375 07/15/27                                                              | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       24000 | PA      | $24388.13     | 0.00%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH                                                               | NJ NJSTRN 7.41 01/01/2040                                                     | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      106000 | PA      | $127877.98    | 0.01%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.25 11/15/40                                                               | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1312700 | PA      | $1268909.14   | 0.15%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Limited                                                        | MPEL 5.75 07/21/28 REGS                                                       | CUSIP: G5975LAF3<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $188628.49    | 0.02%             | 2028-07-21      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8134                                                                     | CUSIP: 3132DWBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      366838 | PA      | $291349.86    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-32 PI                                                                | CUSIP: 3136B9RB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |       71420 | PA      | $15375.81     | 0.00%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| India Green Power Holdings                                                           | INGPHL 4 02/22/27 REGS                                                        | CUSIP: V4819LAA0<br>LEI: 254900I7N0GT4VVL6V29 | Long             | DBT              | CORP              | MU        |      216650 | PA      | $206222.79    | 0.02%             | 2027-02-22      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7599                                                                     | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1769387 | PA      | $1614705.62   | 0.18%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.55 09/15/55                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       63000 | PA      | $42189.62     | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.187 11/15/36 144A                                                      | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       45000 | PA      | $36722.74     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V1.948 10/21/27                                                            | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      265000 | PA      | $255258.97    | 0.03%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ0697                                                                     | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46570 | PA      | $37312.11     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0716                                                                     | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      469108 | PA      | $380222.92    | 0.04%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5305                                                                     | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56755 | PA      | $45815.20     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 3.5 02/12/34                                                              | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      451000 | PA      | $368452.57    | 0.04%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2621                                                                     | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      266794 | PA      | $225661.60    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST 2025-HE1                                                                 | FIGRE 2025-HE1 A                                                              | CUSIP: 30191LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      846240 | PA      | $853966.51    | 0.10%             | 2055-01-25      | Variable      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                        | NRZT 2025-NQM1 A1                                                             | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-O            | CORP              | US        |      147684 | PA      | $148514.82    | 0.02%             | 2065-01-25      | Variable      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4452                                                                     | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20266 | PA      | $19000.55     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 5.45 03/01/47                                                               | CUSIP: 00206RDS8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       94000 | PA      | $87129.41     | 0.01%             | 2047-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc                                                                       | S&P Global Inc COM USD1                                                       | CUSIP: 78409V104<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | EC               | CORP              | US        |          64 | NS      | $32003.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com, Inc.                                                                     | Amazon.com, Inc. COM USD0.01                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |         159 | NS      | $29322.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp.                                                                         | NVIDIA Corp. COM USD0.001                                                     | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |         289 | NS      | $31477.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mckesson Corp.                                                                       | Mckesson Corp. COM USD0.01                                                    | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |          47 | NS      | $33501.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| The Boeing Company                                                                   | The Boeing Company COM USD5.00                                                | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |         209 | NS      | $38297.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Boston Scientific Corporation                                                        | Boston Scientific Corporation COM USD0.01                                     | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |         329 | NS      | $33844.23     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Lockheed Martin Corporation                                                          | Lockheed Martin Corporation COM USD1.00                                       | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |          64 | NS      | $30576.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corp.                                                          | Capital One Financial Corp. COM USD0.01                                       | CUSIP: 14040H105<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EC               | CORP              | US        |         188 | NS      | $33888.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Costco Wholesale Corporation                                                         | Costco Wholesale Corporation COM USD0.01                                      | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |          32 | NS      | $31824.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Stryker Corporation                                                                  | Stryker Corporation COM USD0.10                                               | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |          84 | NS      | $31409.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Thermo Fisher Scientific Inc                                                         | Thermo Fisher Scientific Inc COM USD1                                         | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |          59 | NS      | $25311.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Union Pacific Corporation                                                            | Union Pacific Corporation COM USD2.50                                         | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |         125 | NS      | $26957.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc.                                                                        | Alphabet Inc. CAP USD0.001 CL C                                               | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |         184 | NS      | $29603.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VICI Properties LP                                                                   | VICI 4.95 02/15/30                                                            | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      201000 | PA      | $199581.52    | 0.02%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | Kinder Morgan, Inc. COM USD0.01                                               | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |        1507 | NS      | $39634.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Servicenow Inc                                                                       | Servicenow Inc COM USD0.001                                                   | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |          40 | NS      | $38200.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Blackstone Mortgage Trust, Inc                                                       | Blackstone Mortgage Trust, Inc COM USD0.01 CLS'A'                             | CUSIP: 09257W100<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | EC               | CORP              | US        |        9994 | NS      | $190385.70    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Live Nation Entertainment, Inc.                                                      | Live Nation Entertainment, Inc. COM USD0.01                                   | CUSIP: 538034109<br>LEI: 5493007B9BM9ZXJINO78 | Long             | EC               | CORP              | US        |         252 | NS      | $33377.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR1615                                                                     | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      238597 | PA      | $190854.37    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0496                                                                     | CUSIP: 3140XFRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57214 | PA      | $54115.82     | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1335                                                                     | CUSIP: 3140XGPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30700 | PA      | $29050.13     | 0.00%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lam Research Corporation                                                             | Lam Research Corporation COM NEW                                              | CUSIP: 512807306<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |         419 | NS      | $30029.73     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Snowflake Inc                                                                        | Snowflake Inc CL A                                                            | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Long             | EC               | CORP              | US        |         209 | NS      | $33333.41     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM TRUST 2025-I1                                                                    | CIM 2025-I1 M1                                                                | CUSIP: 12571DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      900000 | PA      | $910435.86    | 0.10%             | 2069-10-25      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO 2025-40 LTD                                                                  | OCP 2025-40A A                                                                | CUSIP: 67570FAA3<br>LEI: 213800QIHA4XNVT4QI66 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $246452.55    | 0.03%             | 2038-04-16      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V5.707 04/22/28 MTN                                                       | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      762000 | PA      | $778905.58    | 0.09%             | 2028-04-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V5.727 04/25/30                                                            | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51827.30     | 0.01%             | 2030-04-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| iShares Trust                                                                        | iShares Trust US TREASURY BD ETF USD DIS                                      | CUSIP: 46429B267<br>LEI: 5493000860OXIC4B5K91 | Long             | EC               | RF                | US        |    12034348 | NS      | $277752751.84 | 31.76%            |  |  |  | No            |                  1 | On Loan: No      |
| BondBloxx ETF Trust                                                                  | BondBloxx ETF Trust BLOOMBERG TEN YEAR TARGET DURATION US TREASURY ETF        | CUSIP: 09789C812<br>LEI: N/A                  | Long             | EC               | RF                | US        |      572996 | NS      | $26615664.20  | 3.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BK9818                                                                     | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13051 | PA      | $12998.64     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 2.65 03/01/30                                                              | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |       24000 | PA      | $21763.68     | 0.00%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3173                                                                     | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5947 | PA      | $5480.13      | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 3.875 03/17/28                                                         | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      400000 | PA      | $382031.80    | 0.04%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4322                                                                     | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       88405 | PA      | $83318.42     | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3736                                                                     | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      292680 | PA      | $269085.51    | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dryden XXVI Senior Loan Fund                                                         | DRSLF 2013-26A AR                                                             | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |       75515 | PA      | $75477.26     | 0.01%             | 2029-04-16      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL5597                                                                     | CUSIP: 3138ENGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85297 | PA      | $83717.01     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V1.898 07/23/31 MTN                                                       | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1020000 | PA      | $884552.16    | 0.10%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA3313                                                                     | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       65181 | PA      | $57324.64     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7070                                                                     | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41312 | PA      | $38996.00     | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | ARGENT 1 07/09/29                                                             | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |        4680 | PA      | $3762.72      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN MA4181                                                                     | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189475 | PA      | $142962.00    | 0.02%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6994                                                                     | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       93939 | PA      | $76653.40     | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | PEMEX 7.69 01/23/50                                                           | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       42000 | PA      | $30643.16     | 0.00%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.764 11/19/31                                                           | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      232000 | PA      | $198746.91    | 0.02%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V1.794 02/13/32 MTN                                                        | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      388000 | PA      | $327245.67    | 0.04%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: —       |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.95 06/30/62                                                            | CUSIP: 161175CG7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      472000 | PA      | $281858.89    | 0.03%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Philippines (Republic Of)                                                            | PHILIP 3 02/01/28                                                             | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      400000 | PA      | $386494.09    | 0.04%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Bank of America Corp.                                                                | BAC V3.97 03/05/29 MTN                                                        | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       75000 | PA      | $73944.98     | 0.01%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8059                                                                     | CUSIP: 3132DV5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       76762 | PA      | $74168.84     | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mileage Plus Hldgs Llc / Mileage Plus Intellectual Property Assets Ltd               | UAL 6.5 06/20/27 144A                                                         | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       95520 | PA      | $95819.06     | 0.01%             | 2027-06-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN MA4119                                                                     | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114434 | PA      | $91574.39     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7073                                                                     | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9469 | PA      | $8897.39      | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Saudi Arabia (Kingdom of)                                                            | KSA 3.45 02/02/61 REGS                                                        | CUSIP: M6320UBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      200000 | PA      | $122808.00    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 4.95 07/01/50                                                             | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      194000 | PA      | $156272.24    | 0.02%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                             | DUK 2.5 08/15/50                                                              | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      444000 | PA      | $253695.18    | 0.03%             | 2050-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 5 01/15/29                                                                | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      643000 | PA      | $643200.30    | 0.07%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 2.659 05/24/31                                                            | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      568000 | PA      | $482463.74    | 0.06%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7135                                                                     | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1023194 | PA      | $834914.25    | 0.10%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8172                                                                     | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       33232 | PA      | $26439.38     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7253                                                                     | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127577 | PA      | $119689.50    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V2.831 10/24/51 MTN                                                       | CUSIP: 06051GJM2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       40000 | PA      | $24396.50     | 0.00%             | 2051-10-24      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V1.992 01/27/32                                                            | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      778000 | PA      | $663110.24    | 0.08%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| ConnectWise                                                                          | ConnectWise Term Loan B 350 2028-09-07                                        | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       22794 | PA      | $22717.98     | 0.00%             | 2028-09-07      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZN2699                                                                     | CUSIP: 3131Y87L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      205218 | PA      | $199511.82    | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1518                                                                     | CUSIP: 3140X4VL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45002 | PA      | $43834.03     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BO7302                                                                     | CUSIP: 3140K3DG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45693 | PA      | $44224.44     | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sprint LLC                                                                           | S 7.625 03/01/26                                                              | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |      298000 | PA      | $301902.73    | 0.03%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA3282                                                                     | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      290344 | PA      | $256569.39    | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corporation                                                         | NSC 3.155 05/15/55                                                            | CUSIP: 655844CH9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |       44000 | PA      | $27736.87     | 0.00%             | 2055-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V1.922 10/24/31 MTN                                                       | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       60000 | PA      | $51752.97     | 0.01%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7938                                                                     | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      230901 | PA      | $215876.14    | 0.02%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4158                                                                     | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      193215 | PA      | $154764.29    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6876                                                                     | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63444 | PA      | $60562.99     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8082                                                                     | CUSIP: 3132DV6T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      209661 | PA      | $158122.32    | 0.02%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 3.625 02/15/31 144A                                                       | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      213000 | PA      | $191438.54    | 0.02%             | 2031-02-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.953 02/04/32                                                           | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      519000 | PA      | $445596.84    | 0.05%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3121                                                                     | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4866 | PA      | $4598.24      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PG&E Corporation                                                                     | PCG 5.25 07/01/30                                                             | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      759000 | PA      | $731282.37    | 0.08%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 4.5 07/01/40                                                              | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       71000 | PA      | $58865.70     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6849                                                                     | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65507 | PA      | $62662.81     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6823                                                                     | CUSIP: 36179VSL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6433 | PA      | $6235.99      | 0.00%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ecuador (Republic Of)                                                                | ECUA 5 07/31/40 REGS                                                          | CUSIP: P8054QBE2<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |       18926 | PA      | $9867.64      | 0.00%             | 2040-07-31      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 1.5 09/18/30                                                               | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      245000 | PA      | $209710.80    | 0.02%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7255                                                                     | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121139 | PA      | $113427.97    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.85 04/01/61                                                            | CUSIP: 161175BY9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |       93000 | PA      | $55042.40     | 0.01%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | G2 MA7137                                                                     | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      509153 | PA      | $451656.08    | 0.05%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 4.25 03/15/52                                                            | CUSIP: 25278XAT6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       75000 | PA      | $54936.49     | 0.01%             | 2052-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0316                                                                     | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1773768 | PA      | $1463504.45   | 0.17%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 5.875 06/30/26                                                         | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      156000 | PA      | $157354.40    | 0.02%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 5 03/15/27                                                             | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      369000 | PA      | $371579.52    | 0.04%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern Co.                                                                         | SO 4.25 07/01/36                                                              | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       42000 | PA      | $38049.22     | 0.00%             | 2036-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 3.45 10/04/26                                                            | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       84000 | PA      | $82109.34     | 0.01%             | 2026-10-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.25 06/30/29                                                               | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        2000 | PA      | $2043.91      | 0.00%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc.                                                               | BATSLN 8.125 05/01/40 *                                                       | CUSIP: 761713BV7<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      205000 | PA      | $231000.60    | 0.03%             | 2040-05-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3376                                                                     | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6103 | PA      | $5619.40      | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                                        | WBD 4.9 03/11/26                                                              | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |       29000 | PA      | $28976.46     | 0.00%             | 2026-03-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Lebanese Republic                                                                    | LEBAN 6.65 11/03/28 GMTN                                                      | CUSIP: M8787UAP6<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |       42000 | PA      | $7268.08      | 0.00%             | 2028-11-03      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN F 08/01/41 REGS                                                        | CUSIP: X5S005UN9<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       14000 | PA      | $9993.03      | 0.00%             | 2041-05-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0003                                                                     | CUSIP: 3140XFAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56350 | PA      | $49898.76     | 0.01%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3310                                                                     | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30206 | PA      | $27821.67     | 0.00%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 2.9 01/15/27                                                             | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      212000 | PA      | $205951.99    | 0.02%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Peru (Republic Of)                                                                   | PERU 3.55 03/10/51                                                            | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      180000 | PA      | $121276.92    | 0.01%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic Of)                                                                | URUGUA 5.1 06/18/50                                                           | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      267641 | PA      | $245226.07    | 0.03%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Ffmlt Trust 2006/Ff13                                                                | FFML 2006-FF13 A2C                                                            | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       14912 | PA      | $9630.91      | 0.00%             | 2036-10-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA2754                                                                     | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5712 | PA      | $5272.29      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                     | DUK 3.95 08/15/47                                                             | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |       88000 | PA      | $64436.48     | 0.01%             | 2047-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Company                                                     | EXC 3.75 08/15/47 *                                                           | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |       40000 | PA      | $29770.55     | 0.00%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Petroleos de Venezuela SA                                                            | PDVSA 9.75 05/17/35 REGS                                                      | CUSIP: P7807HAQ8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | NUSS              | VE        |       25900 | PA      | $3302.25      | 0.00%             | 2035-05-17      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.668 07/24/28                                                             | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |        8000 | PA      | $7851.63      | 0.00%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.9 06/01/52                                                             | CUSIP: 161175CA0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      541000 | PA      | $342655.09    | 0.04%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                                      | EXC 3.05 03/15/51                                                             | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      125000 | PA      | $80034.55     | 0.01%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 5.625 02/01/36                                                            | CUSIP: 842400FC2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       66000 | PA      | $64744.08     | 0.01%             | 2036-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                    | MASTR 2007-1 1A4                                                              | CUSIP: 55292AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      562796 | PA      | $93894.29     | 0.01%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC 4.875 04/01/44 MTN                                                        | CUSIP: 06051GFG9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       22000 | PA      | $20011.47     | 0.00%             | 2044-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 4.5 05/15/30                                                           | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      387000 | PA      | $381678.36    | 0.04%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZS9068                                                                     | CUSIP: 3132AACD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       35833 | PA      | $35129.47     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SC0063                                                                     | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      129589 | PA      | $126239.45    | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 5.55 01/15/37 06-E                                                        | CUSIP: 842400FF5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       83000 | PA      | $80013.36     | 0.01%             | 2037-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Juniper Networks, Inc.                                                               | JNPR 5.95 03/15/41                                                            | CUSIP: 48203RAD6<br>LEI: AUHIXNGG7U2U7JEHM527 | Long             | DBT              | CORP              | US        |       19000 | PA      | $18726.49     | 0.00%             | 2041-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 4.375 03/15/43                                                           | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       30000 | PA      | $21610.36     | 0.00%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Alabama Power Company                                                                | SO 3.75 03/01/45                                                              | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       49000 | PA      | $37665.19     | 0.00%             | 2045-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                        | CA CAS 4.6 04/01/2038                                                         | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      415000 | PA      | $421601.32    | 0.05%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLGB 2.75 10/25/29 1029                                                      | CUSIP: X8T024E27<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      360000 | PA      | $88862.99     | 0.01%             | 2029-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                   | GSR 2007-1F 2A4                                                               | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       48692 | PA      | $88954.14     | 0.01%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4511                                                                     | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       85958 | PA      | $81101.12     | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 3.375 02/15/28                                                           | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       57000 | PA      | $55134.24     | 0.01%             | 2028-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| EQT Corporation                                                                      | EQT 3.9 10/01/27                                                              | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      204000 | PA      | $200116.96    | 0.02%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 3.125 03/24/31                                                           | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     1031000 | PA      | $932038.82    | 0.11%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 4.4 03/24/51                                                             | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      282000 | PA      | $209723.87    | 0.02%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 3.6 03/15/51                                                              | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       73000 | PA      | $51022.38     | 0.01%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 5.85 09/01/43                                                            | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       71000 | PA      | $60186.35     | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Petroleos de Venezuela SA                                                            | PDVSA 6 11/15/26 REGS                                                         | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | NUSS              | VE        |       23100 | PA      | $2679.60      | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 5.25 04/01/44                                                            | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       25000 | PA      | $19085.95     | 0.00%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Firstenergy Transmission Llc                                                         | FE 5.45 07/15/44 144A                                                         | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      155000 | PA      | $147847.58    | 0.02%             | 2044-07-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.4 11/01/34                                                               | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      299000 | PA      | $282100.14    | 0.03%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Ministerio de Hacienda y Credito Publico                                             | COLTES 7.75 09/18/30 B                                                        | CUSIP: P6S32JH78<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   548000000 | PA      | $112933.10    | 0.01%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BXP Trust 2017-CC                                                                    | BXP 2017-GM D                                                                 | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      370000 | PA      | $348457.08    | 0.04%             | 2039-06-15      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 4.03 10/15/47                                                             | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      206000 | PA      | $161428.98    | 0.02%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7192                                                                     | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72446 | PA      | $59114.95     | 0.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.375 09/30/27                                                              | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      970000 | PA      | $898386.72    | 0.10%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.75 05/31/30                                                               | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1046000 | PA      | $1046408.59   | 0.12%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.109 04/22/51                                                           | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      126000 | PA      | $83223.13     | 0.01%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 2.1 06/15/30                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |       30000 | PA      | $26428.07     | 0.00%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 4.5 03/09/48                                                                | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       85000 | PA      | $69325.26     | 0.01%             | 2048-03-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SI2075                                                                     | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       47378 | PA      | $37951.42     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NQM3 TRUST                                                                 | CSMC 2022-NQM3 A1B                                                            | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      111000 | PA      | $107746.82    | 0.01%             | 2067-03-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FP0025                                                                     | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80236 | PA      | $64256.80     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG J38060                                                                     | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      118331 | PA      | $115251.28    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 2.7 04/15/31                                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      174000 | PA      | $154708.45    | 0.02%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                    | CCI 5.6 06/01/29                                                              | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      143000 | PA      | $146911.57    | 0.02%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG J37706                                                                     | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      113937 | PA      | $110946.49    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG J37835                                                                     | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      159642 | PA      | $155320.10    | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gartner Inc.                                                                         | IT 4.5 07/01/28 144A                                                          | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      583000 | PA      | $574653.31    | 0.07%             | 2028-07-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0496                                                                     | CUSIP: 3132DMRR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      661527 | PA      | $593361.02    | 0.07%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8387                                                                     | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      295523 | PA      | $276293.91    | 0.03%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-185 MI                                                               | CUSIP: 38382LV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       64438 | PA      | $9148.43      | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM4351                                                                     | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40092 | PA      | $39051.68     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ohio Power Company                                                                   | AEP 4 06/01/49                                                                | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      190000 | PA      | $141190.97    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN3960                                                                     | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241081 | PA      | $234476.63    | 0.03%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZS4751                                                                     | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       59151 | PA      | $54201.59     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                      | CAMLNG 3.402 01/15/38 144A                                                    | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      479000 | PA      | $400309.27    | 0.05%             | 2038-01-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.666 01/29/31                                                             | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      283000 | PA      | $257043.61    | 0.03%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 3.4 03/01/50 C                                                             | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      599000 | PA      | $394338.87    | 0.05%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 5.282 04/02/50                                                         | CUSIP: 05526DBQ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      243000 | PA      | $208435.39    | 0.02%             | 2050-04-02      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Equitrans Midstream Corporation                                                      | EQM 6.5 07/01/27 144A                                                         | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |      215000 | PA      | $218607.49    | 0.02%             | 2027-07-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | ARGENT 4.125 07/09/35                                                         | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |        9150 | PA      | $6101.99      | 0.00%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | ARGENT 3.5 07/09/41                                                           | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |        9100 | PA      | $5491.98      | 0.00%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: —       |
| RTX Corp.                                                                            | RTX 7 11/01/28                                                                | CUSIP: 75513EBZ3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      154000 | PA      | $162518.91    | 0.02%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0520                                                                     | CUSIP: 3132DMSH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      177303 | PA      | $167067.31    | 0.02%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA2469                                                                     | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20632 | PA      | $19447.46     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G61677                                                                     | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42595 | PA      | $41614.42     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ffmlt Trust 2006/Ff13                                                                | FFML 2006-FF13 A1                                                             | CUSIP: 30247DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       25558 | PA      | $16300.32     | 0.00%             | 2036-10-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Edison International                                                                 | EIX 5.75 06/15/27                                                             | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      125000 | PA      | $125793.33    | 0.01%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM6019                                                                     | CUSIP: 3140JAVM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98847 | PA      | $97418.76     | 0.01%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1680                                                                     | CUSIP: 3140X42N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57432 | PA      | $55152.24     | 0.01%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Caterpillar Inc                                                                      | CAT 3.25 04/09/50                                                             | CUSIP: 149123CJ8<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |       73000 | PA      | $50464.69     | 0.01%             | 2050-04-09      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0519                                                                     | CUSIP: 3132DMSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      386967 | PA      | $342241.44    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G61989                                                                     | CUSIP: 31335CF66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1795615 | PA      | $1664343.26   | 0.19%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust 2004-8                                                        | GSAA 2006-4 1A1                                                               | CUSIP: 362334FD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       41152 | PA      | $27114.65     | 0.00%             | 2036-03-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDON 3.05 03/12/51                                                           | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      222000 | PA      | $143955.58    | 0.02%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM3208                                                                     | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28067 | PA      | $27338.84     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL9475                                                                     | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37498 | PA      | $36741.58     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G67721                                                                     | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25632 | PA      | $24988.13     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 4.45 06/15/29 144A                                                        | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      202000 | PA      | $196700.56    | 0.02%             | 2029-06-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 3.8 08/15/29                                                              | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      175000 | PA      | $169174.30    | 0.02%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZA2471                                                                     | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        4960 | PA      | $4670.04      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.5 08/01/50                                                              | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      695000 | PA      | $444467.51    | 0.05%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SC0111                                                                     | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       96206 | PA      | $90728.27     | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 2.6 02/15/33 144A                                                        | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      144000 | PA      | $121428.67    | 0.01%             | 2033-02-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS5480                                                                     | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25407 | PA      | $24831.38     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA2963                                                                     | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134691 | PA      | $130999.98    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZM1677                                                                     | CUSIP: 3131XU2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      515869 | PA      | $461752.53    | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 7 02/01/30                                                                | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      317000 | PA      | $338065.70    | 0.04%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 4.5 04/01/56                                                           | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      247000 | PA      | $150629.60    | 0.02%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6599                                                                     | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      127729 | PA      | $113561.13    | 0.01%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.7 04/01/51                                                             | CUSIP: 161175BV5<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |       51000 | PA      | $31426.41     | 0.00%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 3.125 05/15/50                                                            | CUSIP: 036752AM5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       29000 | PA      | $18607.61     | 0.00%             | 2050-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | ARGENT 0.75 07/09/30                                                          | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       12320 | PA      | $9424.80      | 0.00%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: —       |
| Dominican Republic                                                                   | DOMREP 4.875 09/23/32 144A                                                    | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |       70000 | PA      | $62772.50     | 0.01%             | 2032-09-23      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4237                                                                     | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1373167 | PA      | $1098114.05   | 0.13%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5292                                                                     | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      159629 | PA      | $140617.13    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8389                                                                     | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83905 | PA      | $80106.21     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Antero Resources Corporation                                                         | AR 7.625 02/01/29 144A                                                        | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |      202000 | PA      | $206396.53    | 0.02%             | 2029-02-01      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G60972                                                                     | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15861 | PA      | $15484.92     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G61886                                                                     | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23136 | PA      | $23144.58     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG G61079                                                                     | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16366 | PA      | $15977.84     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDON 2.85 02/14/30                                                           | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      400000 | PA      | $368727.59    | 0.04%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Ministerio de Hacienda y Credito Publico                                             | COLTES 5.75 11/03/27 B                                                        | CUSIP: P6S32JT83<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   250300000 | PA      | $54297.12     | 0.01%             | 2027-11-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Vici Properties Inc                                                                  | VICI 3.75 02/15/27 144A                                                       | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      647000 | PA      | $635133.37    | 0.07%             | 2027-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| NVIDIA Corp.                                                                         | NVDA 3.7 04/01/60                                                             | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       37000 | PA      | $27156.33     | 0.00%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Frontier Communications Parent Inc                                                   | FYBR 5 05/01/28 144A                                                          | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      148000 | PA      | $146472.47    | 0.02%             | 2028-05-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Virginia Electric and Power Company                                                  | D 2.45 12/15/50                                                               | CUSIP: 927804GD0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      158000 | PA      | $86963.78     | 0.01%             | 2050-12-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8388                                                                     | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      336964 | PA      | $315038.08    | 0.04%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-146 DI                                                               | CUSIP: 38382KWB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       61388 | PA      | $8816.32      | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO 2016-1 LLC                                      | CGMS 2014-3RA A1A                                                             | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       42821 | PA      | $42820.90     | 0.00%             | 2031-07-28      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN1623                                                                     | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31082 | PA      | $30262.91     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                      | CAMLNG 3.302 01/15/35 144A                                                    | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       47000 | PA      | $39472.77     | 0.00%             | 2035-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Vici Properties Inc                                                                  | VICI 4.625 12/01/29 144A                                                      | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      745000 | PA      | $723586.17    | 0.08%             | 2029-12-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 3.7 01/30/50 B                                                             | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |       27000 | PA      | $19831.32     | 0.00%             | 2050-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6658                                                                     | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6121 | PA      | $5751.77      | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc.                                                                          | PFE 2.7 05/28/50                                                              | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      111000 | PA      | $67408.86     | 0.01%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.572 06/03/31                                                             | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      143000 | PA      | $128035.25    | 0.01%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8391                                                                     | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36550 | PA      | $34890.73     | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5315                                                                     | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40300 | PA      | $36960.66     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8128                                                                     | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      920268 | PA      | $730599.84    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7423                                                                     | CUSIP: 3140XBG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212796 | PA      | $189060.49    | 0.02%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V5.25 04/21/34 MTN                                                         | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      103000 | PA      | $102999.77    | 0.01%             | 2034-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.75 12/31/28                                                               | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2221000 | PA      | $2228981.72   | 0.25%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Egypt (Arab Republic of)                                                             | EGYGB 21.383 02/04/28 3Y                                                      | CUSIP: M5R1CXAW8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      800000 | PA      | $15325.14     | 0.00%             | 2028-02-04      | Fixed         | 21.38%                | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.5 04/30/27                                                                | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      769000 | PA      | $723340.63    | 0.08%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Northern Institutional Funds                                                         | Northern Institutional Funds TREAS PRT PRMR                                   | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |    14766624 | NS      | $14766623.50  | 1.69%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.375 03/31/29                                                              | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1558200 | PA      | $1486072.39   | 0.17%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4 07/31/30                                                                  | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      175000 | PA      | $177002.93    | 0.02%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.375 08/31/28                                                              | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1698700 | PA      | $1738579.63   | 0.20%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4 02/15/34                                                                  | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1475000 | PA      | $1463707.03   | 0.17%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | TII 1.625 10/15/29                                                            | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3929000 | PA      | $4049511.44   | 0.46%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 02/29/32                                                              | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       29000 | PA      | $29344.38     | 0.00%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.25 08/15/27                                                               | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1670000 | PA      | $1621269.92   | 0.19%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F020653<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2520000 | PA      | $1998257.31   | 0.23%             | 2055-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H020659<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2389000 | PA      | $1948505.43   | 0.22%             | 2055-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.625 03/15/26                                                              | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2508000 | PA      | $2522205.46   | 0.29%             | 2026-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.625 11/15/44                                                              | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      388000 | PA      | $384120.00    | 0.04%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.625 02/15/35                                                              | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2832000 | PA      | $2938200.00   | 0.34%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.625 02/15/55                                                              | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      707000 | PA      | $699598.59    | 0.08%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Vanguard Scottsdale Funds                                                            | Vanguard Scottsdale Funds VANGUARD INTER-TERM CORP BD                         | CUSIP: 92206C870<br>LEI: 549300Y88GQ3VLJIBX57 | Long             | EC               | RF                | US        |      744278 | NS      | $60867054.84  | 6.96%             |  |  |  | No            |                  1 | On Loan: —       |
| CALIFORNIA ST                                                                        | CA CAS 7.5 04/01/2034                                                         | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       65000 | PA      | $75521.33     | 0.01%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1726000 | PA      | $1470738.87   | 0.17%             | 2055-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.375 05/15/27                                                              | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      761000 | PA      | $742658.71    | 0.08%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Czech (Republic of)                                                                  | CZGB 2.75 07/23/29 105                                                        | CUSIP: 999MAR302<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     2150000 | PA      | $95484.44     | 0.01%             | 2029-07-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.125 05/15/40                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1373000 | PA      | $859197.66    | 0.10%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.5 05/31/27                                                                | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      688000 | PA      | $645430.00    | 0.07%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.375 11/15/40                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1373000 | PA      | $881884.34    | 0.10%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.25 03/31/28                                                               | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1453500 | PA      | $1359987.71   | 0.16%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.625 10/15/26                                                              | CUSIP: 91282CJC6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       53000 | PA      | $53666.64     | 0.01%             | 2026-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 02/15/48                                                                  | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1433000 | PA      | $1075645.63   | 0.12%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.125 05/15/48                                                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      389000 | PA      | $298238.40    | 0.03%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.625 11/30/27                                                              | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       12000 | PA      | $11129.53     | 0.00%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 02/15/41                                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1863700 | PA      | $1291849.86   | 0.15%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                                     | CUSIP: 01F012452<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      125000 | PA      | $110305.81    | 0.01%             | 2040-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.375 05/15/51                                                              | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      391300 | PA      | $250859.98    | 0.03%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.5 04/30/28                                                                | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       61000 | PA      | $60833.20     | 0.01%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4 01/15/27                                                                  | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1332700 | PA      | $1339988.20   | 0.15%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 02/15/27                                                              | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      364000 | PA      | $366900.63    | 0.04%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Czech (Republic of)                                                                  | CZGB 4.2 12/04/36 49                                                          | CUSIP: X1761RAU5<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     1030000 | PA      | $47286.22     | 0.01%             | 2036-12-04      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Czech (Republic of)                                                                  | CZGB 0.95 05/15/30 94                                                         | CUSIP: X73311KU9<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     2660000 | PA      | $106953.33    | 0.01%             | 2030-05-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2 11/15/26                                                                  | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1925000 | PA      | $1875897.47   | 0.21%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.75 11/15/47                                                               | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4138000 | PA      | $2973056.01   | 0.34%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.625 11/15/50                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      251800 | PA      | $134231.04    | 0.02%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.625 05/15/53                                                              | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       35500 | PA      | $29380.41     | 0.00%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLGB 5 01/25/30 0130                                                         | CUSIP: X8T02EFP3<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      301000 | PA      | $81219.45     | 0.01%             | 2030-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.875 05/15/49                                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      389000 | PA      | $281949.02    | 0.03%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 08/15/49                                                               | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1430000 | PA      | $905703.91    | 0.10%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.875 10/31/30                                                              | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      844300 | PA      | $889252.38    | 0.10%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Blackrock Allocation Target Shs                                                      | Blackrock Allocation Target Shs BATS SER A PT                                 | CUSIP: 092480706<br>LEI: 549300R5YFYF3PL2MC94 | Long             | EC               | RF                | US        |     6455775 | PA      | $61329858.13  | 7.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Czech (Republic of)                                                                  | CZGB 5 09/30/30 150                                                           | CUSIP: BY3335613<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |      840000 | PA      | $40864.77     | 0.00%             | 2030-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.75 12/31/30                                                               | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       13000 | PA      | $12957.34     | 0.00%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.6 11/15/60                                                             | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       54000 | PA      | $35323.53     | 0.00%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7419                                                                     | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      312010 | PA      | $276459.60    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1426                                                                     | CUSIP: 3140QLSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38877 | PA      | $36732.03     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 3.125 05/15/26 144A                                                       | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      268000 | PA      | $262802.30    | 0.03%             | 2026-05-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V1.542 09/10/27                                                            | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       47000 | PA      | $45130.05     | 0.01%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1672000 | PA      | $1600285.11   | 0.18%             | 2055-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TEX                                                                      | TX SANUTL 5.81 02/01/2041                                                     | CUSIP: 796253Y30<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       75000 | PA      | $76025.53     | 0.01%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.75 08/15/41                                                               | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1029000 | PA      | $929436.21    | 0.11%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F030652<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2011700 | PA      | $1745556.52   | 0.20%             | 2055-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.625 08/15/43                                                              | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1402000 | PA      | $1217768.44   | 0.14%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7828                                                                     | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44202 | PA      | $39152.19     | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QB2296                                                                     | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       36070 | PA      | $29029.79     | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Studio City Company Limited                                                          | STDCTY 7 02/15/27 REGS                                                        | CUSIP: G8539EAC9<br>LEI: 984500V5401EFT095A58 | Long             | DBT              | CORP              | VG        |      200000 | PA      | $199138.70    | 0.02%             | 2027-02-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0026                                                                     | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97657 | PA      | $82734.48     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9730                                                                     | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78762 | PA      | $63500.59     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0783                                                                     | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       46627 | PA      | $37591.98     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7549                                                                     | CUSIP: 3132DVL60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      896877 | PA      | $723105.23    | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDOGB 6.75 07/15/35 103                                                      | CUSIP: Y6S86ZH36<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   696000000 | PA      | $41626.55     | 0.00%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2024-ATRM                                               | AHPT 2024-ATRM A                                                              | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150000 | PA      | $150734.19    | 0.02%             | 2039-10-12      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| CSTL COMMERCIAL MORTGAGE TRUST 2024-GATE                                             | CSTL 2024-GATE A                                                              | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      160000 | PA      | $159175.14    | 0.02%             | 2041-11-13      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                                | EFF 2024-4 A4                                                                 | CUSIP: 29374MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       50000 | PA      | $50455.86     | 0.01%             | 2031-06-20      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                                 | ACRA 2024-NQM1 A1                                                             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      169151 | PA      | $169363.49    | 0.02%             | 2064-10-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Huntington National Bank of Ohio                                                     | HACLN 2024-2 B2                                                               | CUSIP: 44644NAH2<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | ABS-O            | CORP              | US        |      175110 | PA      | $174849.76    | 0.02%             | 2032-10-20      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLGB 5.75 04/25/29 0429                                                      | CUSIP: X6650PNF1<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      688000 | PA      | $190953.56    | 0.02%             | 2029-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F040651<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      921000 | PA      | $858228.28    | 0.10%             | 2055-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.25 05/15/39                                                               | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       64000 | PA      | $62740.00     | 0.01%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.625 02/15/40                                                              | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      458000 | PA      | $464512.19    | 0.05%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH                                                                | NY NYSHGR 5.39 03/15/2040                                                     | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |       30000 | PA      | $30234.61     | 0.00%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.375 05/15/41                                                              | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      714500 | PA      | $698423.75    | 0.08%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1323000 | PA      | $1171122.51   | 0.13%             | 2055-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Inc.                                                                | Invitation Homes Inc. COM USD0.01                                             | CUSIP: 46187W107<br>LEI: 984500FE452E665C9F85 | Long             | EC               | CORP              | US        |        2564 | NS      | $87663.16     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Carlyle Global Market Strategies CLO 2014-1 Limited                                  | CGMS 2014-1A A1R2                                                             | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       57617 | PA      | $57617.09     | 0.01%             | 2031-04-17      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Vertiv Holdings Co                                                                   | Vertiv Holdings Co COM CL A                                                   | CUSIP: 92537N108<br>LEI: 549300KTTIRAOGXCRV69 | Long             | EC               | CORP              | US        |         396 | NS      | $33810.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Trane Technologies PLC                                                               | Trane Technologies PLC COM USD1                                               | CUSIP: G8994E103<br>LEI: 549300BURLR9SLYY2705 | Long             | EC               | CORP              | IE        |          91 | NS      | $34881.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6818                                                                     | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      648388 | PA      | $529081.48    | 0.06%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA5077                                                                     | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      939081 | PA      | $794003.88    | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.64 02/24/28                                                             | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      299000 | PA      | $289151.05    | 0.03%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4570                                                                     | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      613418 | PA      | $525110.71    | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7550                                                                     | CUSIP: 3132DVL78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       40587 | PA      | $35840.20     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1430                                                                     | CUSIP: 3140QLSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54417 | PA      | $51029.23     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1425                                                                     | CUSIP: 3140QLSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41668 | PA      | $39429.48     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA6388                                                                     | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      503841 | PA      | $425451.39    | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0290                                                                     | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139807 | PA      | $112926.35    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2854                                                                     | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60284 | PA      | $51190.84     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 5.9 10/01/54                                                              | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      205000 | PA      | $187617.38    | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic Of)                                                                | URUGUA 5.25 09/10/60                                                          | CUSIP: 760942BG6<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |        5000 | PA      | $4508.85      | 0.00%             | 2060-09-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Braccan Mortgage Funding 2024-1 PLC                                                  | BRACN 2024-1 X                                                                | CUSIP: G12855AB1<br>LEI: 635400RGKRFPCFMYJF13 | Long             | ABS-O            | CORP              | GB        |      128259 | PA      | $171170.01    | 0.02%             | 2067-02-17      | Floating      |  | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                      | CWHL 2006-17 A6                                                               | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        5088 | PA      | $2239.53      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MFA 2024-NPL1 LLC                                                                    | MFRA 2024-NPL1 A1                                                             | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       99048 | PA      | $99252.09     | 0.01%             | 2054-09-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V4.654 10/18/30                                                            | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       85000 | PA      | $84728.69     | 0.01%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST                                                     | VSTA 2020-2 B2                                                                | CUSIP: 92838TAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      142800 | PA      | $135300.59    | 0.02%             | 2065-04-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1498000 | PA      | $1515028.05   | 0.17%             | 2055-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ansys Inc                                                                            | Ansys Inc COM USD0.01                                                         | CUSIP: 03662Q105<br>LEI: 549300VJV8H15Z5FJ571 | Long             | EC               | CORP              | US        |          97 | NS      | $31222.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8485                                                                     | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44344 | PA      | $37797.10     | 0.00%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA8216                                                                     | CUSIP: 3133KQDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       43336 | PA      | $44426.69     | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPMorgan Chase & Co. COM USD1.00                                              | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |        1219 | NS      | $298191.78    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Depot Inc.                                                                      | Home Depot Inc. COM USD0.05                                                   | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |          82 | NS      | $29560.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Take-Two Interactive Software Inc.                                                   | Take-Two Interactive Software Inc. COM USD0.01                                | CUSIP: 874054109<br>LEI: BOMSTHHJK882EWYX3334 | Long             | EC               | CORP              | US        |         154 | NS      | $35931.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuit Inc                                                                           | Intuit Inc COM USD0.01                                                        | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |          53 | NS      | $33255.91     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eli Lilly & Co.                                                                      | Eli Lilly & Co. COM NPV                                                       | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |          37 | NS      | $33261.15     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Marsh & McLennan Companies, Inc.                                                     | Marsh & McLennan Companies, Inc. COM USD1.00                                  | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |         131 | NS      | $29536.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Microsoft Corp.                                                                      | Microsoft Corp. COM USD0.00000625                                             | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |          82 | NS      | $32411.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Micron Technology Inc.                                                               | Micron Technology Inc. COM USD0.10                                            | CUSIP: 595112103<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | EC               | CORP              | US        |         355 | NS      | $27317.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co.                                                                    | Wells Fargo & Co. COM USD1.666                                                | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |         463 | NS      | $32877.63     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| The Progressive Corporation                                                          | The Progressive Corporation COM USD1.00                                       | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |         111 | NS      | $31273.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Netflix, Inc.                                                                        | Netflix, Inc. COM USD0.001                                                    | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |          36 | NS      | $40741.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Walmart Inc                                                                          | Walmart Inc COM USD0.10                                                       | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |         352 | NS      | $34232.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F052656<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    30507000 | PA      | $30441142.10  | 3.48%             | 2055-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F050650<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4039000 | PA      | $3953438.71   | 0.45%             | 2055-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                                     | CUSIP: 01F042459<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      567000 | PA      | $562767.42    | 0.06%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2315000 | PA      | $2313761.04   | 0.26%             | 2055-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H062651<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      907000 | PA      | $927156.06    | 0.11%             | 2055-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                        | CA CAS 7.55 04/01/2039                                                        | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       40000 | PA      | $48300.78     | 0.01%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY MUN WTR FIN AUTH                                                   | NY NYCUTL 6.01 06/15/2042                                                     | CUSIP: 64972FL20<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |       95000 | PA      | $98656.47     | 0.01%             | 2042-06-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                                                  | NY PORTRN 5.65 11/01/2040                                                     | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       65000 | PA      | $68119.68     | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5176                                                                     | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184519 | PA      | $148809.98    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR7241                                                                     | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54174 | PA      | $43779.83     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0599                                                                     | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32718 | PA      | $26396.33     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2836                                                                     | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83123 | PA      | $67294.15     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2855                                                                     | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      214124 | PA      | $180958.37    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.55 02/15/32 .                                                          | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      198000 | PA      | $194054.31    | 0.02%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMR 2024-P015 A1                                                             | CUSIP: 3137HDJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | CORP              | US        |       46833 | PA      | $45825.35     | 0.01%             | 2032-11-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V4.692 10/23/30                                                            | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      120000 | PA      | $119706.78    | 0.01%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 6.25 11/01/34 144A                                                        | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       70000 | PA      | $69892.45     | 0.01%             | 2034-11-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| BFLD COMMERCIAL MORTGAGE TRUST 2024-UNIV                                             | BFLD 2024-UNIV A                                                              | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       80000 | PA      | $79975.00     | 0.01%             | 2041-11-15      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| BFLD COMMERCIAL MORTGAGE TRUST 2024-UNIV                                             | BFLD 2024-UNIV E                                                              | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       50000 | PA      | $49546.81     | 0.01%             | 2041-11-15      | Floating      | 8.51%                 | Yes           |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MTG TR 2024-1                                                  | DRMT 2024-1 A1                                                                | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      147629 | PA      | $148054.20    | 0.02%             | 2069-07-25      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 11/30/31                                                              | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       13000 | PA      | $13161.99     | 0.00%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F042665<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -12385000 | PA      | $-11839289.78 | -1.35%            | 2055-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                          | IL ILS 5.1 06/01/2033                                                         | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      282353 | PA      | $282257.94    | 0.03%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                                     | CUSIP: 01F040453<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      177000 | PA      | $172864.99    | 0.02%             | 2040-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F042657<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2516000 | PA      | $2405925.78   | 0.28%             | 2055-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2207000 | PA      | $2164731.96   | 0.25%             | 2055-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                                 | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1491000 | PA      | $1353730.40   | 0.15%             | 2055-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TEXAS ST                                                                             | TX TXS 5.52 04/01/2039                                                        | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |      155000 | PA      | $158680.41    | 0.02%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                                                           | SAGB 7 02/28/31 R213                                                          | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     2496400 | PA      | $120832.42    | 0.01%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAY AREA TOLL AUTH CALIF                                                             | CA BAYTRN 7.04 04/01/2050                                                     | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      160000 | PA      | $185149.15    | 0.02%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.875 08/15/40                                                              | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      458000 | PA      | $424544.53    | 0.05%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUN PWR OHIO INC                                                            | OH AMEPWR 8.08 02/15/2050                                                     | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |       75000 | PA      | $93951.17     | 0.01%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                     | CUSIP: 01F032658<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1072000 | PA      | $967359.58    | 0.11%             | 2055-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 05/15/42                                                                  | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      539000 | PA      | $434063.44    | 0.05%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.125 02/15/43                                                              | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      245000 | PA      | $198746.68    | 0.02%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY MUN WTR FIN AUTH                                                   | NY NYCUTL 5.88 06/15/2044                                                     | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |       30000 | PA      | $30645.51     | 0.00%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                                     | CUSIP: 01F032450<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20000 | PA      | $19266.95     | 0.00%             | 2040-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                                                  | NY PORTRN 4.93 10/01/2051                                                     | CUSIP: 73358WEK6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       85000 | PA      | $78632.98     | 0.01%             | 2051-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Inc                                                                      | T-Mobile US Inc COM USD0.00001                                                | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |         116 | NS      | $28646.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Samsara Inc                                                                          | Samsara Inc COM CL A                                                          | CUSIP: 79589L106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         907 | NS      | $35971.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0173                                                                     | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152045 | PA      | $122809.42    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7548                                                                     | CUSIP: 3132DVL52<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      790274 | PA      | $670579.26    | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4540                                                                     | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      553981 | PA      | $474490.15    | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA6768                                                                     | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       49005 | PA      | $39374.79     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0786                                                                     | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      121323 | PA      | $97995.71     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2837                                                                     | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190054 | PA      | $153508.91    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0598                                                                     | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31758 | PA      | $25994.67     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Continuum Energy Petroleum Ltd.                                                      | Continuum Energy Petroleum Ltd. 9.85% SNR NTS 11/09/2027 USD (144A)           | CUSIP: 211926AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      214164 | PA      | $209623.72    | 0.02%             | 2027-09-11      | Fixed         | 9.85%                 | Yes           |                  3 | On Loan: No      |
| Federal National Mortgage Association                                                | FN DC2897                                                                     | CUSIP: 3140AQGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74967 | PA      | $76819.50     | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FS Rialto 2024-Fl9 Issuer LLC                                                        | FSRIA 2024-FL9 A                                                              | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $99806.84     | 0.01%             | 2039-10-19      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2024-ATRM                                               | AHPT 2024-ATRM E                                                              | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       30000 | PA      | $30130.40     | 0.00%             | 2039-10-12      | Fixed         | 9.52%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD6225                                                                     | CUSIP: 3132DT4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      232324 | PA      | $237415.20    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2024-B                                                | MFIT 2024-BA A                                                                | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      134000 | PA      | $135374.89    | 0.02%             | 2038-11-22      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR                                                                 | ROCC 2024-CNTR E                                                              | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $104540.53    | 0.01%             | 2041-11-15      | Fixed         | 8.82%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass Through Certificates Series 2006-3           | IMSA 2006-3 A1                                                                | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       88899 | PA      | $79594.94     | 0.01%             | 2036-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC FINANCE ISSUANCE TRUST 2024-B                                               | REPS 2024-B A                                                                 | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      212000 | PA      | $214556.04    | 0.02%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| MasterCard Incorporated                                                              | MasterCard Incorporated COM USD0.0001 CLASS A                                 | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |          57 | NS      | $31239.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                                     | CUSIP: 01F030454<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |      -34000 | PA      | $-32277.41    | -0.00%            | 2040-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA8758                                                                     | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      148852 | PA      | $149979.00    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V5.202 04/25/29                                                           | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      145000 | PA      | $148111.81    | 0.02%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                                     | CUSIP: 01F022451<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184000 | PA      | $170935.46    | 0.02%             | 2040-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                          | Vistra Corp COM USD0.01                                                       | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |         572 | NS      | $74148.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7528                                                                     | CUSIP: 3132DVLH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       58520 | PA      | $47239.94     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN8997                                                                     | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121870 | PA      | $98228.15     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                                                        | AEP 5.4 06/01/33                                                              | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19994.36     | 0.00%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Mdgh Gmtn (Rsc) Ltd                                                                  | MUBAUH 4.375 11/22/33 144A                                                    | CUSIP: 55285GAD6<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |       19000 | PA      | $18137.78     | 0.00%             | 2033-11-22      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7534                                                                     | CUSIP: 3132DVLP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      381671 | PA      | $324907.97    | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.057 01/25/33                                                             | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      207000 | PA      | $181848.91    | 0.02%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB6463                                                                     | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148157 | PA      | $149278.56    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bangkok Bank Public Company Limited (Hong Kong Branch)                               | BBLTB 5.3 09/21/28 144A                                                       | CUSIP: 059895AW2<br>LEI: N/A                  | Long             | DBT              | CORP              | TH        |       18000 | PA      | $18372.53     | 0.00%             | 2028-09-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.943 01/21/33                                                            | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      127000 | PA      | $111553.83    | 0.01%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0497                                                                     | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207466 | PA      | $167782.94    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V2.972 02/04/33 MTN                                                       | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      569000 | PA      | $500234.22    | 0.06%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2838                                                                     | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      424678 | PA      | $342382.72    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 5.8 05/15/34                                                              | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       77000 | PA      | $76857.81     | 0.01%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN 1.75 02/01/36 REGS                                                     | CUSIP: X5S0056C0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       17440 | PA      | $8409.29      | 0.00%             | 2036-02-01      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| CARVAL CLO VIII-C LTD                                                                | CARVL 2022-2A A1R                                                             | CUSIP: 14686NAL5<br>LEI: 254900NZG2CMHKHNPU97 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250117.00    | 0.03%             | 2037-10-22      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Ghana (Republic of)                                                                  | GHANA 5 07/03/35 144A                                                         | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |       22464 | PA      | $15275.52     | 0.00%             | 2035-07-03      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.603 10/22/30                                                           | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2997.97      | 0.00%             | 2030-10-22      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD                                                                          | OCP 2020-8RA AR                                                               | CUSIP: 670898AQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249500.00    | 0.03%             | 2036-10-17      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-10                                                     | AOMT 2024-10 A1                                                               | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-O            | CORP              | US        |       46664 | PA      | $46557.97     | 0.01%             | 2069-10-25      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                       | OOMLT 2007-FXD1 3A4                                                           | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       29211 | PA      | $28501.53     | 0.00%             | 2037-01-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Masimo Corporation                                                                   | Masimo Corporation COM STK USD0.001                                           | CUSIP: 574795100<br>LEI: 549300Q4A8JK0PIYCU29 | Long             | EC               | CORP              | US        |         186 | NS      | $29938.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mercadolibre Inc                                                                     | Mercadolibre Inc COM USD0.001                                                 | CUSIP: 58733R102<br>LEI: 549300DKPDN9M5S8GB14 | Long             | EC               | CORP              | US        |          16 | NS      | $37293.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wynn Macau Ltd.                                                                      | WYNMAC 5.625 08/26/28 REGS                                                    | CUSIP: G98149AH3<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $190900.83    | 0.02%             | 2028-08-26      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7541                                                                     | CUSIP: 3132DVLW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      105906 | PA      | $85434.76     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN9004                                                                     | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68304 | PA      | $55106.64     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QD4857                                                                     | CUSIP: 3133B2ME6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      144688 | PA      | $116867.64    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.963 01/25/33                                                           | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       78000 | PA      | $69140.56     | 0.01%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0378                                                                     | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      292608 | PA      | $247993.46    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2856                                                                     | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255039 | PA      | $215229.30    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0892                                                                     | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      295187 | PA      | $238314.68    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Associated Banc-Corp                                                                 | ASB V6.455 08/29/30                                                           | CUSIP: 045487AD7<br>LEI: 549300N3CIN473IW5094 | Long             | DBT              | CORP              | US        |       23000 | PA      | $23124.63     | 0.00%             | 2030-08-29      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD6326                                                                     | CUSIP: 3132DUA31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      415096 | PA      | $425540.21    | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Inc                                                                  | LNG 5.65 04/15/34                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |      704000 | PA      | $701158.14    | 0.08%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 4.95 05/17/33                                                              | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      218000 | PA      | $217445.81    | 0.02%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS4629                                                                     | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189893 | PA      | $191330.76    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.505 10/22/28                                                           | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1002000 | PA      | $1004832.14   | 0.11%             | 2028-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pure Industrial Issuer Trust Canada                                                  | BX 2024-PURE A                                                                | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       26000 | PA      | $18977.59     | 0.00%             | 2026-11-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2024-1                                     | GDLP 2024-1A A                                                                | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      127498 | PA      | $128415.97    | 0.01%             | 2046-10-22      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| CROSS 2024-H7 MORTGAGE TRUST                                                         | CROSS 2024-H7 A1                                                              | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      503298 | PA      | $504434.89    | 0.06%             | 2069-11-25      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Ingersoll Rand Inc                                                                   | Ingersoll Rand Inc COM                                                        | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |         370 | NS      | $27909.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0785                                                                     | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       87483 | PA      | $70462.44     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RB5148                                                                     | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       79089 | PA      | $67446.41     | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0789                                                                     | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       16237 | PA      | $13235.75     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2863                                                                     | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39678 | PA      | $33800.73     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST 2023-SHIP                                   | GSMS 2023-SHIP E                                                              | CUSIP: 36270GAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       32000 | PA      | $32222.12     | 0.00%             | 2038-09-10      | Variable      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN 1.75 02/01/29 144A                                                     | CUSIP: 903724BZ4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       20988 | PA      | $13096.51     | 0.00%             | 2029-02-01      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Southern Co.                                                                         | SO 4.85 03/15/35                                                              | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      186000 | PA      | $180246.53    | 0.02%             | 2035-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| COLT 2024-6 MORTGAGE LOAN TRUST                                                      | COLT 2024-6 A1                                                                | CUSIP: 19688XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       93304 | PA      | $93474.36     | 0.01%             | 2069-11-25      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| SELF COMMERCIAL MORTGAGE TRUST 2024-STRG                                             | SELF 2024-STRG E                                                              | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99065.46     | 0.01%             | 2034-11-15      | Floating      | 9.09%                 | Yes           |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | AbbVie Inc. COM USD0.01                                                       | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |         143 | NS      | $27899.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Ticp Clo Xii Ltd / Ticp Clo Xii Llc                                                  | TICP 2018-12A AR                                                              | CUSIP: 87250FAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $250000.00    | 0.03%             | 2034-07-17      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7544                                                                     | CUSIP: 3132DVLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       55156 | PA      | $48712.78     | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0730                                                                     | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       27533 | PA      | $22177.91     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0646                                                                     | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99548 | PA      | $80406.37     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 3.85 02/14/72                                                             | CUSIP: 907818GA0<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      161000 | PA      | $110313.49    | 0.01%             | 2072-02-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PG&E Corporation                                                                     | PCG V7.375 03/15/55                                                           | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      746000 | PA      | $724209.47    | 0.08%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| BPR TRUST 2024-PMDW                                                                  | BPR 2024-PMDW A                                                               | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       70000 | PA      | $70821.89     | 0.01%             | 2041-11-07      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| SELF COMMERCIAL MORTGAGE TRUST 2024-STRG                                             | SELF 2024-STRG F                                                              | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $98891.96     | 0.01%             | 2034-11-15      | Floating      | 10.16%                | Yes           |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D V7 06/01/54 B                                                               | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      180000 | PA      | $186885.72    | 0.02%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V5.042 07/19/30                                                            | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      815000 | PA      | $825051.46    | 0.09%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SELF COMMERCIAL MORTGAGE TRUST 2024-STRG                                             | SELF 2024-STRG A                                                              | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      210000 | PA      | $210408.35    | 0.02%             | 2034-11-15      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Vista Energy Argentina SAU                                                           | VISTAA 7.625 12/10/35 144A                                                    | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |       32000 | PA      | $30576.00     | 0.00%             | 2035-12-10      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 5.625 07/15/54                                                            | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       86000 | PA      | $82702.70     | 0.01%             | 2054-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| EQT TRUST 2024-EXTR                                                                  | EQT 2024-EXTR A                                                               | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      404000 | PA      | $412627.74    | 0.05%             | 2041-07-08      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Egypt (Arab Republic of)                                                             | EGYGB 24.458 10/01/27 3Y                                                      | CUSIP: M5R1CXAD0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      463000 | PA      | $9320.19      | 0.00%             | 2027-10-01      | Fixed         | 24.46%                | No            |                  2 | On Loan: No      |
| AS Mileage Plan IP Ltd.                                                              | ALK 5.308 10/20/31 144A                                                       | CUSIP: 00218QAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       12000 | PA      | $11495.38     | 0.00%             | 2031-10-20      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Volcan Compania Minera S.A.A.                                                        | VOLCAN 8.75 01/24/30 144A                                                     | CUSIP: 92863UAC0<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |        4000 | PA      | $3757.94      | 0.00%             | 2030-01-24      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.8 10/15/34                                                             | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      187000 | PA      | $182039.97    | 0.02%             | 2034-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XXXI LTD                                                                | TRNTS 2024-31A A1                                                             | CUSIP: 895972AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248857.13    | 0.03%             | 2038-01-22      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB8727                                                                     | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      411418 | PA      | $423874.57    | 0.05%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ecuador (Republic Of)                                                                | ECUA 5.5 07/31/35 REGS                                                        | CUSIP: P8054QBC6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |       13789 | PA      | $8263.87      | 0.00%             | 2035-07-31      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB8339                                                                     | CUSIP: 3140QUHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32407 | PA      | $33147.92     | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 6 04/15/34 144A                                                           | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      572000 | PA      | $577065.06    | 0.07%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-KING                                               | BX 2024-KING A                                                                | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      197401 | PA      | $197277.87    | 0.02%             | 2034-05-15      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V5.33 07/23/35                                                             | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      923000 | PA      | $917307.41    | 0.10%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB8874                                                                     | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      677117 | PA      | $698046.80    | 0.08%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.979 07/22/28                                                           | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      858000 | PA      | $868003.71    | 0.10%             | 2028-07-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| D.R. Horton, Inc.                                                                    | DHI 5 10/15/34                                                                | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |      137000 | PA      | $132985.73    | 0.02%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                    | CCI 2.5 07/15/31                                                              | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      122000 | PA      | $105125.91    | 0.01%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1427                                                                     | CUSIP: 3140QLSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63336 | PA      | $59731.30     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                               | BX 2024-MDHS A                                                                | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      148179 | PA      | $148086.20    | 0.02%             | 2041-05-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp                                                                     | DUK 5.8 06/15/54                                                              | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      280000 | PA      | $268322.92    | 0.03%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.995 07/22/30                                                           | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2091000 | PA      | $2121234.44   | 0.24%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CAVU 2024-1 LTD                                                             | CAVU 2024-1A A                                                                | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.03%             | 2038-01-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| OCP AEGIS CLO 2024-39 LTD                                                            | OCPA 2024-39A A1                                                              | CUSIP: 67120EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $247897.48    | 0.03%             | 2037-01-16      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V5.571 04/22/28                                                           | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      103000 | PA      | $105334.19    | 0.01%             | 2028-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V5.656 04/18/30                                                            | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      252000 | PA      | $260650.32    | 0.03%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 5.15 11/15/31                                                            | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      296000 | PA      | $301735.29    | 0.03%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                  | SYF V5.935 08/02/30                                                           | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      673000 | PA      | $681595.15    | 0.08%             | 2030-08-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: —       |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 6.25 09/15/54                                                            | CUSIP: 361841AU3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      301000 | PA      | $283863.08    | 0.03%             | 2054-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 5.55 08/15/64                                                            | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |       27000 | PA      | $25972.52     | 0.00%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Germany (Federal Republic Of)                                                        | DBR 2.5 08/15/54                                                              | CUSIP: D2R8H4KM0<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      670000 | PA      | $706331.78    | 0.08%             | 2054-08-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Puma International Financing S.A.                                                    | PUMAFN 7.75 04/25/29 REGS                                                     | CUSIP: L78043AF0<br>LEI: 222100YFBPO7IDRUBR17 | Long             | DBT              | CORP              | LU        |      200000 | PA      | $198500.00    | 0.02%             | 2029-04-25      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Dryden 40 Senior Loan Fund Limited Liability Company                                 | DRSLF 2015-40A AR2                                                            | CUSIP: 26244GAS4<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |      170520 | PA      | $170105.57    | 0.02%             | 2031-08-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Softbank Group Corp.                                                                 | SOFTBK 7 07/08/31                                                             | CUSIP: J7596PBR9<br>LEI: 5493003BZYYYCDIO0R13 | Long             | DBT              | CORP              | JP        |      450000 | PA      | $458449.66    | 0.05%             | 2031-07-08      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: —       |
| Dowson 2024-1 PLC                                                                    | DWSON 2024-1 E                                                                | CUSIP: G2826SAE9<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |      116000 | PA      | $153702.05    | 0.02%             | 2031-08-20      | Floating      |  | Yes           |                  2 | On Loan: No      |
| SILVER POINT CLO 7 LTD                                                               | SPCLO 2024-7A A1                                                              | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249927.65    | 0.03%             | 2038-01-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Medco Laurel Tree Pte Ltd.                                                           | MEDCIJ 6.95 11/12/28 REGS                                                     | CUSIP: Y59500AA9<br>LEI: 254900SX7FFGRREZD046 | Long             | DBT              | CORP              | SG        |      200000 | PA      | $195998.83    | 0.02%             | 2028-11-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| PRPM 2024-NQM1 TRUST                                                                 | PRPM 2024-NQM1 B1                                                             | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99648.68     | 0.01%             | 2068-12-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Regatta Funding Limited/Corp                                                         | REGT9 2017-1A B1R                                                             | CUSIP: 75887VAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      360000 | PA      | $358775.93    | 0.04%             | 2037-04-17      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 5.9 04/18/64                                                             | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       17000 | PA      | $15074.02     | 0.00%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V5.049 07/23/30                                                            | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      363000 | PA      | $367323.90    | 0.04%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                                | TRGP 5.5 02/15/35                                                             | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      112000 | PA      | $109393.56    | 0.01%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding XI CLO Ltd./ LLC                                                       | CEDF 2019-11A A1R2                                                            | CUSIP: 15033LAW2<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |           0 | PA      | $0.01         | 0.00%             | 2032-06-01      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO LTD 2024-23                                        | GLM 2024-23A B                                                                | CUSIP: 38139KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      610000 | PA      | $604021.88    | 0.07%             | 2039-01-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JSW Hydro Energy Ltd.                                                                | HBSPIN 4.125 05/18/31 REGS                                                    | CUSIP: Y4S71YAA2<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |      147500 | PA      | $131057.25    | 0.01%             | 2031-05-18      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 3.625 05/15/31 144A                                                       | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1088000 | PA      | $996362.75    | 0.11%             | 2031-05-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: —       |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2024-6                                        | VCC 2024-6 M3                                                                 | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       99181 | PA      | $98361.83     | 0.01%             | 2054-12-25      | Variable      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| VEGAS 2024-GCS                                                                       | VEGAS 2024-GCS D                                                              | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      330000 | PA      | $308746.55    | 0.04%             | 2036-07-10      | Variable      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                                                  | BHMS 2018-ATLS A                                                              | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      190000 | PA      | $189878.88    | 0.02%             | 2035-07-16      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Partners LP/Targa Resources Finance Corp.                            | TRGP 5 01/15/28                                                               | CUSIP: 87612BBG6<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |       59000 | PA      | $58972.41     | 0.01%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC.                                                               | FABSJV 6.1 01/25/36                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      207000 | PA      | $210902.33    | 0.02%             | 2036-01-25      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM1                                        | NRZT 2025-NQM1 M1                                                             | CUSIP: 64832DAF8<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-O            | CORP              | US        |      501164 | PA      | $505037.60    | 0.06%             | 2065-01-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                      | CWHL 2007-9 A1                                                                | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       25342 | PA      | $11835.73     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                                                              | VENZ 11.95 08/05/31                                                           | CUSIP: P17625AD9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       19300 | PA      | $3136.25      | 0.00%             | 2031-08-05      | Fixed         | 11.95%                | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING 2025-II LTD                                                             | CIFC 2025-2A A                                                                | CUSIP: 17181DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248375.00    | 0.03%             | 2038-04-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SB0546                                                                     | CUSIP: 3132CWTB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      149901 | PA      | $137431.13    | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Philippines (Republic Of)                                                            | PHILIP 3.2 07/06/46                                                           | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      267000 | PA      | $186614.17    | 0.02%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7632                                                                     | CUSIP: 3140XBPS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110231 | PA      | $104228.06    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8117                                                                     | CUSIP: 3140XCAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67260 | PA      | $61569.42     | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SB0514                                                                     | CUSIP: 3132CWSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      290681 | PA      | $258259.03    | 0.03%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Colombia (Republic Of)                                                               | COLTES 6 04/28/28 B                                                           | CUSIP: P28714AP1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   355900000 | PA      | $75697.97     | 0.01%             | 2028-04-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                 | WAMU 2006-AR13 1A                                                             | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      238136 | PA      | $198830.81    | 0.02%             | 2046-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RC1999                                                                     | CUSIP: 3133L8GG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      172691 | PA      | $158663.34    | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS4641                                                                     | CUSIP: 3140XLEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56788 | PA      | $58216.86     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Turkey (Republic of)                                                                 | TURKGB 30 09/12/29 5Y                                                         | CUSIP: M8T85VJD0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      430000 | PA      | $9574.29      | 0.00%             | 2029-09-12      | Fixed         | 30.00%                | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)                                         | SRILAN 4 04/15/28 REGS                                                        | CUSIP: Y1237TAF9<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       16790 | PA      | $15486.42     | 0.00%             | 2028-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AT&T Reign II (Multi-Property) Lease-Backed Pass-Through Trust                       | ATTRII 6.088 12/15/44 144A                                                    | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      420000 | PA      | $420856.55    | 0.05%             | 2044-12-15      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| APA Corp.                                                                            | APA 4.75 04/15/43 144A                                                        | CUSIP: 03743QAK4<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |       42000 | PA      | $31734.87     | 0.00%             | 2043-04-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST 2025-1                                     | GDLP 2025-1A B                                                                | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       53745 | PA      | $53963.24     | 0.01%             | 2049-02-20      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V5.244 01/24/31                                                           | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      408000 | PA      | $416460.86    | 0.05%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-AFC1 TRUST                                                                | HOMES 2025-AFC1 M1                                                            | CUSIP: 403969AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      514286 | PA      | $515100.78    | 0.06%             | 2060-01-25      | Variable      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| REGATTA XVIII FUNDING LTD                                                            | REG18 2021-1A A1R                                                             | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248750.00    | 0.03%             | 2038-04-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC.                                                               | FABSJV 5.9 01/25/33                                                           | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $203977.01    | 0.02%             | 2033-01-25      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CRM1                                                  | TPMT 2025-CRM1 A1                                                             | CUSIP: 891946AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      873542 | PA      | $880897.94    | 0.10%             | 2065-01-25      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 6.25 09/10/34 144A                                                     | CUSIP: X7360WDK5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |        6000 | PA      | $6677.66      | 0.00%             | 2034-09-10      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5235                                                                     | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27878 | PA      | $27830.98     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.016 12/03/29                                                             | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       75000 | PA      | $73642.06     | 0.01%             | 2029-12-03      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Gartner Inc.                                                                         | IT 3.625 06/15/29 144A                                                        | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      595000 | PA      | $558028.43    | 0.06%             | 2029-06-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Antero Resources Corporation                                                         | AR 5.375 03/01/30 144A                                                        | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |      862000 | PA      | $834115.77    | 0.10%             | 2030-03-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 2.973 09/16/62                                                            | CUSIP: 907818FN3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       75000 | PA      | $42871.26     | 0.00%             | 2062-09-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V2.972 07/21/52                                                           | CUSIP: 06051GKB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       30000 | PA      | $18884.76     | 0.00%             | 2052-07-21      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8099                                                                     | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      466344 | PA      | $424596.38    | 0.05%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1522                                                                     | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58314 | PA      | $51046.93     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1520                                                                     | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36020 | PA      | $31720.07     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V4.897 07/25/33 MTN                                                       | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       33000 | PA      | $32420.70     | 0.00%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-67 QI                                                                | CUSIP: 38382R3Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       64731 | PA      | $11139.98     | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3166                                                                     | CUSIP: 3140XJQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105370 | PA      | $92855.52     | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD1882                                                                     | CUSIP: 3132DPCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       75807 | PA      | $74841.73     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD2081                                                                     | CUSIP: 3132DPJ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       83012 | PA      | $81955.13     | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0592                                                                     | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      214670 | PA      | $191611.70    | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4656                                                                     | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14231 | PA      | $13633.95     | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2040                                                                     | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      284617 | PA      | $226491.98    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8147                                                                     | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      275309 | PA      | $234678.73    | 0.03%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7554                                                                     | CUSIP: 3132DVMB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      823064 | PA      | $696067.83    | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| European Union                                                                       | EU 3 03/04/53 NGEU                                                            | CUSIP: ZN3784800<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |     2801389 | PA      | $2796897.88   | 0.32%             | 2053-03-04      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1267                                                                     | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50231 | PA      | $47244.39     | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD1952                                                                     | CUSIP: 3132DPEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       36965 | PA      | $34825.59     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD1991                                                                     | CUSIP: 3132DPF86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      160216 | PA      | $158176.50    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 2.987 11/01/63                                                          | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      234000 | PA      | $131415.91    | 0.02%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA6015                                                                     | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       72276 | PA      | $63369.61     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 2.7 03/15/32                                                             | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      385000 | PA      | $334584.89    | 0.04%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA3217                                                                     | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       82898 | PA      | $62982.94     | 0.01%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8488                                                                     | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      668950 | PA      | $624459.30    | 0.07%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                            | DUK 5.35 01/15/53                                                             | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       31000 | PA      | $29121.51     | 0.00%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 6.75 01/15/53                                                             | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      158000 | PA      | $159055.37    | 0.02%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BX4207                                                                     | CUSIP: 3140N8U97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46209 | PA      | $45620.69     | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                       | ECOPET 8.875 01/13/33                                                         | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       17000 | PA      | $17016.20     | 0.00%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0288                                                                     | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17026 | PA      | $13631.80     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8231                                                                     | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       13507 | PA      | $12925.19     | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2550                                                                     | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      683090 | PA      | $576758.29    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-76 JI                                                                | CUSIP: 38382RNJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       66479 | PA      | $11418.39     | 0.00%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 6.35 02/09/35                                                             | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1262000 | PA      | $1252873.22   | 0.14%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| KeyBank National Association                                                         | KEY 5 01/26/33                                                                | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |      350000 | PA      | $337043.58    | 0.04%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA8404                                                                     | CUSIP: 3133KQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      100006 | PA      | $98732.36     | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BX6108                                                                     | CUSIP: 3140NAYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      196495 | PA      | $196818.20    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8097                                                                     | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      389596 | PA      | $332078.83    | 0.04%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CB5462                                                                     | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140215 | PA      | $141276.41    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 4.65 08/15/62                                                            | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      211000 | PA      | $176339.76    | 0.02%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RC2467                                                                     | CUSIP: 3133L8W43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      193273 | PA      | $177543.67    | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA8295                                                                     | CUSIP: 3133KQGC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       96265 | PA      | $95040.10     | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6840                                                                     | CUSIP: 3140QES60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32760 | PA      | $29990.89     | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CB5450                                                                     | CUSIP: 3140QRBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      274705 | PA      | $269715.83    | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 7.375 02/01/31 144A                                                        | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      279000 | PA      | $292008.78    | 0.03%             | 2031-02-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QF6560                                                                     | CUSIP: 3133BUJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      230900 | PA      | $232605.23    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA6509                                                                     | CUSIP: 3133KNGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      102458 | PA      | $82299.82     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8042                                                                     | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      579994 | PA      | $494367.23    | 0.06%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 2.65 02/15/32                                                            | CUSIP: 62954HAJ7<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |       98000 | PA      | $82631.95     | 0.01%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners Lp                                                          | CQP 3.25 01/31/32                                                             | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      385000 | PA      | $338011.19    | 0.04%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.912 07/25/33                                                           | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      329000 | PA      | $327301.26    | 0.04%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3377                                                                     | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      316961 | PA      | $298613.91    | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1666                                                                     | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      285481 | PA      | $240364.16    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1431                                                                     | CUSIP: 3140QLSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59408 | PA      | $55586.37     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1428                                                                     | CUSIP: 3140QLSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41063 | PA      | $38628.56     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Viper Energy Inc.                                                                    | VNOM 5.375 11/01/27 144A                                                      | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |      816000 | PA      | $811725.55    | 0.09%             | 2027-11-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 5.5 07/15/28 144A                                                         | CUSIP: 26884LAU3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       31000 | PA      | $31862.77     | 0.00%             | 2028-07-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 6.5 07/01/27 144A                                                         | CUSIP: 26884LAS8<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      175000 | PA      | $177936.33    | 0.02%             | 2027-07-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Flourishing Trade & Investment Ltd.                                                  | Flourishing Trade & Investment Ltd. 11.035% SNR SEC NTS 02/04/2028 USD (144A) | CUSIP: 343427AA8<br>LEI: 894500SZ5TN63ZJ0Y632 | Long             | DBT              | CORP              | MR        |      414000 | PA      | $414000.00    | 0.05%             | 2028-04-02      | Fixed         | 11.04%                | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V5.192 04/17/31                                                            | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      631000 | PA      | $642439.59    | 0.07%             | 2031-04-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5019                                                                     | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29619 | PA      | $27187.67     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3448                                                                     | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11875 | PA      | $11853.42     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 4.54 08/15/47                                                          | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       46000 | PA      | $36199.47     | 0.00%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D 4.6 03/15/49 A                                                              | CUSIP: 25746UCZ0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |       52000 | PA      | $41558.20     | 0.00%             | 2049-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| I/O DBGS 2019-1735 MO VAR                                                            | I/O DBGS 2019-1735 MO VAR                                                     | CUSIP: 23307EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13945000 | PA      | $132287.85    | 0.02%             | 2037-04-10      | Floating      | 0.43%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZT1857                                                                     | CUSIP: 3132AEB21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      653478 | PA      | $642587.86    | 0.07%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 4 01/15/30                                                               | CUSIP: 361841AP4<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      256000 | PA      | $241313.69    | 0.03%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| T-Mobile USA, Inc.                                                                   | TMUS 3.875 04/15/30                                                           | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      479000 | PA      | $462190.50    | 0.05%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2012-III Ltd.                                                           | CIFC 2017-4A A1R                                                              | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       77004 | PA      | $77004.31     | 0.01%             | 2030-10-24      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 3.5 07/15/51                                                              | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      283000 | PA      | $182905.93    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.239 07/21/32 GMTN                                                       | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       41000 | PA      | $34959.68     | 0.00%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1429                                                                     | CUSIP: 3140QLST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55083 | PA      | $51765.32     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1432                                                                     | CUSIP: 3140QLSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54542 | PA      | $51700.09     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IRB Infrastructure Developers Ltd.                                                   | IRBIN 7.11 03/11/32 REGS                                                      | CUSIP: Y41784AL6<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | IN        |      400000 | PA      | $391511.58    | 0.04%             | 2032-03-11      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 5.2 04/15/32                                                             | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       61000 | PA      | $61979.78     | 0.01%             | 2032-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM                                                           | SCLP 2025-1 A                                                                 | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      541074 | PA      | $541641.19    | 0.06%             | 2034-02-27      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| VICI Properties LP                                                                   | VICI 5.625 04/01/35                                                           | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |       68000 | PA      | $67291.62     | 0.01%             | 2035-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| EQT Corporation                                                                      | EQT 7.5 06/01/27 144A                                                         | CUSIP: 26884LBG3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      192000 | PA      | $194927.51    | 0.02%             | 2027-06-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 7.5 06/01/30 144A                                                         | CUSIP: 26884LBA6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      580000 | PA      | $623659.01    | 0.07%             | 2030-06-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: —       |
| Petroleos Mexicanos                                                                  | PEMEX 6.5 03/13/27                                                            | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      438000 | PA      | $427952.98    | 0.05%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG Q57853                                                                     | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46670 | PA      | $45506.63     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR ZT1353                                                                     | CUSIP: 3132ADQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       61252 | PA      | $56189.39     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 6.15 03/01/55                                                             | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       63000 | PA      | $59042.48     | 0.01%             | 2055-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 6.375 04/01/29 144A                                                       | CUSIP: 26884LAY5<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      133000 | PA      | $136089.54    | 0.02%             | 2029-04-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                              | BAYC 2006-1A A1                                                               | CUSIP: 07324SDE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      181918 | PA      | $167303.03    | 0.02%             | 2036-04-25      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3384                                                                     | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7264 | PA      | $6845.05      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 4.95 06/15/28                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       56000 | PA      | $56507.48     | 0.01%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 5.3 01/15/29                                                             | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |       49000 | PA      | $48952.33     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                   | CMLTI 2007-WFH4 M3A                                                           | CUSIP: 17313JAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $477401.65    | 0.05%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AU6873                                                                     | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59907 | PA      | $58540.35     | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BH9243                                                                     | CUSIP: 3140GYHV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88865 | PA      | $86566.27     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BH5764                                                                     | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21920 | PA      | $21351.31     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 4.5 01/31/50                                                              | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      420000 | PA      | $292012.58    | 0.03%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Company, LLC                                                        | AEP 3.15 09/15/49                                                             | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      226000 | PA      | $148730.58    | 0.02%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.8 03/01/50                                                             | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      130000 | PA      | $96833.67     | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                                   | VICI 4.75 04/01/28                                                            | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      164000 | PA      | $163995.15    | 0.02%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 4.78 03/25/38                                                             | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |        9000 | PA      | $8116.87      | 0.00%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 4.95 05/15/28                                                              | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      108000 | PA      | $108915.36    | 0.01%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 5.75 06/01/28                                                            | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |      600000 | PA      | $609478.80    | 0.07%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3467                                                                     | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44656 | PA      | $42077.36     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                  | SYF 5.15 03/19/29                                                             | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      209000 | PA      | $206656.50    | 0.02%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN6688                                                                     | CUSIP: 3140JPNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      133242 | PA      | $125862.72    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 3.25 12/01/26                                                            | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     1525000 | PA      | $1498892.75   | 0.17%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1                                                           | AFRMT 2025-1A A                                                               | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      304000 | PA      | $305540.06    | 0.03%             | 2033-02-15      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 4.75 01/15/31 144A                                                        | CUSIP: 26884LBC2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      614000 | PA      | $592973.47    | 0.07%             | 2031-01-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: —       |
| Goldman Sachs Group, Inc.                                                            | GS V4.937 04/23/28                                                            | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      794000 | PA      | $801235.31    | 0.09%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                          | FFML 2003-FF4 M1                                                              | CUSIP: 32027NDU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      190733 | PA      | $186208.42    | 0.02%             | 2033-10-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BH9277                                                                     | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44808 | PA      | $41069.56     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3415                                                                     | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7167 | PA      | $6753.52      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2019-B9 XA                                                              | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1633207 | PA      | $51534.38     | 0.01%             | 2052-03-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE2735                                                                     | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5897 | PA      | $5716.60      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA3516                                                                     | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      246042 | PA      | $240874.55    | 0.03%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Midamerican Energy Company                                                           | BRKHEC 3.15 04/15/50                                                          | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |       76000 | PA      | $50530.95     | 0.01%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Vici Properties Inc                                                                  | VICI 4.25 12/01/26 144A                                                       | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       21000 | PA      | $20781.49     | 0.00%             | 2026-12-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| OBX 2025-NQM3 TRUST                                                                  | OBX 2025-NQM3 A1                                                              | CUSIP: 67448YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      110249 | PA      | $110727.22    | 0.01%             | 2064-12-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V5.103 04/22/31                                                           | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      573000 | PA      | $583379.34    | 0.07%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs Group, Inc.                                                            | GS V5.218 04/23/31                                                            | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      180000 | PA      | $183320.84    | 0.02%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3356                                                                     | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2075 | PA      | $1900.11      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5896                                                                     | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63492 | PA      | $62473.85     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FG Q59918                                                                     | CUSIP: 3132Y4AU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      137238 | PA      | $134043.76    | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA1021                                                                     | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48508 | PA      | $47249.08     | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V3.194 07/23/30 MTN                                                       | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      105000 | PA      | $99059.87     | 0.01%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Rakuten Group Inc.                                                                   | RAKUTN 9.75 04/15/29 REGS                                                     | CUSIP: J64264AK0<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |      400000 | PA      | $421923.98    | 0.05%             | 2029-04-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: —       |
| Wom Mobile S.p.A.                                                                    | WOMMOB 11 04/01/31 144A                                                       | CUSIP: 97810LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |       41563 | PA      | $41978.63     | 0.00%             | 2031-04-01      | Fixed         | 12.50%                | Yes           |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 4.5 01/15/29 144a                                                         | CUSIP: 26884LAW9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      660000 | PA      | $640196.86    | 0.07%             | 2029-01-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Firstenergy Transmission Llc                                                         | FE 4.55 04/01/49 144A                                                         | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      500000 | PA      | $418328.48    | 0.05%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BJ9172                                                                     | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98160 | PA      | $95613.02     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5862                                                                     | CUSIP: 3140JAQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121382 | PA      | $118157.07    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5984                                                                     | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      117352 | PA      | $117044.91    | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QA0639                                                                     | CUSIP: 31334WV81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      110719 | PA      | $103853.52    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 4.758 09/06/49                                                         | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      407000 | PA      | $325872.03    | 0.04%             | 2049-09-06      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 3.5 12/01/29                                                             | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     1126000 | PA      | $1069201.15   | 0.12%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 6.875 05/13/37                                                            | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      693000 | PA      | $699709.06    | 0.08%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Wom Chile Holdco S.p.A.                                                              | WOMCHH 5 04/01/32 144A                                                        | CUSIP: 97810KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |      213385 | PA      | $212851.54    | 0.02%             | 2032-04-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| UK Logistics 2025-1 Designated Activity Co.                                          | UKLOG 2025-1X D                                                               | CUSIP: G930ZMAD6<br>LEI: 635400LLQ82YFJBFFU27 | Long             | ABS-O            | CORP              | IE        |      158000 | PA      | $211128.61    | 0.02%             | 2035-05-17      | Floating      |  | Yes           |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 2.4 03/20/55 86                                                           | CUSIP: J2S39L7Y4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    50050000 | PA      | $333009.88    | 0.04%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 5.85 06/01/35                                                             | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40499.30     | 0.00%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-11                                                     | AOMT 2024-11 A1                                                               | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-O            | CORP              | US        |      383429 | PA      | $384874.37    | 0.04%             | 2069-08-25      | Variable      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXXVII LTD                                               | BSP 2024-37A A                                                                | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      470000 | PA      | $470000.00    | 0.05%             | 2038-01-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FIGRE TRUST 2024-SL1                                                                 | FIGRE 2024-SL1 A1                                                             | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      401071 | PA      | $404254.02    | 0.05%             | 2053-07-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CB5543                                                                     | CUSIP: 3140QRER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      579236 | PA      | $591673.10    | 0.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAHA TRUST 2024-MAR                                                                  | BAHA 2024-MAR C                                                               | CUSIP: 05493XAG5<br>LEI: XLEZHWWOI4HFQDGL4793 | Long             | ABS-O            | CORP              | US        |      260000 | PA      | $266457.18    | 0.03%             | 2041-12-12      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy Partners Lp                                                          | CQP 5.95 06/30/33                                                             | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      215000 | PA      | $219469.47    | 0.03%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Israel (State Of)                                                                    | ISRAEL 5.75 03/12/54 30Y                                                      | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      204000 | PA      | $183600.00    | 0.02%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND MORTGAGE TRUST                                                          | INV 2024-IND A                                                                | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      510000 | PA      | $508725.00    | 0.06%             | 2041-11-15      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| A&D MORTGAGE TRUST 2024-NQM5                                                         | ADMT 2024-NQM5 M1                                                             | CUSIP: 00039KAF7<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-O            | CORP              | US        |      201500 | PA      | $203328.89    | 0.02%             | 2069-11-25      | Variable      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2021-1 LTD                                                         | STCP 2021-1A AR                                                               | CUSIP: 87122VAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250221.95    | 0.03%             | 2038-01-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB5145                                                                     | CUSIP: 3140QQWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      171968 | PA      | $175660.20    | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR11                                                                     | BANK5 2024-5YR11 A3                                                           | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       39000 | PA      | $40844.28     | 0.00%             | 2057-11-19      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 5.7 12/30/34 144A                                                         | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      707000 | PA      | $703681.77    | 0.08%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D V6.625 05/15/55                                                             | CUSIP: 25746UDV8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |       72000 | PA      | $70789.61     | 0.01%             | 2055-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3027                                                                     | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92331 | PA      | $87680.27     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 4.85 07/15/47 C                                                            | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      226000 | PA      | $188141.74    | 0.02%             | 2047-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Applovin Corp.                                                                       | APP 5.95 12/01/54                                                             | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      500000 | PA      | $477467.82    | 0.05%             | 2054-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| WARWICK CAPITAL CLO 5 LTD                                                            | WWICK 2024-5A A1                                                              | CUSIP: 93656FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      321000 | PA      | $320858.18    | 0.04%             | 2038-01-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2409                                                                     | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65985 | PA      | $65570.06     | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD1300                                                                     | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      114200 | PA      | $113467.80    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Limited                                                                | VALEBZ 6.4 06/28/54                                                           | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |        2000 | PA      | $1931.67      | 0.00%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: —       |
| South Bow USA Infrastructure Holdings LLC                                            | SOBOCN 4.911 09/01/27 144A                                                    | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |      120000 | PA      | $120621.31    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| HOMES 2024-NQM2 TRUST                                                                | HOMES 2024-NQM2 A1                                                            | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-O            | CORP              | US        |      100717 | PA      | $100995.01    | 0.01%             | 2069-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Applovin Corp.                                                                       | APP 5.125 12/01/29                                                            | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      341000 | PA      | $343800.31    | 0.04%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 5.45 02/15/34                                                             | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      429000 | PA      | $435776.40    | 0.05%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Bothe Windfarm Development Pvt Ltd.                                                  | CGRNEG 7.5 06/26/33 REGS                                                      | CUSIP: Y8987LAA4<br>LEI: 335800A71UZ8CXGYVD07 | Long             | DBT              | CORP              | IN        |      390900 | PA      | $391895.25    | 0.04%             | 2033-06-26      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN CB5055                                                                     | CUSIP: 3140QQTM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235089 | PA      | $240135.88    | 0.03%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VEGAS TRUST 2024-TI                                                                  | VEGAS 2024-TI A                                                               | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      260000 | PA      | $263519.07    | 0.03%             | 2039-11-14      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 5.05 12/30/26 144A                                                        | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      135000 | PA      | $135582.53    | 0.02%             | 2026-12-30      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| WHITEBOX CLO II LTD                                                                  | WBOX 2020-2A A1R2                                                             | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500654.65    | 0.06%             | 2037-10-26      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Applovin Corp.                                                                       | APP 5.375 12/01/31                                                            | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      592000 | PA      | $597416.58    | 0.07%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 5.7 01/15/35                                                              | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      902000 | PA      | $889833.91    | 0.10%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Gran Tierra Energy Inc                                                               | GTE 9.5 10/15/29 144A                                                         | CUSIP: 38500TAC5<br>LEI: 549300IH2S17MAIUCM32 | Long             | DBT              | CORP              | US        |       19000 | PA      | $14773.80     | 0.00%             | 2029-10-15      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: —       |
| CROSS 2023-H2 MORTGAGE TRUST                                                         | CROSS 2023-H2 A1A                                                             | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       68528 | PA      | $69468.97     | 0.01%             | 2068-11-25      | Variable      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2022-NQM6 TRUST VAR                                                             | CSMC 2022-NQM6 TRUST VAR                                                      | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      106809 | PA      | $108750.25    | 0.01%             | 2067-12-25      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V5.198 01/23/30                                                           | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       19000 | PA      | $19380.73     | 0.00%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2024-1                                        | VCC 2024-1 A                                                                  | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       67523 | PA      | $68022.02     | 0.01%             | 2054-01-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| YPF Sociedad Anonima                                                                 | YPFDAR 9.5 01/17/31 144A                                                      | CUSIP: 984245AX8<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |       26000 | PA      | $26822.24     | 0.00%             | 2031-01-17      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| BAHA TRUST 2024-MAR                                                                  | BAHA 2024-MAR A                                                               | CUSIP: 05493XAA8<br>LEI: XLEZHWWOI4HFQDGL4793 | Long             | ABS-O            | CORP              | US        |      590000 | PA      | $609079.18    | 0.07%             | 2041-12-12      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| J P MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG                      | JPMCC 2024-IGLG A                                                             | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      510000 | PA      | $515813.49    | 0.06%             | 2039-11-10      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QB1193                                                                     | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       37824 | PA      | $32054.03     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2418                                                                     | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94287 | PA      | $82871.53     | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Incorporated                                                       | TXN 4.1 08/16/52                                                              | CUSIP: 882508BQ6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |       91000 | PA      | $70930.07     | 0.01%             | 2052-08-16      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8309                                                                     | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      242570 | PA      | $194846.85    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 8.5 03/01/29 M                                                          | CUSIP: P4R07X3Z7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      640000 | PA      | $32437.15     | 0.00%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Turkey (Republic of)                                                                 | TURKGB 26.2 10/05/33 10Y                                                      | CUSIP: M8T85T8U9<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      973000 | PA      | $21049.69     | 0.00%             | 2033-10-05      | Fixed         | 26.20%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QF0409                                                                     | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       10643 | PA      | $10500.43     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB7349                                                                     | CUSIP: 3140QTEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198749 | PA      | $206864.94    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPR COMMERCIAL MORTGAGE TRUST 2024-PARK                                              | BPR 2024-PARK A                                                               | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      110000 | PA      | $111028.32    | 0.01%             | 2039-11-07      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| COMM 2024-CBM MORTGAGE TRUST                                                         | COMM 2024-CBM A2                                                              | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      110000 | PA      | $112194.42    | 0.01%             | 2041-12-12      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| TTAN 2021-MHC                                                                        | TTN 2021-MHC F                                                                | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       70752 | PA      | $70221.45     | 0.01%             | 2038-03-15      | Floating      | 8.11%                 | Yes           |                  2 | On Loan: No      |
| J P MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG                      | JPMCC 2024-IGLG D                                                             | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $138583.97    | 0.02%             | 2039-11-10      | Variable      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| ELMWOOD CLO 36 LTD                                                                   | ELM36 2024-12RA AR                                                            | CUSIP: 29004MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $499626.10    | 0.06%             | 2037-10-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC FINANCE ISSUANCE TRUST 2024-B                                               | REPS 2024-B B                                                                 | CUSIP: 76042GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $101142.33    | 0.01%             | 2037-11-20      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| BAHA TRUST 2024-MAR                                                                  | BAHA 2024-MAR B                                                               | CUSIP: 05493XAE0<br>LEI: XLEZHWWOI4HFQDGL4793 | Long             | ABS-O            | CORP              | US        |      106000 | PA      | $108344.01    | 0.01%             | 2041-12-12      | Variable      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| CAFL 2024-RTL1 ISSUER LLC                                                            | CAFL 2024-RTL1 A1                                                             | CUSIP: 12770DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $101337.33    | 0.01%             | 2031-11-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| RR 24 Ltd / RR 24 LLC                                                                | RRAM 2022-24A A1A2                                                            | CUSIP: 75000HBA1<br>LEI: 2549005CH9FMTJFP8I04 | Long             | ABS-CBDO         | CORP              | BM        |      500000 | PA      | $499579.10    | 0.06%             | 2037-01-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO LTD 2024-23                                        | GLM 2024-23A A                                                                | CUSIP: 38139KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      380000 | PA      | $376435.03    | 0.04%             | 2039-01-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 6.05 09/01/54                                                              | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      341000 | PA      | $311471.06    | 0.04%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| JW COMMERCIAL MORTGAGE TRUST 2024-MRCO                                               | JW 2024-MRCO A                                                                | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99437.50     | 0.01%             | 2039-06-15      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS2                                                 | JPMMT 2024-VIS2 B1                                                            | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       25000 | PA      | $25029.47     | 0.00%             | 2064-11-25      | Variable      | 7.73%                 | Yes           |                  2 | On Loan: No      |
| J P MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG                      | JPMCC 2024-IGLG E                                                             | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      435000 | PA      | $430640.39    | 0.05%             | 2039-11-10      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 6.1 01/07/34                                                               | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      207000 | PA      | $208010.04    | 0.02%             | 2034-01-07      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 5.75 02/01/34                                                             | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      697000 | PA      | $696819.02    | 0.08%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| GOLUB CAPITAL PARTNERS CLO 43(B)-R LTD                                               | GCBSL 2019-43A A1R                                                            | CUSIP: 38180PAA4<br>LEI: 2549006E2S3MDN9M6Q69 | Long             | ABS-CBDO         | CORP              | US        |      420000 | PA      | $419762.41    | 0.05%             | 2037-10-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA8892                                                                     | CUSIP: 3133KQ2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       62200 | PA      | $63535.82     | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO XI LTD                                                           | MIDO 2022-11A A1R2                                                            | CUSIP: 59801ABA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      370000 | PA      | $366904.06    | 0.04%             | 2036-01-18      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                              | SMB 2024-A A1B                                                                | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      105506 | PA      | $105834.56    | 0.01%             | 2056-03-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QC3130                                                                     | CUSIP: 3133AMPP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      271256 | PA      | $204357.50    | 0.02%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Dowson 2024-1 PLC                                                                    | DWSON 2024-1 F                                                                | CUSIP: G2826SAC3<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |      170000 | PA      | $225248.71    | 0.03%             | 2031-08-20      | Floating      |  | Yes           |                  2 | On Loan: No      |
| J P MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2024-IGLG                      | JPMCC 2024-IGLG F                                                             | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      372000 | PA      | $368313.96    | 0.04%             | 2039-11-10      | Variable      | 8.49%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD4977                                                                     | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     1583993 | PA      | $1554048.85   | 0.18%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                                           | LHX 5.25 06/01/31                                                             | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      119000 | PA      | $121817.11    | 0.01%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc. Pass Thru Trust                                                | DAL 3.625 07/30/27 15-1                                                       | CUSIP: 24736XAA6<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | ABS-O            | CORP              | US        |       43928 | PA      | $42847.57     | 0.00%             | 2029-01-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0297                                                                     | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      247216 | PA      | $233918.80    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2054                                                                     | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      227368 | PA      | $183312.19    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6636                                                                     | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      315617 | PA      | $266854.41    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                                                                  | GPN 5.95 08/15/52                                                             | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |       21000 | PA      | $19220.26     | 0.00%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2473                                                                     | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98424 | PA      | $97105.02     | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QE4965                                                                     | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        6963 | PA      | $6872.87      | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hungary (Republic Of)                                                                | REPHUN 4 07/25/29 6Y                                                          | CUSIP: X93622GT3<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |       30000 | PA      | $34885.67     | 0.00%             | 2029-07-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 5.55 01/15/36 05-B                                                        | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       76000 | PA      | $73987.96     | 0.01%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                            | DUK 3.75 06/01/45                                                             | CUSIP: 26442CAP9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      372000 | PA      | $282573.20    | 0.03%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0876                                                                     | CUSIP: 3132DM6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       13769 | PA      | $13026.11     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9452                                                                     | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60684 | PA      | $49016.49     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 6.95 03/15/34                                                             | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      207000 | PA      | $221987.66    | 0.03%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Samarco Mineracao SA                                                                 | SAMMIN 9.5 06/30/31 REGS                                                      | CUSIP: P8405QAA7<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |       57978 | PA      | $54567.40     | 0.01%             | 2031-06-30      | Variable      | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank, National Association (Utah)                                     | MS V4.952 01/14/28 BKNT                                                       | CUSIP: 61690U8A1<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |      540000 | PA      | $544363.78    | 0.06%             | 2028-01-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB7142                                                                     | CUSIP: 3140QS5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       68891 | PA      | $71820.63     | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0702                                                                     | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      213450 | PA      | $182015.30    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6359                                                                     | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190634 | PA      | $161887.39    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6711                                                                     | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98088 | PA      | $82942.50     | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.586 04/26/33                                                           | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       33000 | PA      | $32247.03     | 0.00%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1309                                                                     | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      455599 | PA      | $362446.97    | 0.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Medco Maple Tree Pte Ltd.                                                            | MEDCIJ 8.96 04/27/29 144A                                                     | CUSIP: 58407HAA7<br>LEI: 254900T5AQZNR0THA508 | Long             | DBT              | CORP              | SG        |       13000 | PA      | $13333.11     | 0.00%             | 2029-04-27      | Fixed         | 8.96%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-7                                                      | AOMT 2023-7 A1                                                                | CUSIP: 03466DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      106133 | PA      | $104830.79    | 0.01%             | 2067-11-25      | Variable      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Banco de Credito e Inversiones Miami Branch                                          | BCICI V8.75 PERP 144A                                                         | CUSIP: 05890MAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |       18000 | PA      | $18620.28     | 0.00%             | 2049-12-31      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 3.9 07/15/27 B                                                             | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      380000 | PA      | $375608.25    | 0.04%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8205                                                                     | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       71162 | PA      | $59270.16     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD0923                                                                     | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      651931 | PA      | $548938.23    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1463                                                                     | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288870 | PA      | $272148.82    | 0.03%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA6397                                                                     | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      209832 | PA      | $178031.83    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2458                                                                     | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81445 | PA      | $81064.35     | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD1465                                                                     | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      279201 | PA      | $275458.15    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR QF0895                                                                     | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       32994 | PA      | $32499.04     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Samarco Mineracao SA                                                                 | SAMMIN 9.5 06/30/31 144A                                                      | CUSIP: 79588YAA7<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |       16992 | PA      | $15992.43     | 0.00%             | 2031-06-30      | Variable      | 9.00%                 | Yes           |                  2 | On Loan: —       |
| MSWF COMMERCIAL MORTGAGE TRUST 2023-2                                                | MSWF 2023-2 XA                                                                | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      998809 | PA      | $60193.60     | 0.01%             | 2056-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 5.125 07/20/45                                                            | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      118000 | PA      | $102328.16    | 0.01%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 890696                                                                     | CUSIP: 31410LRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42957 | PA      | $42067.49     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HONO 2021-LULU MORTGAGE TRUST                                                        | HONO 2021-LULU A                                                              | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      580300 | PA      | $573046.25    | 0.07%             | 2036-12-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6863                                                                     | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111700 | PA      | $90119.25     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7597                                                                     | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      218429 | PA      | $186197.51    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1310                                                                     | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      508782 | PA      | $404547.66    | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 2.5 05/11/31                                                             | CUSIP: 62954HBA5<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |       85000 | PA      | $73220.96     | 0.01%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SB8507                                                                     | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      134370 | PA      | $123087.18    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                                | TRGP 6.15 03/01/29                                                            | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |       58000 | PA      | $60463.52     | 0.01%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Secretaria Do Tesouro Nacional                                                       | BNTNF 10 01/01/35 NTNF                                                        | CUSIP: P8T60NQG9<br>LEI: N/A                  | Long             | DBT              | NUSS              | BR        |     4886000 | PA      | $688315.87    | 0.08%             | 2035-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB8018                                                                     | CUSIP: 3140QT4C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      412176 | PA      | $426490.79    | 0.05%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD7539                                                                     | CUSIP: 3132DVLU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      180697 | PA      | $145939.89    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V4.611 04/25/53 MTN                                                       | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      213000 | PA      | $176357.44    | 0.02%             | 2053-04-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6577                                                                     | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      382965 | PA      | $323762.51    | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V6.407 11/01/29                                                            | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      114000 | PA      | $120682.62    | 0.01%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| THE 2023-MIC TRUST                                                                   | THE 2023-MIC A                                                                | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       30000 | PA      | $32615.68     | 0.00%             | 2038-11-05      | Variable      | 8.73%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RJ0320                                                                     | CUSIP: 3142GQLA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       77708 | PA      | $80606.12     | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS5537                                                                     | CUSIP: 3140XMEK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255684 | PA      | $266124.27    | 0.03%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.95 05/15/54                                                              | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18182.16     | 0.00%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 5.2 06/01/54                                                              | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      242000 | PA      | $222864.66    | 0.03%             | 2054-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                             | DUK 5.55 03/15/55                                                             | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      104000 | PA      | $100462.76    | 0.01%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2025-VIS1                                                 | JPMMT 2025-VIS1 M1                                                            | CUSIP: 46659BAF9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      150000 | PA      | $150196.58    | 0.02%             | 2055-08-25      | Variable      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Verisign, Inc.                                                                       | VRSN 5.25 06/01/32                                                            | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |       70000 | PA      | $70572.42     | 0.01%             | 2032-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNA 8 LLC                                                                            | FNH 2025-1 A                                                                  | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      104534 | PA      | $105205.78    | 0.01%             | 2045-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 5.875 11/15/55                                                           | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |        5000 | PA      | $4927.02      | 0.00%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust 2025-A                                                     | NSLT 2025-AA A1B                                                              | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      105000 | PA      | $103993.19    | 0.01%             | 2057-03-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 5.25 03/15/30                                                             | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      384000 | PA      | $387631.69    | 0.04%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D 5.45 03/15/35                                                               | CUSIP: 25746UDX4<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      120000 | PA      | $119415.99    | 0.01%             | 2035-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.3 05/15/65                                                            | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       85000 | PA      | $83977.91     | 0.01%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Company                                                             | CMS 5.05 05/15/35                                                             | CUSIP: 210518DZ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       70000 | PA      | $70197.69     | 0.01%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                  | SYF V5.45 03/06/31                                                            | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      772000 | PA      | $769869.47    | 0.09%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V5.612 03/04/56                                                             | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      105000 | PA      | $100334.89    | 0.01%             | 2056-03-04      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHR 5513 FD                                                                   | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     1611659 | PA      | $1609323.71   | 0.18%             | 2055-01-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Last Mile Logistics Pan Euro Finance Designated Activity Company                     | LMLOG 1X E                                                                    | CUSIP: G5S831AE9<br>LEI: 635400NOPX1IKIAX7N90 | Long             | ABS-O            | CORP              | IE        |      191462 | PA      | $214385.93    | 0.02%             | 2033-08-17      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Edison International                                                                 | EIX 6.25 03/15/30                                                             | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |       60000 | PA      | $60806.20     | 0.01%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| General Dynamics Corporation                                                         | GD 4.95 08/15/35                                                              | CUSIP: 369550BR8<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       60000 | PA      | $60198.58     | 0.01%             | 2035-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 5.7 03/01/35                                                              | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      128000 | PA      | $126230.46    | 0.01%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHR 5516 FC                                                                   | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     2954929 | PA      | $2951073.91   | 0.34%             | 2055-03-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Taurus 2025-2 UK DAC                                                                 | TAURS 2025-UK2X D                                                             | CUSIP: G8702NAB2<br>LEI: 635400ZUSGYHROR9ZX12 | Long             | ABS-O            | CORP              | IE        |      159000 | PA      | $210386.13    | 0.02%             | 2035-02-18      | Floating      |  | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                             | DUK 5.05 03/15/35                                                             | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      125000 | PA      | $124610.01    | 0.01%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| Citigroup Inc.                                                                       | C V4.786 03/04/29                                                             | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      224000 | PA      | $225105.10    | 0.03%             | 2029-03-04      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Greenko Wind Projects (Mauritius) Ltd.                                               | GRNKEN 7.25 09/27/28 REGS                                                     | CUSIP: V3856JAB9<br>LEI: 254900MSUXE1FF83DP82 | Long             | DBT              | CORP              | MU        |      200000 | PA      | $193633.16    | 0.02%             | 2028-09-27      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: —       |
| PLACEHOLD PRIME                                                                      | PLACEHOLD PRIME                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      112000 | PA      | $112000.00    | 0.01%             | 2030-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BJ4916                                                                     | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55153 | PA      | $50537.25     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8146                                                                     | CUSIP: 3132DWBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1420344 | PA      | $1134030.90   | 0.13%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 02/15/52                                                               | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1486200 | PA      | $918889.59    | 0.11%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 10/31/27                                                              | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1523000 | PA      | $1542334.96   | 0.18%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.625 02/15/53                                                              | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       41000 | PA      | $33933.91     | 0.00%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 6.95 10/15/33 144A                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      110000 | PA      | $118117.12    | 0.01%             | 2033-10-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-58 IY                                                                | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      637107 | PA      | $106491.25    | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7312                                                                     | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      526075 | PA      | $448788.00    | 0.05%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NGPL Pipe Co LLC                                                                     | NGPLCO 3.25 07/15/31 144A                                                     | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |      446000 | PA      | $393952.64    | 0.05%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.125 08/31/28                                                              | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1938000 | PA      | $1787653.60   | 0.20%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 08/15/52                                                                  | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       26000 | PA      | $19008.44     | 0.00%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 7.079 08/02/43                                                         | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      106000 | PA      | $113676.80    | 0.01%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.375 09/15/27                                                              | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $99539.06     | 0.01%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.625 09/30/31                                                              | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1666000 | PA      | $1640749.69   | 0.19%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.25 12/31/26                                                               | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      156000 | PA      | $157413.75    | 0.02%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.875 03/15/28                                                              | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       94000 | PA      | $94771.09     | 0.01%             | 2028-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Autodesk Inc                                                                         | Autodesk Inc COM USD0.01                                                      | CUSIP: 052769106<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | EC               | CORP              | US        |         125 | NS      | $34281.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp.                                                                | Bank of America Corp. COM USD0.01                                             | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |         776 | NS      | $30946.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                                     | CUSIP: 01F020455<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      271000 | PA      | $246129.72    | 0.03%             | 2040-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.469 04/15/34 144A                                                      | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      628000 | PA      | $551751.54    | 0.06%             | 2034-04-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Frontier Communications Holdings Llc                                                 | FYBR 5.875 11/01/29                                                           | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      148500 | PA      | $148574.40    | 0.02%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Equinix, Inc.                                                                        | EQIX 2.5 05/15/31                                                             | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      445000 | PA      | $389642.19    | 0.04%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.25 09/30/28                                                               | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1900700 | PA      | $1757108.05   | 0.20%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOC GOVT ENVIRONMENTAL FACS & CMNTY DEV AUTH                               | LA LASGOV 4.14 02/01/2033                                                     | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |       70000 | PA      | $69054.30     | 0.01%             | 2033-02-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.25 06/30/29                                                               | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1253600 | PA      | $1233326.93   | 0.14%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.125 08/15/25                                                              | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      213000 | PA      | $212257.83    | 0.02%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| United States Treasury Notes                                                         | T 3.125 08/31/27                                                              | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        6000 | PA      | $5937.19      | 0.00%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.875 02/15/43                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      652500 | PA      | $590563.47    | 0.07%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 5.9 09/15/37                                                           | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      327000 | PA      | $331844.75    | 0.04%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.125 08/15/44                                                              | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      325700 | PA      | $301883.19    | 0.03%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V1.734 07/22/27                                                           | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      102000 | PA      | $98613.27     | 0.01%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 11/15/51                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1164000 | PA      | $655113.75    | 0.07%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V5.819 09/15/29                                                           | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      709000 | PA      | $738485.35    | 0.08%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 6.375 10/06/30 144A                                                    | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      325000 | PA      | $346187.52    | 0.04%             | 2030-10-06      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                  | EXE 6.75 04/15/29 144A                                                        | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      317000 | PA      | $319303.33    | 0.04%             | 2029-04-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS8380                                                                     | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26160 | PA      | $24784.11     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.375 12/31/28                                                              | CUSIP: 91282CDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        4000 | PA      | $3692.19      | 0.00%             | 2028-12-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 11/15/32                                                              | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      427000 | PA      | $431203.28    | 0.05%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.875 11/30/27                                                              | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2049500 | PA      | $2063510.26   | 0.24%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BK1958                                                                     | CUSIP: 3140HFE88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18416 | PA      | $16869.61     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.419 04/15/33 144A                                                      | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      550000 | PA      | $490491.93    | 0.06%             | 2033-04-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                                                        | EQIX 3.4 02/15/52                                                             | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      135000 | PA      | $88376.82     | 0.01%             | 2052-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR RA9625                                                                     | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       33944 | PA      | $33986.12     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | The Boeing Company 6% SER A DEP SHS REPSTG 1/20TH INT MANDATORY CONV PFD      | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |         800 | PA      | $49104.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 03/31/32                                                              | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       80000 | PA      | $80950.00     | 0.01%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.5 02/15/45                                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3498000 | PA      | $2486722.74   | 0.28%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BJ0648                                                                     | CUSIP: 3140H1WJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30589 | PA      | $28021.16     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1543                                                                     | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1409 | PA      | $1291.01      | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4157                                                                     | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      217660 | PA      | $164155.55    | 0.02%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FR SD8145                                                                     | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        3848 | PA      | $2900.11      | 0.00%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 2.85 04/27/31 144A                                                     | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       23000 | PA      | $20451.39     | 0.00%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| AEP Texas Inc                                                                        | AEP 3.45 05/15/51                                                             | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      206000 | PA      | $135585.13    | 0.02%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.25 05/31/28                                                               | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2376000 | PA      | $2214320.61   | 0.25%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.875 05/15/32                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       43600 | PA      | $40740.45     | 0.00%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4 02/28/30                                                                  | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      304000 | PA      | $307942.50    | 0.04%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-97 LI                                                                | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      771759 | PA      | $128625.03    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                                 | UKT 4.375 07/31/54                                                            | CUSIP: G4527HF22<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      972718 | PA      | $1135574.24   | 0.13%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.5 02/15/30                                                                | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1075000 | PA      | $971531.25    | 0.11%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.625 07/31/26                                                              | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2762700 | PA      | $2656508.72   | 0.30%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2 08/15/51                                                                  | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      389000 | PA      | $226941.99    | 0.03%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.125 08/31/29                                                              | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      425300 | PA      | $415847.04    | 0.05%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 7.081 08/02/53                                                         | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      623000 | PA      | $676963.43    | 0.08%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB6872                                                                     | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      488702 | PA      | $497323.81    | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLGB 2 08/25/36 CPI                                                          | CUSIP: X8T02EEC3<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |       66000 | PA      | $15854.60     | 0.00%             | 2036-08-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.5 12/31/31                                                                | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1317300 | PA      | $1362324.91   | 0.16%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - AUD                                                              | CURRENCY CONTRACT - AUD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -14655 | NC      | $82.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - AUD                                                              | CURRENCY CONTRACT - AUD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -31550 | NC      | $167.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - AUD                                                              | CURRENCY CONTRACT - AUD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -28851 | NC      | $-17.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -591000 | NC      | $20151.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -118000 | NC      | $1712.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -21000 | NC      | $-127.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -31000 | NC      | $1104.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -30000 | NC      | $1216.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -19000 | NC      | $218.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -19000 | NC      | $16.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -121500 | NC      | $201.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CAD                                                              | CURRENCY CONTRACT - CAD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -68000 | NC      | $450.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CLP                                                              | CURRENCY CONTRACT - CLP                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -19000 | NC      | $-14.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CNH                                                              | CURRENCY CONTRACT - CNH                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -132000 | NC      | $497.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - COP                                                              | CURRENCY CONTRACT - COP                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -28000 | NC      | $847.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CZK                                                              | CURRENCY CONTRACT - CZK                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -102000 | NC      | $-200.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EGP                                                              | CURRENCY CONTRACT - EGP                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -31803 | NC      | $1884.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EGP                                                              | CURRENCY CONTRACT - EGP                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -21000 | NC      | $569.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EGP                                                              | CURRENCY CONTRACT - EGP                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -30052 | NC      | $-247.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -277335 | NC      | $6774.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -7971 | NC      | $-27.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -204279 | NC      | $-1031.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -28812 | NC      | $-441.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -820034 | NC      | $25059.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -146848 | NC      | $1096.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - IDR                                                              | CURRENCY CONTRACT - IDR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -103698 | NC      | $-226.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - IDR                                                              | CURRENCY CONTRACT - IDR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -61000 | NC      | $1027.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - IDR                                                              | CURRENCY CONTRACT - IDR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -29000 | NC      | $411.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - INR                                                              | CURRENCY CONTRACT - INR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -42000 | NC      | $1115.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MXN                                                              | CURRENCY CONTRACT - MXN                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -193208 | NC      | $3912.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MXN                                                              | CURRENCY CONTRACT - MXN                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -29000 | NC      | $83.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MYR                                                              | CURRENCY CONTRACT - MYR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -41000 | NC      | $826.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - NGN                                                              | CURRENCY CONTRACT - NGN                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -8010 | NC      | $-593.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - NGN                                                              | CURRENCY CONTRACT - NGN                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -8011 | NC      | $-593.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - NGN                                                              | CURRENCY CONTRACT - NGN                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -7982 | NC      | $-302.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - NOK                                                              | CURRENCY CONTRACT - NOK                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -19000 | NC      | $314.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - NOK                                                              | CURRENCY CONTRACT - NOK                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -19000 | NC      | $29.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - PEN                                                              | CURRENCY CONTRACT - PEN                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -29000 | NC      | $484.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - PLN                                                              | CURRENCY CONTRACT - PLN                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -20000 | NC      | $-50.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - PLN                                                              | CURRENCY CONTRACT - PLN                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -37000 | NC      | $-144.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - THB                                                              | CURRENCY CONTRACT - THB                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -9000 | NC      | $-102.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - THB                                                              | CURRENCY CONTRACT - THB                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -48000 | NC      | $-126.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -28389 | NC      | $9.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -21445 | NC      | $-74.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -6283 | NC      | $-21.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -21414 | NC      | $753.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -5000 | NC      | $172.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -9353 | NC      | $246.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -19813 | NC      | $328.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -10841 | NC      | $82.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -93046 | NC      | $429.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -8298 | NC      | $38.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -11458 | NC      | $3.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -20000 | NC      | $-5.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -9964 | NC      | $-2.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -1188298 | NC      | $28.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -5662664 | NC      | $135.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -1238934 | NC      | $31.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -19813 | NC      | $-1767.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -5795486 | NC      | $-571.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -609684 | NC      | $-5.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -106528 | NC      | $-388.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -812100 | NC      | $-30537.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -737017 | NC      | $-32296.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -3733800 | NC      | $-163616.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -88914000 | NC      | $-18184.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -6403566 | NC      | $-36756.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -58530000 | NC      | $-13669.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -388000 | NC      | $-89.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -422000 | NC      | $-15267.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -833164 | NC      | $1050.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |  -698110524 | NC      | $-102.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -632591 | NC      | $-898.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -259000 | NC      | $-10015.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -689667 | NC      | $612.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -539000 | NC      | $-23251.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -877800 | NC      | $-441.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -115990 | NC      | $-411.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -179955 | NC      | $-667.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -780000 | NC      | $-46.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -121932 | NC      | $-456.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -4904000 | NC      | $-725.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -4162000 | NC      | $-757.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        | -1025725894 | NC      | $-7286.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -93228 | NC      | $-905.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -1429387 | NC      | $-9785.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -158000 | NC      | $-8232.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -1835400 | NC      | $-505.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       -6351 | NC      | $3.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -14973 | NC      | $6.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -171346 | NC      | $-1152.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -2337425 | NC      | $90.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -308215 | NC      | $-6.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -4116470 | NC      | $208.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -343608 | NC      | $-52.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -28337930 | NC      | $-776.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |  -310488750 | NC      | $-1663.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -58000 | NC      | $-469.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -81022 | NC      | $380.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -28195 | NC      | $137.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -892916 | NC      | $-574.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -44169000 | NC      | $6262.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -21000 | NC      | $-57.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -7357000 | NC      | $493.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -62936 | NC      | $-264.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -222000 | NC      | $-124.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -94339 | NC      | $-532.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -820486 | NC      | $16.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -892382 | NC      | $38.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -174250 | NC      | $-60.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -22838 | NC      | $1450.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -34000 | NC      | $434.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| International Monetary Market                                                        | FUT. EMINI S&P JUN25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |          -3 | NC      | $-838050.00   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL                                           | JUN 25 ME 10Y CDN JUN 25                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         -28 | NC      | $-2511591.47  | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | FUT. YR T-NOTES JUN25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          40 | NC      | $4488750.00   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | FUT. U.S. T-BONDS JUN25                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          46 | NC      | $5364750.00   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | JUN 25 CBT ULT JUN 25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -142 | NC      | $-16292281.25 | -1.86%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | JUN 25 CBT UL JUN 25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          70 | NC      | $8472187.50   | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | FUT. CBT 5Y T-NOTE JUN25                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         339 | NC      | $37017210.94  | 4.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | JUN 25 US 2YR JUN 25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         126 | NC      | $26226703.11  | 3.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | 06 JUN 25 EURO 06 JUN                                                         | CUSIP: 000000000<br>LEI: 529900UT4DG0LG5R9O07 | N/A              | DIR              | CORP              | DE        |          -6 | NC      | $-843520.20   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 4                                                            | SWO USD RCV SOFR 1D PAY 4                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      337050 | NC      | $11910.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 4                                                            | SWO USD RCV SOFR 1D PAY 4                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      745360 | NC      | $18005.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 4                                                            | SWO USD RCV SOFR 1D PAY 4                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      169133 | NC      | $6187.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 4                                                            | SWO USD RCV SOFR 1D PAY 4                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      745360 | NC      | $17832.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     1257000 | NC      | $48426.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 4                                                            | SWO USD RCV SOFR 1D PAY 4                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      428800 | NC      | $15539.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     -170000 | NC      | $-1758.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     1344500 | NC      | $65540.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     1344500 | NC      | $65269.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 2                                                            | SWO USD RCV SOFR 1D PAY 2                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |   -10471000 | NC      | $-96.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 2                                                            | SWO USD RCV SOFR 1D PAY 2                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |   -20943000 | NC      | $-192.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 2                                                            | SWO USD RCV SOFR 1D PAY 2                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |   -43628000 | NC      | $-401.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 4.35 PAY SOFR                                                            | SWO USD RCV 4.35 PAY SOFR                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      745360 | NC      | $52592.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 4.34 PAY SOFR                                                            | SWO USD RCV 4.34 PAY SOFR                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      745360 | NC      | $52175.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 4.0075 PAY SO                                                            | SWO USD RCV 4.0075 PAY SO                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      169133 | NC      | $8994.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 4.045 PAY SOF                                                            | SWO USD RCV 4.045 PAY SOF                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      337050 | NC      | $18516.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 4 PAY SOFR 1D                                                            | SWO USD RCV 4 PAY SOFR 1D                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      428800 | NC      | $22623.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.93 PAY SOFR                                                            | SWO USD RCV 3.93 PAY SOFR                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     1257000 | NC      | $62285.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.74 PAY SOFR                                                            | SWO USD RCV 3.74 PAY SOFR                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    20943000 | NC      | $26258.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.74 PAY SOFR                                                            | SWO USD RCV 3.74 PAY SOFR                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    43628000 | NC      | $54700.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.74 PAY SOFR                                                            | SWO USD RCV 3.74 PAY SOFR                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    10471000 | NC      | $13128.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.665 PAY SOF                                                            | SWO USD RCV 3.665 PAY SOF                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     1344500 | NC      | $51852.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.66 PAY SOFR                                                            | SWO USD RCV 3.66 PAY SOFR                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     1344500 | NC      | $51595.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO CZK RCV PRBOR 6M PAY                                                             | SWO CZK RCV PRBOR 6M PAY                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    -1617000 | NC      | $-1571.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PUT JUN 25 US 2YR PUT JUN                                                            | PUT JUN 25 US 2YR PUT JUN                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          -1 | NC      | $-31.25       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FXODIG USDTWD CALL 34.6                                                              | FXODIG USDTWD CALL 34.6                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |        8000 | NC      | $172.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDINR CALL 88 30                                                             | FXODIG USDINR CALL 88 30                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |        5000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDCNH PUT 7.05 2                                                             | FXODIG USDCNH PUT 7.05 2                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |        7000 | NC      | $562.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDCNH CALL 7.63                                                              | FXODIG USDCNH CALL 7.63                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       10000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDCNH CALL 7.5 2                                                             | FXODIG USDCNH CALL 7.5 2                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |        7000 | NC      | $798.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDCHF CALL 0.85                                                              | FXODIG USDCHF CALL 0.85                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |        5000 | NC      | $920.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDCAD PUT 1.335                                                              | FXODIG USDCAD PUT 1.335                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |        8000 | NC      | $1389.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDCAD CALL 1.525                                                             | FXODIG USDCAD CALL 1.525                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |        5000 | NC      | $20.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDCAD CALL 1.48                                                              | FXODIG USDCAD CALL 1.48                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |        3000 | NC      | $1.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG EURUSD PUT 1.09 1                                                             | FXODIG EURUSD PUT 1.09 1                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |        7000 | NC      | $1038.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG EURUSD PUT 1.005                                                              | FXODIG EURUSD PUT 1.005                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |        5000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG EURCZK PUT 24.5 0                                                             | FXODIG EURCZK PUT 24.5 0                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |        9000 | NC      | $513.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG AUDUSD PUT 0.59 0                                                             | FXODIG AUDUSD PUT 0.59 0                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |        9000 | NC      | $87.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG AUDUSD CALL 0.665                                                             | FXODIG AUDUSD CALL 0.665                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |        9800 | NC      | $1095.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXOBAR USDMXN PUT 19.9 DO                                                            | FXOBAR USDMXN PUT 19.9 DO                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       62000 | NC      | $174.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXOBAR USDKRW PUT 1390 DO                                                            | FXOBAR USDKRW PUT 1390 DO                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       57000 | NC      | $96.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXOBAR USDJPY PUT 150 DO                                                             | FXOBAR USDJPY PUT 150 DO                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       61000 | NC      | $1020.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXOBAR USDJPY PUT 147 DO                                                             | FXOBAR USDJPY PUT 147 DO                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       61000 | NC      | $447.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXOBAR USDJPY PUT 144 DO                                                             | FXOBAR USDJPY PUT 144 DO                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      102000 | NC      | $942.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXOBAR USDCNH CALL 7.35 U                                                            | FXOBAR USDCNH CALL 7.35 U                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      104000 | NC      | $251.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDTRY PUT 40 290525                                                             | FXO USDTRY PUT 40 290525                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       15500 | NC      | $287.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDTRY PUT 39.5 16052                                                            | FXO USDTRY PUT 39.5 16052                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -31000 | NC      | $-419.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDTRY CALL 48 290525                                                            | FXO USDTRY CALL 48 290525                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       -8000 | NC      | $-6.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDSGD PUT 1.325 0905                                                            | FXO USDSGD PUT 1.325 0905                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       57000 | NC      | $874.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDPLN PUT 3.6 230525                                                            | FXO USDPLN PUT 3.6 230525                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -57000 | NC      | $-50.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDPLN CALL 4 200625                                                             | FXO USDPLN CALL 4 200625                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -29000 | NC      | $-114.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDPLN CALL 3.8 23052                                                            | FXO USDPLN CALL 3.8 23052                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       57000 | NC      | $584.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDNOK PUT 10.5 13052                                                            | FXO USDNOK PUT 10.5 13052                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -19000 | NC      | $-290.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDNOK CALL 10.8 1305                                                            | FXO USDNOK CALL 10.8 1305                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -19000 | NC      | $-22.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDMXN PUT 20.1 28052                                                            | FXO USDMXN PUT 20.1 28052                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -31000 | NC      | $-853.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDJPY PUT 140 150525                                                            | FXO USDJPY PUT 140 150525                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       67000 | NC      | $289.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDJPY CALL 148 16062                                                            | FXO USDJPY CALL 148 16062                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -67000 | NC      | $-217.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.35 3004                                                            | FXO USDCNH CALL 7.35 3004                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      101000 | NC      | $0.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP PUT 930 290525                                                            | FXO USDCLP PUT 930 290525                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -62000 | NC      | $-489.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 950 23052                                                            | FXO USDCLP CALL 950 23052                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -42000 | NC      | $-534.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDBRL PUT 5.75 29052                                                            | FXO USDBRL PUT 5.75 29052                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -62000 | NC      | $-1172.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCAD CALL 1.41 1405                                                            | FXO USDCAD CALL 1.41 1405                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       95000 | NC      | $40.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 1.0425 080                                                            | FXO EURUSD PUT 1.0425 080                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      117000 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 1.055 1507                                                            | FXO EURUSD PUT 1.055 1507                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       95000 | NC      | $77.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 1.02 15072                                                            | FXO EURUSD PUT 1.02 15072                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      143000 | NC      | $30.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 1.0125 080                                                            | FXO EURUSD PUT 1.0125 080                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       58500 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 1.02 15072                                                            | FXO EURUSD PUT 1.02 15072                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -143000 | NC      | $-30.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1.15 1405                                                            | FXO EURUSD CALL 1.15 1405                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -33000 | NC      | $-112.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 1.0125 080                                                            | FXO EURUSD PUT 1.0125 080                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -117000 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1.12 0506                                                            | FXO EURUSD CALL 1.12 0506                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       46000 | NC      | $1000.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1.1 05052                                                            | FXO EURUSD CALL 1.1 05052                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -192000 | NC      | $-6345.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1.12 0506                                                            | FXO EURUSD CALL 1.12 0506                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -46000 | NC      | $-1000.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1.08 0505                                                            | FXO EURUSD CALL 1.08 0505                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       96000 | NC      | $5090.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURNOK PUT 11.55 0805                                                            | FXO EURNOK PUT 11.55 0805                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       57000 | NC      | $37.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURNOK CALL 12 080525                                                            | FXO EURNOK CALL 12 080525                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -57000 | NC      | $-87.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO AUDUSD PUT 0.62 13062                                                            | FXO AUDUSD PUT 0.62 13062                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |       60000 | NC      | $197.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURNOK CALL 11.8 0805                                                            | FXO EURNOK CALL 11.8 0805                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |       29000 | NC      | $191.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO AUDUSD PUT 0.6 130625                                                            | FXO AUDUSD PUT 0.6 130625                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |      -60000 | NC      | $-57.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDMXN PUT 20 120525                                                             | FXO USDMXN PUT 20 120525                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -57000 | NC      | $-1211.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDMXN CALL 22 290525                                                            | FXO USDMXN CALL 22 290525                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       41000 | NC      | $13.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDMXN CALL 22 290525                                                            | FXO USDMXN CALL 22 290525                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      -41000 | NC      | $-13.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDMXN CALL 21.2 1205                                                            | FXO USDMXN CALL 21.2 1205                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       57000 | NC      | $7.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO AUDUSD CALL 0.6375 28                                                            | FXO AUDUSD CALL 0.6375 28                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |      -81000 | NC      | $-779.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAP 10YSOFR-2YSOFR SL 0.8                                                            | CAP 10YSOFR-2YSOFR SL 0.8                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |   -92240000 | NC      | $-39091.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAP 10YSOFR-2YSOFR SL 0.4                                                            | CAP 10YSOFR-2YSOFR SL 0.4                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    92240000 | NC      | $158329.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Northern Institutional Funds                                                         | Northern Institutional Funds LIQ ASET PORTF                                   | CUSIP: 665279105<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |     9471183 | NS      | $9471183.17   | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Northern Institutional Funds                                                         | Northern Institutional Funds LIQ ASET PORTF                                   | CUSIP: 665279105<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |      250425 | NS      | $250425.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RPI_CCP USD RCV 2.33% PAY CPI1D 28-APR-2055                                          | RPI_CCP USD RCV 2.33% PAY CPI1D 28-APR-2055                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      352300 | OU      | $1914.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP GBP RCV RPI1D PAY 3.01% 15-APR-2055                                          | RPI_CCP GBP RCV RPI1D PAY 3.01% 15-APR-2055                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |      253440 | OU      | $-1616.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 13.085% PAY BZDIO1D 04-JAN-2027                                          | OIS BRL RCV 13.085% PAY BZDIO1D 04-JAN-2027                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      807373 | OU      | $-1481.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS COP RCV COOVI1D PAY 8.62% 05-NOV-2025                                            | IRS COP RCV COOVI1D PAY 8.62% 05-NOV-2025                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CO        |   781128000 | OU      | $1087.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR6M PAY 5.135% 20-DEC-2025                                       | IRS_CCP PLN RCV WIBOR6M PAY 5.135% 20-DEC-2025                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |      456000 | OU      | $22.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 9.785% PAY BZDIO1D 04-JAN-2027                                           | OIS BRL RCV 9.785% PAY BZDIO1D 04-JAN-2027                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      837000 | OU      | $-13120.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.49% 19-FEB-2054                                        | IRS_CCP EUR RCV EURIB6M PAY 2.49% 19-FEB-2054                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      793980 | OU      | $-8965.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.5055% 20-FEB-2054                                      | IRS_CCP EUR RCV EURIB6M PAY 2.5055% 20-FEB-2054                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      793980 | OU      | $-11839.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.513% 20-FEB-2054                                       | IRS_CCP EUR RCV EURIB6M PAY 2.513% 20-FEB-2054                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      754000 | OU      | $-12561.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.5105% 01-MAR-2054                                      | IRS_CCP EUR RCV EURIB6M PAY 2.5105% 01-MAR-2054                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      395000 | OU      | $-6529.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.4555% 22-MAR-2054                                      | IRS_CCP EUR RCV EURIB6M PAY 2.4555% 22-MAR-2054                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      166000 | OU      | $-780.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 10.315% PAY BZDIO1D 04-JAN-2027                                          | OIS BRL RCV 10.315% PAY BZDIO1D 04-JAN-2027                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |       11480 | OU      | $-142.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV BZDIO1D PAY 10.97% 04-JAN-2027                                           | OIS BRL RCV BZDIO1D PAY 10.97% 04-JAN-2027                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      937000 | OU      | $8774.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.543% 22-APR-2054                                       | IRS_CCP EUR RCV EURIB6M PAY 2.543% 22-APR-2054                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      402000 | OU      | $-10024.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP ZAR RCV JIBAR3M PAY 8.145% 07-MAY-2026                                       | IRS_CCP ZAR RCV JIBAR3M PAY 8.145% 07-MAY-2026                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | ZA        |     2807000 | OU      | $-1427.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS COP RCV COOVI1D PAY 9.81% 10-MAY-2025                                            | IRS COP RCV COOVI1D PAY 9.81% 10-MAY-2025                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CO        |   445640990 | OU      | $348.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS COP RCV COOVI1D PAY 9.73% 10-MAY-2025                                            | IRS COP RCV COOVI1D PAY 9.73% 10-MAY-2025                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CO        |   298119010 | OU      | $290.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQIX RCV GOLDMAN SA PAY 0 06-05-25                                                   | EQIX RCV GOLDMAN SA PAY 0 06-05-25                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       10585 | OU      | $-36941.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP ZAR RCV JIBAR3M PAY 7.97% 06-JUN-2026                                        | IRS_CCP ZAR RCV JIBAR3M PAY 7.97% 06-JUN-2026                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | ZA        |     1979000 | OU      | $-866.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV BZDIO1D PAY 11.573% 04-JAN-2027                                          | OIS BRL RCV BZDIO1D PAY 11.573% 04-JAN-2027                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      415000 | OU      | $2789.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.4392% 19-JUN-2054                                      | IRS_CCP EUR RCV EURIB6M PAY 2.4392% 19-JUN-2054                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      158000 | OU      | $-130.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.4062% 20-JUN-2054                                      | IRS_CCP EUR RCV EURIB6M PAY 2.4062% 20-JUN-2054                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      158000 | OU      | $1090.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 2.4413% PAY EURIB6M 24-JUN-2054                                      | IRS_CCP EUR RCV 2.4413% PAY EURIB6M 24-JUN-2054                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      108000 | OU      | $146.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 10.975% PAY BZDIO1D 01-JUL-2025                                          | OIS BRL RCV 10.975% PAY BZDIO1D 01-JUL-2025                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      544000 | OU      | $-1131.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQIX RCV GOLDMAN SA PAY 0 06-05-25                                                   | EQIX RCV GOLDMAN SA PAY 0 06-05-25                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |        3848 | OU      | $-13429.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 10.808% PAY BZDIO1D 01-JUL-2025                                          | OIS BRL RCV 10.808% PAY BZDIO1D 01-JUL-2025                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      867000 | OU      | $-2056.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.2602% 22-OCT-2054                                      | IRS_CCP EUR RCV EURIB6M PAY 2.2602% 22-OCT-2054                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      270000 | OU      | $10936.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 2.1843% PAY EURIB6M 07-NOV-2054                                      | IRS_CCP EUR RCV 2.1843% PAY EURIB6M 07-NOV-2054                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      155000 | OU      | $-9050.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 13.148% PAY BZDIO1D 02-JAN-2029                                          | OIS BRL RCV 13.148% PAY BZDIO1D 02-JAN-2029                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      287500 | OU      | $-453.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 13.015% PAY BZDIO1D 02-JAN-2029                                          | OIS BRL RCV 13.015% PAY BZDIO1D 02-JAN-2029                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      387000 | OU      | $-985.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV BZDIO1D PAY 15.41% 04-JAN-2027                                           | OIS BRL RCV BZDIO1D PAY 15.41% 04-JAN-2027                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      485900 | OU      | $-2740.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR6M PAY 5.16% 19-SEP-2026                                        | IRS_CCP PLN RCV WIBOR6M PAY 5.16% 19-SEP-2026                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |      574594 | OU      | $-1466.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV 4.883% PAY WIBOR6M 19-MAR-2030                                       | IRS_CCP PLN RCV 4.883% PAY WIBOR6M 19-MAR-2030                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |      187032 | OU      | $1934.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP MXN RCV MXIBTIEF1D PAY 8.97% 14-DEC-2029                                     | OIS_CCP MXN RCV MXIBTIEF1D PAY 8.97% 14-DEC-2029                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | MX        |      813000 | OU      | $-2132.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR6M PAY 5.127% 19-MAR-2027                                       | IRS_CCP PLN RCV WIBOR6M PAY 5.127% 19-MAR-2027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |      334125 | OU      | $-1456.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR6M PAY 5.14% 19-MAR-2027                                        | IRS_CCP PLN RCV WIBOR6M PAY 5.14% 19-MAR-2027                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |      556875 | OU      | $-2462.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP ZAR RCV JIBAR3M PAY 7.93625% 19-MAR-2030                                     | IRS_CCP ZAR RCV JIBAR3M PAY 7.93625% 19-MAR-2030                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | ZA        |     2438000 | OU      | $-2516.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP MXN RCV MXIBTIEF1D PAY 9.305% 09-JAN-2026                                    | OIS_CCP MXN RCV MXIBTIEF1D PAY 9.305% 09-JAN-2026                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | MX        |      765000 | OU      | $-371.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP MXN RCV MXIBTIEF1D PAY 9.45% 03-JAN-2035                                     | OIS_CCP MXN RCV MXIBTIEF1D PAY 9.45% 03-JAN-2035                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | MX        |     1716000 | OU      | $-7830.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS COP RCV COOVI1D PAY 8.73% 14-JAN-2030                                            | IRS COP RCV COOVI1D PAY 8.73% 14-JAN-2030                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CO        |   129643889 | OU      | $-523.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP HUF RCV 6.55% PAY BUBOR6M 19-MAR-2030                                        | IRS_CCP HUF RCV 6.55% PAY BUBOR6M 19-MAR-2030                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | HU        |     4557500 | OU      | $356.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP MXN RCV 8.47% PAY MXIBTIEF1D 25-FEB-2026                                     | OIS_CCP MXN RCV 8.47% PAY MXIBTIEF1D 25-FEB-2026                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | MX        |     4569000 | OU      | $1149.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP INR RCV 6.0026% PAY MIBOR1D 19-MAR-2030                                      | OIS_CCP INR RCV 6.0026% PAY MIBOR1D 19-MAR-2030                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | IN        |    10468500 | OU      | $2038.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP INR RCV MIBOR1D PAY 6.07% 19-MAR-2035                                        | OIS_CCP INR RCV MIBOR1D PAY 6.07% 19-MAR-2035                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | IN        |     1211000 | OU      | $-341.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.53625% 15-APR-2029                                       | RPI_CCP USD RCV CPI1D PAY 2.53625% 15-APR-2029                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      522500 | OU      | $1896.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.69125% 15-APR-2028                                       | RPI_CCP USD RCV CPI1D PAY 2.69125% 15-APR-2028                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      652500 | OU      | $3311.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP CNY RCV 1.5825% PAY CNRR07D 19-MAR-2028                                      | IRS_CCP CNY RCV 1.5825% PAY CNRR07D 19-MAR-2028                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CN        |      897000 | OU      | $591.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.53125% 15-APR-2029                                       | RPI_CCP USD RCV CPI1D PAY 2.53125% 15-APR-2029                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      187500 | OU      | $725.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.6875% 15-APR-2028                                        | RPI_CCP USD RCV CPI1D PAY 2.6875% 15-APR-2028                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      317500 | OU      | $1671.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP MXN RCV 8.08% PAY MXIBTIEF1D 07-MAR-2028                                     | OIS_CCP MXN RCV 8.08% PAY MXIBTIEF1D 07-MAR-2028                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | MX        |     2444000 | OU      | $1724.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 3.7937% 16-MAY-2026                                       | OIS_CCP USD RCV SOFR1D PAY 3.7937% 16-MAY-2026                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     7578000 | OU      | $-7638.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV 3.8% PAY SOFR1D 16-MAY-2026                                          | OIS_CCP USD RCV 3.8% PAY SOFR1D 16-MAY-2026                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     7578000 | OU      | $8106.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 14.55% PAY BZDIO1D 04-JAN-2027                                           | OIS BRL RCV 14.55% PAY BZDIO1D 04-JAN-2027                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      354000 | OU      | $686.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.9975% 12-MAR-2027                                      | OIS_CCP JPY RCV TONAR1D PAY 0.9975% 12-MAR-2027                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   538261739 | OU      | $-11016.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 1.0265% 12-MAR-2027                                      | OIS_CCP JPY RCV TONAR1D PAY 1.0265% 12-MAR-2027                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |  1317226437 | OU      | $-29599.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 1.01846% 12-MAR-2027                                     | OIS_CCP JPY RCV TONAR1D PAY 1.01846% 12-MAR-2027                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |  1220293188 | OU      | $-26742.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 3.814% 16-MAY-2026                                        | OIS_CCP USD RCV SOFR1D PAY 3.814% 16-MAY-2026                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     5815000 | OU      | $-7018.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV 3.9% PAY SOFR1D 16-MAY-2026                                          | OIS_CCP USD RCV 3.9% PAY SOFR1D 16-MAY-2026                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     5815000 | OU      | $11921.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.83375% 15-APR-2028                                       | RPI_CCP USD RCV CPI1D PAY 2.83375% 15-APR-2028                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     1313000 | OU      | $-2795.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.6875% 15-APR-2029                                        | RPI_CCP USD RCV CPI1D PAY 2.6875% 15-APR-2029                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     1051000 | OU      | $-3912.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.685% 15-APR-2029                                         | RPI_CCP USD RCV CPI1D PAY 2.685% 15-APR-2029                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      525000 | OU      | $-1890.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.8355% 15-APR-2028                                        | RPI_CCP USD RCV CPI1D PAY 2.8355% 15-APR-2028                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      657000 | OU      | $-1457.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.835% 15-APR-2028                                         | RPI_CCP USD RCV CPI1D PAY 2.835% 15-APR-2028                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      657000 | OU      | $-1440.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.684% 15-APR-2029                                         | RPI_CCP USD RCV CPI1D PAY 2.684% 15-APR-2029                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      525000 | OU      | $-1864.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.7235% 15-APR-2029                                        | RPI_CCP USD RCV CPI1D PAY 2.7235% 15-APR-2029                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     1051000 | OU      | $-5758.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.8695% 15-APR-2028                                        | RPI_CCP USD RCV CPI1D PAY 2.8695% 15-APR-2028                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     1313000 | OU      | $-5177.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.6695% 15-APR-2029                                        | RPI_CCP USD RCV CPI1D PAY 2.6695% 15-APR-2029                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      687000 | OU      | $-1954.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.832% 15-APR-2028                                         | RPI_CCP USD RCV CPI1D PAY 2.832% 15-APR-2028                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      907000 | OU      | $-1850.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 2.648% 15-APR-2029                                         | RPI_CCP USD RCV CPI1D PAY 2.648% 15-APR-2029                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      700856 | OU      | $-1260.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS COP RCV COOVI1D PAY 8.6444% 04-APR-2030                                          | IRS COP RCV COOVI1D PAY 8.6444% 04-APR-2030                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CO        |   217400000 | OU      | $-673.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS COP RCV COOVI1D PAY 8.343% 17-SEP-2030                                           | IRS COP RCV COOVI1D PAY 8.343% 17-SEP-2030                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CO        |   271733795 | OU      | $-60.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS COP RCV 7.77% PAY COOVI1D 17-SEP-2027                                            | IRS COP RCV 7.77% PAY COOVI1D 17-SEP-2027                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CO        |   361100000 | OU      | $-308.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP KRW RCV 2.292% PAY KSDA3M 17-SEP-2028                                        | IRS_CCP KRW RCV 2.292% PAY KSDA3M 17-SEP-2028                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | KR        |   142700000 | OU      | $381.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.685% 21-APR-2027                                       | OIS_CCP JPY RCV TONAR1D PAY 0.685% 21-APR-2027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   488377358 | OU      | $864.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV 3.783% PAY SOFR1D 16-MAY-2026                                        | OIS_CCP USD RCV 3.783% PAY SOFR1D 16-MAY-2026                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    29386000 | OU      | $26538.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.683% 21-APR-2027                                       | OIS_CCP JPY RCV TONAR1D PAY 0.683% 21-APR-2027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   482733887 | OU      | $921.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP HUF RCV 5.755% PAY BUBOR6M 17-SEP-2027                                       | IRS_CCP HUF RCV 5.755% PAY BUBOR6M 17-SEP-2027                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | HU        |    27683000 | OU      | $132.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 14.1075% PAY BZDIO1D 04-JAN-2027                                         | OIS BRL RCV 14.1075% PAY BZDIO1D 04-JAN-2027                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |      339000 | OU      | $206.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS COP RCV COOVI1D PAY 8.775% 14-JAN-2030                                           | IRS COP RCV COOVI1D PAY 8.775% 14-JAN-2030                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CO        |    44637233 | OU      | $-199.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV 4.905% PAY WIBOR6M 19-MAR-2030                                       | IRS_CCP PLN RCV 4.905% PAY WIBOR6M 19-MAR-2030                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |      139000 | OU      | $1473.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP HUF RCV 6.5% PAY BUBOR6M 19-MAR-2027                                         | IRS_CCP HUF RCV 6.5% PAY BUBOR6M 19-MAR-2027                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | HU        |    31995000 | OU      | $875.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN UNITED MEXICAN STATES 1% 20300620                                             | CDS_SN UNITED MEXICAN STATES 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |       55000 | OU      | $1008.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN PACIFICORP 3.3% 03/15 0.130164% 20270929                                      | CDS_SN PACIFICORP 3.3% 03/15 0.130164% 20270929                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      142500 | OU      | $-597.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN DOMINION ENERGY INC 4 1% 20291220                                             | CDS_SN DOMINION ENERGY INC 4 1% 20291220                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      346000 | OU      | $-8931.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN AMERICAN ELECTRIC POW 1% 20291220                                             | CDS_SN AMERICAN ELECTRIC POW 1% 20291220                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      703000 | OU      | $-19374.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN AMERICAN EXPRESS CO 4 1% 20291220                                             | CDS_SN AMERICAN EXPRESS CO 4 1% 20291220                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      360000 | OU      | $-9000.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20300620                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      226000 | OU      | $8266.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN REPUBLIC OF TURKIYE 1 1% 20300620                                             | CDS_SN REPUBLIC OF TURKIYE 1 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |        9073 | OU      | $1015.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN UNITED MEXICAN STATES 1% 20300620                                             | CDS_SN UNITED MEXICAN STATES 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |       33600 | OU      | $616.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN UNITED MEXICAN STATES 1% 20300620                                             | CDS_SN UNITED MEXICAN STATES 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |       25400 | OU      | $465.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_IX_CCP ITRAXX EUROPE CROSSOV 5% 20300620                                         | CDS_IX_CCP ITRAXX EUROPE CROSSOV 5% 20300620                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | XX        |      147000 | OU      | $-10737.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN REPUBLIC OF TURKIYE 1 1% 20300620                                             | CDS_SN REPUBLIC OF TURKIYE 1 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |       98000 | OU      | $10967.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_IX_CCP CDX.NA.HY.44 5% 20300620                                                  | CDS_IX_CCP CDX.NA.HY.44 5% 20300620                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |    14824232 | OU      | $513348.33    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN REPUBLIC OF TURKIYE 1 1% 20300620                                             | CDS_SN REPUBLIC OF TURKIYE 1 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |        9072 | OU      | $1015.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN UNITED MEXICAN STATES 1% 20300620                                             | CDS_SN UNITED MEXICAN STATES 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |       23000 | OU      | $421.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN UNITED MEXICAN STATES 1% 20300620                                             | CDS_SN UNITED MEXICAN STATES 1% 20300620                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |       23000 | OU      | $421.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** Morningstar Funds Trust

**Signature:** D. Scott Schilling

**Name of Signer:** D. Scott Schilling

**Title:** Chief Compliance Officer