# EDGAR Filing Document

**Accession Number:** 0001028621
**File Stem:** 0001752724-23-038582
**Filing Date:** 2023-2
**Character Count:** 172767
**Document Hash:** dcfa415cd16410fc1bbf644ccc9608f0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-038582.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-038582

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** METROPOLITAN WEST FUNDS
- **CENTRAL INDEX KEY:** 0001028621
- **IRS NUMBER:** 000000000
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07989
- **FILM NUMBER:** 23664515

**BUSINESS ADDRESS:**
- **STREET 1:** METROPOLITAN WEST ASSET MANAGEMENT
- **STREET 2:** 865 S. FIGUEROA STREET, SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017
- **BUSINESS PHONE:** 213-244-0000

**MAIL ADDRESS:**
- **STREET 1:** METROPOLITAN WEST ASSET MANAGEMENT
- **STREET 2:** 865 S. FIGUEROA STREET, SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017

## Series and Classes Contracts Data

### METROPOLITAN WEST ULTRA SHORT BOND FUND (Series ID: S000001151)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000003072 | CLASS I      | MWUIX           |
| C000003073 | CLASS M      | MWUSX           |

## Nport-Ex

# Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

| Items | Maturity Date | Principal Amount | Value | Items | Maturity Date | Principal Amount | Value |
| --- | --- | --- | --- | --- | --- | --- | --- |
| BONDS - 117.81% |  |  |  | ASSET-BACKED SECURITIES (continued) |  |  |  |
| ASSET-BACKED SECURITIES - 7.87%** |  |  |  | Santander Drive Auto Receivables Trust, |  |  |  |
| Canyon Capital CLO Ltd., |  |  |  | 1.01% | 01/15/26 | $496,021 | $481,168 |
| Series 2021-1A, Class X |  |  |  | Santander Drive Auto Receivables Trust, |  |  |  |
| (Cayman Islands) |  |  |  | Series 2021-1, Class D |  |  |  |
| (LIBOR USD 3-Month plus 0.89%) |  |  |  |  |  |  |  |

1/ December 2022

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

| Maturity |  |  |  | Maturity |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Issues | Date | Principal Amount | Value | Issues | Date | Principal Amount | Value |
| CORPORATES (continued) |  |  |  | CORPORATES (continued) |  |  |  |
| LIBOR USD 1-Month plus 0.05% |  |  |  | LIBOR USD 1-Month plus 0.30% |  |  |  |
| Wells Fargo & Co. | 04/25/25 1 | 305,630 | 302,707 | Finance (continued) | 07/25/25 1 | 17,039 | 17,031 |
| Hyde Education Funding I. |  |  |  | JPMorgan Chase & Co. |  |  |  |
| Series 2014-1, Class A | 02/11/26 4 | $630,000 | $587,800 | SLM Student Loan Trust | 02/24/26 4 | $1,085,000 | $983,454 |
| (LIBOR USD 3-Month plus 1.05%) |  |  | 10,236,201 | Series 2014-1, Class A | 01/21/26 4 |  |  |
|  |  |  |  | Series 2014-1 |  | 655,000 | 582,110 |
|  |  |  |  | (LIBOR USD 1-Month plus 0.05%) |  |  |  |

December 2022 / 2

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

| Minority | Principal | Minority | Principal |
| --- | --- | --- | --- |
| Commercial 1.17% |  | Commercial Homes Trust |  |
| General Services (continued) |  | General Services (continued) | 90,000 |
| General Services (continued) | 400,000 | General Services (continued) | 89,449 |
| General Services (continued) |  | General Services (continued) | 962,067 |
| General Services (plus 0.80%) |  | General Services (plus 0.80%) |  |
| General Services (plus 0.80%) | 409,091 | General Services (plus 0.80%) | 680,000 |
| General Services (plus 0.80%) |  | General Services (plus 0.80%) | 830,351 |
| Naval Facilities Education Trust, $ | 400,000 | General Services (plus 0.80%) | 8,020,930 |
| Sprint Services, Class A/Sprint Spectrum Co. II LLC/Sprint | 1,656,284 | Commercial 32.01% | $1,188,033 |
|  |  |  | $1,168,817 |

Ultra Short Bond Fund

3 / December 2022

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)[{"box_2d": [27, 69, 707, 153], "label": "table", "caption": "

| Industry | Principal | Industry | Principal |
| --- | --- | --- | --- |
| Reynolds (1,000,000) (continued) | 200,000 | 197,317 | Reynolds (1,000,000) (continued) |
| Reynolds (1,000,000) (continued) | 385,000 | 398,744 | Reynolds (1,000,000) (continued) |
| Reynolds (1,000,000) (continued) | 206,423 | 200,338 | Reynolds (1,000,000) (continued) |
| Reynolds (1,000,000) (continued) | 1,000,000 | 997,554 | Reynolds (1,000,000) (continued) |
| Reynolds (1,000,000) (continued) | $485,000 | $456,444 | Reynolds (1,000,000) (continued) |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |
| Reynolds (1,000,000) (continued) | 6,714,473 |
| Reynolds (1,000,000) (continued) | 1,435,000 |
| Reynolds (1,000,000) (continued) | 1,292,239 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |
| Reynolds (1,000,000) (continued) | 6,714,473 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Reynolds (1,000,000) (continued) | 1,280,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |

| Industry | Principal |
| --- | --- |

| Reynolds (1,000,000) (continued) | 1,495,000 |
| --- | --- |

| Industry | Principal |
| --- | --- |

| Reynolds (1,000,000) (continued) | 1,495,000 |
| --- | --- |

| Industry | Principal |
| --- | --- |

| Reynolds (1,000,000) (continued) | 1,495,000 |
| --- | --- |

| Industry | Principal |
| --- | --- |

| Reynolds (1,000,000) (continued) | 1,495,000 |
| --- | --- |

| Industry | Principal |
| --- | --- |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Industry | Principal |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Industry | Principal |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Industry | Principal |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Industry | Principal |
| Reynolds (1,000,000) (continued) | 1,495,000 |
| Industry | Principal |

$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$</td></tr></table>$

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

| Industry | Principal | Industry | Principal |
| --- | --- | --- | --- |
| Series 8, 2022 at P4, Class A | 695,000 | 695,000 | Series 8, 2022 at P4, Class A |
| Out-of-Pocket Investment (continued) | 230,000 | 230,000 | Out-of-Pocket Investment (continued) |
| Total Out-of-Pocket Investment (continued) | 590,000 | 590,000 | Total Out-of-Pocket Investment (continued) |
| Total Out-of-Pocket Investment (continued) | 2,550,338 | 2,550,338 | Total Out-of-Pocket Investment (continued) |
| Total Out-of-Pocket Investment (continued) | 720,000 | 720,000 | Total Out-of-Pocket Investment (continued) |
| Total Out-of-Pocket Investment (continued) | 720,000 | 720,000 | Total Out-of-Pocket Investment (continued) |
| Total Out-of-Pocket Investment (continued) | 640,556 | 640,556 | Total Out-of-Pocket Investment (continued) |

| Industry | Principal |
| --- | --- |
| Series 8, 2022 at P4, Class A | 235,000 |
| Out-of-Pocket Investment (continued) | 230,000 |
| Total Out-of-Pocket Investment (continued) | 1,201,000 |
| Total Out-of-Pocket Investment (continued) | 1,201,000 |
| Total Out-of-Pocket Investment (continued) | 5,467,942 |
| Total Out-of-Pocket Investment (continued) | 715,000 |
| Total Out-of-Pocket Investment (continued) | 1,355,912 |
| Total Out-of-Pocket Investment (continued) | 1,342,753 |
| Total Out-of-Pocket Investment (continued) | 400,000 |
| Total Out-of-Pocket Investment (continued) | 399,472 |

Ultra Short Bond Fund

5 / December 2022

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

| Activity | Principal | Activity | Principal |
| --- | --- | --- | --- |
| Fees | 854,289 | 104,808 | Fees |
| Net Cash | 973,895 | 933,958 | Net Cash |
| Total | 1,028,000 | 1,028,000 | Total |
| Less: Net Cash (continued) | 47,835 | 1,876,509 | Less: Net Cash (continued) |
| Net Cash (Total) | 173,676 | 169,570 | Net Cash (Total) |
| Less: Net Cash (continued) | 1,000,000 | 1,000,000 | Less: Net Cash (continued) |
| Net Cash (Total) | $39,878 | $39,446 | Net Cash (Total) |

| Activity | Principal |
| --- | --- |
| Fees | 74,888 |
| Net Cash | 2,128,667 |
| Total | 17,147 |
| Less: Net Cash (continued) | 17,147 |
| Net Cash (Total) | 1,600,000 |
| Less: Net Cash (continued) | 1,600,000 |

Ultra Short Bond Fund

7 / December 2022

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)[{"box_2d": [27, 69, 704, 152], "label": "table", "caption": "

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

| Quantity | Principal | Total |
| --- | --- | --- |
| 1,000,000 | $400,000 | 400,000 |

<table><thead><

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)[{"box_2d": [27, 68, 719, 150], "label": "table", "caption": "

| Financing Rate Paid by | Payment | Implied Credit Spread | Notional |  |  |  |
| --- | --- | --- | --- | --- | --- | --- |
| Expiration | Amount | Premiums | Unrealized |  |  |  |
| General Interest (Income) | 1,000,000 | 30,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| General Interest (Income) | 1,000,000 | 30,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| General Interest (Income) | 1,000,000 | 30,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

| Balance | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- | --- |
| General Interest (Income) | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

<table><thead><tr><th>Balance</th><th>1,000,000</th><th>1,000,000</th><th>1,000,000</th><th>1,000,000</th><th>1,000,000</th><th>1,000,000</th></tr></thead><tr><td>General

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

| Margoe Stanley Bank of America Merrill Lynch Trust | 120,156,194 |  |  |  |
| --- | --- | --- | --- | --- |
| Barry Bank of America Merrill Lynch Trust | 48,839 | 48,839 |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 | 13,312 |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 | 13,312 |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 | 13,312 |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 | 13,312 |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 |  |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 |  |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 |  |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 |  |  |  |
| Barry Bank of America Merrill Lynch Trust | 13,312 |  |  |  |

Ultra Short Bond Fund

SIGNIFICANT ACCOUNTING POLICIES

December 2022 / 10

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

| Total | 2,875,000 | 2,875,000 |
| --- | --- | --- |
| Total | 2,875,000 | 2,875,000 |
| Total | 2,875,000 | 2,875,000 |

![img-0.jpeg](img-0.jpeg)

Ultra Short Bond Fund

11/ December 2022

# Schedule of Portfolio Investments
December 31, 2022 (Unaudited)

| Cashflow 1.98% | 12/25/34 | 10,049 | 6,338,958 | Remix 3000 / Cash 5000 | 24,539,261 |
| --- | --- | --- | --- | --- | --- |
| Series 4000 / SMCS | 06/20/32 | 64,465 | 63,261 | (LIBOR USD 1.94 million) (0.01%) |  |
| Series 4000 / SMCS | 12/25/34 | 221,175 | 205,983 | Total Mortgage-Backed 1.95/34 | 18,252 |
| Series 4000 / SMCS | 12/25/34 |  | 126,488,147 | Fixed 1.94 million | 46,104,203 |
| Series 4000 / SMCS | 06/20/32 | 77,788 | 76,768 | Series 3085, Class FW |  |
| Excess of Other Assets - (24.02)% | 07/20/32 | 5,449 | (24,400,573) | MUNICIPAL RONDS - 0.91% |  |
| Fixed Assets - 1.95% |  |  | 5,762 | Cashflow 0.91% (0.01%) |  |
| Series 4000 / SMCS (C) |  | $ | 101,988,576 | Colloquium - 0.91% | 29/15/35 |
|  |  |  |  | 213,297 | 212,651 |

Ultra Short Bond Fund

December 2022 / 12

| 1-Year plan (1.50%) | 07/25/37 | 54,873 | 5,627 | Series 6300, Class FA |  |  |
| --- | --- | --- | --- | --- | --- | --- |
| 2.88% | 04/28/37 | 45,312 | 44,410 | (LIBORATED 1-Month plan 0.30%) | 965,000 | 102,029 |
| FOREIGN CURVE NO. EXCHANGE CONTRACT |  |  |  | 1.50% | 198,508 | 164,359 |
| (US Treasury Yield Curve Rate T Note Constant Maturity |  |  |  | Total Municipal Bonds |  |  |
| 1-Year plan 1.50% | April 1, 2022 |  |  | (Cost $965,000) |  |  |
| 1.75% | USD 387,254 | EUR 391,000 |  | Caltrans N.A. | $ | 13,941 |
|  |  |  |  | U.S. TREASURY SECURITIES - 31.82% |  | 140,450 |
|  |  |  |  | U.S. Agency Discount Notes - 2.19% |  | (4,507) |
| Ginnie Menzel (1994) 2000 gain (loss) |  |  |  | U.S. International Development Finance Corp., |  |  |
| (US Treasury Yield Curve Rate T Note Constant Maturity |  |  |  |  |  |  |

| 1-Year plus 1-Year Plan for the year ended 31 March 2015 |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 2,631% | 7,216 | $ | 6,331,953 | $ | 6,331,953 | $ | 6,331,953 |
| FUTURES CONTRACTS, LONG POSITIONS |  |  |  |  |  |  |  |
| U.S. Treasury | 132 | 03/31/23 | - | $ | 8,025,830 | $ | 8,025,830 |
| FUTURES CONTRACTS, SHORT POSITIONS |  |  |  |  |  |  |  |
| U.S. Treasury | 184 | 03/31/23 | - | $ | 32,645,671 | $ | 32,645,671 |
| FUTURES CONTRACTS, SHORT POSITIONS |  |  |  |  |  |  |  |
| U.S. Treasury | 37 | 03/22/23 | - | $ | 46,104,705 | $ | 46,104,705 |
| U.S. Treasury | 11 | 03/22/23 | - | $ | (3,289) | $ | (3,289) |

| *The Company's non-cash application (depreciation) on securities still held at December 31, 2022 was $4,019,000,000.00 in the related net純資産 (losses) and net純資産 (depreciation) in the Statements of Operations. |  |  |  |  |
| --- | --- | --- | --- | --- |
| TOTAL FURTHER CONTRACTS |  |  |  |  |
|  | $ | 1,357,406 | $21,192 | $21,192 |
| **These were not included between level 2 and 3 for the period ended December 31, 2022. |  |  |  |  |
| Cash contracts | - | 12,732 | - | 12,732 |
| Interest rate contracts | 27,519 | - | - | 27,519 |
| Liabilities: |  |  |  |  |
| Foreign currency exchange contracts | - | (30,452) | - | (30,452) |
| Interest rate contracts | (6,327) | - | - | (6,327) |

| Total |  | $ | 39,573,601 | $ | 89,994,565 | $ | 13,453 | $ | 126,491,619 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Fair Value Measurements |  |  |  |  |  |  |  |  |  |
| Mortgage-Backed Securities-Non-Agency | $13,453 | Third-Party Vendor |  | Vendor Prices |  | $1.30 |  | $1.30 | Increase |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** METROPOLITAN WEST FUNDS

- **b. Investment Company Act file number:** 811-07989

- **c. CIK number of Registrant:** 0001028621

- **d. LEI of Registrant:** 549300KGDNJW6FXNDC82

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

  - **Street Address 1:** 865 South Figueroa Street

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90017

  - **Telephone number:** 800-241-4671

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

- **a. Name of Series:** Metropolitan West Ultra Short Bond Fund

- **b. EDGAR series identifier (if any):** S000001151

- **c. LEI of Series:** 549300J7IQ5ZDUARGG56

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $133758624.25

**Total Liabilities:** $30228064.45

**Net Assets:** $103530559.80

**Stand-by Commitments:** $22540788.61

**Cash Not Reported:** $1436000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 403.59206000 | **1-Year:** 5999.44702000 | **5-Year:** 13823.22488000 | **10-Year:** 5417.66635000 | **30-Year:** 0.00000000

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

- **3-Month:** 32.98694000 | **1-Year:** 801.82166000 | **5-Year:** 432.12554000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000003072 | -0.50%               | 1.24%                | 0.06%                |
| Class ID C000003073 | -0.27%               | 0.98%                | 0.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1344619.74             | $407698.50                                 |
| Month 2  | $-161176.15              | $1694491.75                                |
| Month 3  | $275097.54               | $-388188.79                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| HSI Asset Securitization Corpo              | HSI Asset Securitization Corp Trust 2006-OPT1                                   | CUSIP: 40430HDE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65573 | PA      | $64875.68     | 0.06%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36225CXR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45312 | PA      | $44410.31     | 0.04%             | 2033-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XI              | Octagon Investment Partners XIV Ltd                                             | CUSIP: 67590ABP6<br>LEI: 549300QEN35HTPJ3BX33 | Long             | ABS-CBDO         | CORP              | KY        |    671517 | PA      | $664870.14    | 0.64%             | 2029-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro              | RAMP Series 2004-SL1 Trust                                                      | CUSIP: 760985W31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34570 | PA      | $11592.64     | 0.01%             | 2031-11-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                 | GSAMP Trust 2006-HE3                                                            | CUSIP: 36244KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11117 | PA      | $11099.81     | 0.01%             | 2046-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Asset-Backed Certificates Trust 2005-4                                    | CUSIP: 126673R38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684855 | PA      | $672185.56    | 0.65%             | 2035-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $84117.60     | 0.08%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31395V3F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18252 | PA      | $18246.47     | 0.02%             | 2034-10-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17680000 | PA      | $17683471.47  | 17.08%            | 2024-11-30      | Fixed         | 4.50%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AECS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14500 | PA      | $14499.77     | 0.01%             | 2026-05-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                    | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $197316.58    | 0.19%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Higher Education Funding                    | Higher Education Funding I                                                      | CUSIP: 429827AY4<br>LEI: 635400EWI7RHQRLFJW85 | Long             | ABS-MBS          | CORP              | US        |     64018 | PA      | $63978.19     | 0.06%             | 2034-05-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Student Loan Trust 2003-14                                                  | CUSIP: 78442GKN5<br>LEI: 5493001IJLRQI58G5Z31 | Long             | ABS-O            | CORP              | US        |     17039 | PA      | $17031.32     | 0.02%             | 2025-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31394EC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77788 | PA      | $76768.65     | 0.07%             | 2035-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio                  | MSILF Government Portfolio                                                      | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   2459000 | NS      | $2459000.00   | 2.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-F                                                 | CUSIP: 00969PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155571 | PA      | $147114.44    | 0.14%             | 2059-07-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                            | MortgageIT Trust 2005-1                                                         | CUSIP: 61913PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419967 | PA      | $402883.61    | 0.39%             | 2035-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo              | HSI Asset Securitization Corp Trust 2006-OPT2                                   | CUSIP: 40430HEB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422799 | PA      | $416212.16    | 0.40%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31397JE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39878 | PA      | $39445.66     | 0.04%             | 2035-08-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE SECURITIES (USA) LLC          | CDS W BERRY                                                                     | CUSIP: 000000000<br>LEI: 1V8Y6QCX6YMJ2OELII46 | N/A              | DCR              | CORP              | US        |         1 | NC      | $12732.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Back              | Ownit Mortgage Loan Trust Series 2006-3                                         | CUSIP: 69121PDY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600350 | PA      | $570279.00    | 0.55%             | 2037-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38373MYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44157 | PA      | $43991.25     | 0.04%             | 2041-04-16      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2020-1 Ltd                                           | CUSIP: 69701EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    342222 | PA      | $339213.68    | 0.33%             | 2028-02-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                    | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    425000 | PA      | $418000.70    | 0.40%             | 2024-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-c                                | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1067634 | PA      | $908637.34    | 0.88%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                      | Canyon Capital CLO 2021-2 Ltd                                                   | CUSIP: 13877EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    262500 | PA      | $261581.25    | 0.25%             | 2034-04-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-CCRE9 Mortgage Trust                                                  | CUSIP: 12625UBA0<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |     47435 | PA      | $47136.44     | 0.05%             | 2045-07-10      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2021-3 LLC                                                                 | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279062 | PA      | $252777.94    | 0.24%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2020-FL4 Ltd                                                                | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    351201 | PA      | $345546.77    | 0.33%             | 2035-11-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31404KNR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55920 | PA      | $55215.30     | 0.05%             | 2034-04-01      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GGZ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1485000 | PA      | $1420266.89   | 1.37%             | 2026-01-23      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38373VUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39814 | PA      | $39786.73     | 0.04%             | 2032-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust              | Adjustable Rate Mortgage Trust 2005-1                                           | CUSIP: 007036FN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19720 | PA      | $18808.38     | 0.02%             | 2035-05-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities              | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10  | CUSIP: 03072SS89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531412 | PA      | $518141.89    | 0.50%             | 2036-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                    | Amcor Flexibles North America Inc                                               | CUSIP: 02343JAA8<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    400000 | PA      | $389471.57    | 0.38%             | 2025-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURA                    | Nationwide Mutual Insurance Co                                                  | CUSIP: 638671AJ6<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    670000 | PA      | $668425.55    | 0.65%             | 2024-12-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4225000 | PA      | $3660537.68   | 3.54%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                       | Athene Global Funding                                                           | CUSIP: 04685A3J8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    135000 | PA      | $129497.90    | 0.13%             | 2024-03-08      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137ACUF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134461 | PA      | $133454.39    | 0.13%             | 2041-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4756 | PA      | $4755.52      | 0.00%             | 2025-02-25      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89449.34     | 0.09%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    455000 | PA      | $398066.35    | 0.38%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2020-4                                   | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    486021 | PA      | $481168.21    | 0.46%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru              | IndyMac INDX Mortgage Loan Trust 2004-AR6                                       | CUSIP: 45660NY25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72323 | PA      | $65151.91     | 0.06%             | 2034-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                | Illumina Inc                                                                    | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252384.15    | 0.24%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor              | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 22541NST7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16040 | PA      | $15296.20     | 0.01%             | 2032-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FARM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109688 | PA      | $109730.54    | 0.11%             | 2044-05-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru              | Soundview Home Loan Trust 2005-OPT1                                             | CUSIP: 83611MDH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    666509 | PA      | $647909.88    | 0.63%             | 2035-06-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON CO                      | Metropolitan Edison Co                                                          | CUSIP: 591894CB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $478502.81    | 0.46%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B72K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98049 | PA      | $96447.44     | 0.09%             | 2050-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385WUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5712 | PA      | $5606.97      | 0.01%             | 2032-11-01      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2020-SFR2 Trust                                            | CUSIP: 74333LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    882909 | PA      | $811773.22    | 0.78%             | 2037-06-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-MH1                                              | CUSIP: 89177WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601105 | PA      | $589647.39    | 0.57%             | 2058-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2007-AMC4                                         | CUSIP: 17313BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198295 | PA      | $194504.30    | 0.19%             | 2037-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31394BWQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10049 | PA      | $9190.98      | 0.01%             | 2034-12-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31359ADZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $15.98        | 0.00%             | 2023-05-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $925629.95    | 0.89%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2021-1                                   | CUSIP: 80286NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    990000 | PA      | $935537.82    | 0.90%             | 2026-11-16      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2019-SFR3 Trust                                            | CUSIP: 74332WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $303821.80    | 0.29%             | 2036-09-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5745000 | PA      | $5726259.47   | 5.53%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Loan Trust 2006-OPT1                  | CUSIP: 86359UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315035 | PA      | $308865.54    | 0.30%             | 2036-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati              | Residential Asset Securitization Trust 2004-IP2                                 | CUSIP: 45660LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54238 | PA      | $45687.11     | 0.04%             | 2034-12-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    767039 | PA      | $624376.47    | 0.60%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5900000 | PA      | $5813575.80   | 5.62%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset               | First Franklin Mortgage Loan Trust 2006-FFH1                                    | CUSIP: 32027NZM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    657706 | PA      | $633861.10    | 0.61%             | 2036-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo              | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A1                      | CUSIP: 589929D88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129188 | PA      | $119726.17    | 0.12%             | 2032-12-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | Great Wolf Trust 2019-WOLF                                                      | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $825252.63    | 0.80%             | 2036-12-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3827 | PA      | $3827.93      | 0.00%             | 2024-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    235000 | PA      | $208821.49    | 0.20%             | 2025-09-11      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Irvine Core Office Trust                    | Irvine Core Office Trust 2013-IRV                                               | CUSIP: 46361TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80435 | PA      | $80007.66     | 0.08%             | 2048-05-15      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1                   | CUSIP: 86360RAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130971 | PA      | $129960.35    | 0.13%             | 2036-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31394NT81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331313 | PA      | $333664.86    | 0.32%             | 2033-10-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZE7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1009048.55   | 0.97%             | 2023-12-06      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31397GQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198508 | PA      | $196358.65    | 0.19%             | 2035-08-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 313920B41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       637 | PA      | $627.84       | 0.00%             | 2031-09-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust               | Nomura Resecuritization Trust 2015-9R                                           | CUSIP: 65541DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92232 | PA      | $91077.35     | 0.09%             | 2036-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38373M4R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102004 | PA      | $100847.79    | 0.10%             | 2044-03-16      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1292238.88   | 1.25%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities               | Mastr Asset Backed Securities Trust 2005-OPT1                                   | CUSIP: 57643LHR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17158 | PA      | $17146.48     | 0.02%             | 2035-03-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 313921X45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48824 | PA      | $49120.33     | 0.05%             | 2031-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38376GYM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124536 | PA      | $121533.06    | 0.12%             | 2044-09-16      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AGJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31792 | PA      | $31772.42     | 0.03%             | 2041-04-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Encore Credit Receivables Trus              | Encore Credit Receivables Trust 2005-3                                          | CUSIP: 29256PAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    973895 | PA      | $933957.69    | 0.90%             | 2035-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| DENVER CITY & CNTY CO ARPT REV              | City & County of Denver CO Airport System Revenue                               | CUSIP: 249182PK6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    965000 | PA      | $932029.19    | 0.90%             | 2023-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31394AWL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130291 | PA      | $130226.77    | 0.13%             | 2034-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Student Loan Trust 2013-4                                                   | CUSIP: 78448AAA1<br>LEI: 5493004WA7G168XIR344 | Long             | ABS-O            | CORP              | US        |     93864 | PA      | $90081.41     | 0.09%             | 2043-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                             | CUSIP: 55608JBA5<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    850000 | PA      | $780595.92    | 0.75%             | 2025-10-14      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                    | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    383000 | PA      | $306694.23    | 0.30%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage              | MASTR Adjustable Rate Mortgages Trust 2004-12                                   | CUSIP: 576433UC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24858 | PA      | $23710.99     | 0.02%             | 2034-10-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fidelity Government Portfolio               | Fidelity Government Portfolio                                                   | CUSIP: 316175108<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    299072 | NS      | $299072.42    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38376G2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    925192 | PA      | $869665.83    | 0.84%             | 2052-04-16      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38376V2F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19921 | PA      | $19992.43     | 0.02%             | 2039-07-16      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2012-5                                                | CUSIP: 64033BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216242 | PA      | $209867.59    | 0.20%             | 2036-10-27      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2019-SFR4 Trust                                            | CUSIP: 74331AAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    755000 | PA      | $715486.09    | 0.69%             | 2036-10-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset               | First Franklin Mortgage Loan Trust 2006-FF11                                    | CUSIP: 32028PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367985 | PA      | $366729.83    | 0.35%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor              | Banc of America Funding 2003-2 Trust                                            | CUSIP: 05946XCR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2606 | PA      | $2544.54      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825000 | PA      | $773579.80    | 0.75%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38376CR76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66374 | PA      | $66812.49     | 0.06%             | 2039-10-16      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1094980.82   | 1.06%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| INT DEVELOPMENT FIN CORP                    | United States International Development Finance Corp                            | CUSIP: 90376PAL5<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | USGA              | US        |   2535135 | PA      | $2227904.76   | 2.15%             | 2031-08-15      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2125000 | PA      | $2046216.43   | 1.98%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management          | Dreyfus Government Cash Management                                              | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |   3589000 | NS      | $3589000.00   | 3.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17309SAF7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |    578175 | PA      | $566988.47    | 0.55%             | 2036-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage              | MASTR Adjustable Rate Mortgages Trust 2007-1                                    | CUSIP: 576431AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318895 | PA      | $311493.64    | 0.30%             | 2047-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset               | FFMLT Trust 2005-FF8                                                            | CUSIP: 362341QS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565382 | PA      | $558707.66    | 0.54%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-30452.35    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997554.25    | 0.96%             | 2023-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FS Rialto 2019-FL1 Issuer, Ltd              | FS Rialto 2019-FL1                                                              | CUSIP: 30312UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    380278 | PA      | $376184.92    | 0.36%             | 2036-12-16      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust  | CUSIP: 9393366H1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85794 | PA      | $70713.91     | 0.07%             | 2035-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378XUK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477673 | PA      | $464681.53    | 0.45%             | 2054-10-16      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Aames Mortgage Trust                        | Aames Mortgage Trust 2002-1                                                     | CUSIP: 00253CHQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11192 | PA      | $10827.12     | 0.01%             | 2032-06-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    100000 | PA      | $99760.63     | 0.10%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ELECTRIC CO                    | Pennsylvania Electric Co                                                        | CUSIP: 708696BX6<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143776.83    | 0.14%             | 2025-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    580000 | PA      | $566893.45    | 0.55%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    795000 | PA      | $793548.51    | 0.77%             | 2024-05-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust                   | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26844 | PA      | $24860.43     | 0.02%             | 2033-06-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                     | Nationwide Building Society                                                     | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $676320.95    | 0.65%             | 2024-03-08      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F62S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232560 | PA      | $224619.49    | 0.22%             | 2026-05-25      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31404AD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8769 | PA      | $8728.37      | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2045000 | PA      | $2033923.26   | 1.96%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -184 | NC      | $-3238.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Residential Asset Securities C              | RASC Series 2006-KS3 Trust                                                      | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327300 | PA      | $317899.69    | 0.31%             | 2036-04-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                   | Park Place Securities Inc Asset Backed Pass Through Certificates Ser 2005-WHQ3  | CUSIP: 70069FJS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100071 | PA      | $99172.28     | 0.10%             | 2035-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31396WJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54873 | PA      | $5626.60      | 0.01%             | 2037-07-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599437.02    | 0.58%             | 2023-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31397UDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679802 | PA      | $672259.24    | 0.65%             | 2041-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Funding 2 LTD                                                        | CUSIP: 67707EAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     62500 | PA      | $62368.13     | 0.06%             | 2034-04-21      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B3NG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44627 | PA      | $43608.57     | 0.04%             | 2048-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities Trust 2006-2                               | CUSIP: 07388FAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563402 | PA      | $560572.64    | 0.54%             | 2036-07-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    510000 | PA      | $495190.35    | 0.48%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2004-J6                                                  | CUSIP: 12667FRG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17026 | PA      | $16345.81     | 0.02%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition              | JP Morgan Mortgage Acquisition Trust 2007-CH4                                   | CUSIP: 46630CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1355912 | PA      | $1342753.29   | 1.30%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38374FBV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284435 | PA      | $287196.78    | 0.28%             | 2034-01-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 312916FL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        74 | PA      | $73.64        | 0.00%             | 2023-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2875000 | PA      | $2521964.61   | 2.44%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                | DNB Bank ASA                                                                    | CUSIP: 25601B2A2<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    715000 | PA      | $657474.07    | 0.64%             | 2025-09-30      | Fixed         | 0.86%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo              | Structured Asset Investment Loan Trust 2005-HE3                                 | CUSIP: 86358EWX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173676 | PA      | $169569.71    | 0.16%             | 2035-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       132 | NC      | $15114.67     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ATHENE GLOBAL FUNDING                       | Athene Global Funding                                                           | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    500000 | PA      | $491226.13    | 0.47%             | 2024-05-24      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust                   | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9070 | PA      | $8166.31      | 0.01%             | 2042-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-SMP                                  | CUSIP: 95001CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1017503.52   | 0.98%             | 2034-12-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3350000 | PA      | $2834676.43   | 2.74%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31339GNR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38179 | PA      | $38326.83     | 0.04%             | 2031-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTN                    | Piedmont Operating Partnership LP                                               | CUSIP: 720198AC4<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    665000 | PA      | $658742.03    | 0.64%             | 2023-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31392CH49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49587 | PA      | $49989.69     | 0.05%             | 2031-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C              | RASC Series 2006-KS7 Trust                                                      | CUSIP: 75406XAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41158 | PA      | $41182.72     | 0.04%             | 2036-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                                    | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    510000 | PA      | $490026.18    | 0.47%             | 2026-03-28      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31390SY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5437 | PA      | $5444.56      | 0.01%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    630000 | PA      | $587799.80    | 0.57%             | 2026-02-11      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12                     | CUSIP: 61762XAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2473410 | PA      | $4159.93      | 0.00%             | 2046-10-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15                     | CUSIP: 61763KAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32726 | PA      | $32423.11     | 0.03%             | 2047-04-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2017-SFR2 Trust                                           | CUSIP: 89613FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    991943 | PA      | $962066.72    | 0.93%             | 2036-01-17      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust               | Nomura Resecuritization Trust 2014-8R                                           | CUSIP: 65540QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55641 | PA      | $55077.65     | 0.05%             | 2035-09-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                      | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAA4<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    725000 | PA      | $720114.95    | 0.70%             | 2023-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                     | American Electric Power Co Inc                                                  | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    620000 | PA      | $597456.23    | 0.58%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34025 | PA      | $34784.30     | 0.03%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -37 | NC      | $12404.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DIGITAL EURO FINCO                          | Digital Euro Finco LLC                                                          | CUSIP: 000000000<br>LEI: 635400OUEAPTXSW3SC91 | Long             | DBT              | CORP              | US        |    385000 | PA      | $398744.20    | 0.39%             | 2024-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru              | IndyMac INDX Mortgage Loan Trust 2004-AR12                                      | CUSIP: 45660N5H4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261212 | PA      | $199362.82    | 0.19%             | 2034-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Educational Funding of the Sou              | Educational Funding of the South Inc                                            | CUSIP: 28148WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305630 | PA      | $302706.82    | 0.29%             | 2035-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                 | GSAMP Trust 2005-HE5                                                            | CUSIP: 362341ZD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247584 | PA      | $242639.34    | 0.23%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                 | Netflix Inc                                                                     | CUSIP: 64110LAY2<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    490000 | PA      | $469934.50    | 0.45%             | 2025-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $983453.99    | 0.95%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45301 | PA      | $45378.29     | 0.04%             | 2040-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36225CVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64465 | PA      | $63260.72     | 0.06%             | 2032-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| TRINITY ACQUISITION PLC                     | Trinity Acquisition PLC                                                         | CUSIP: 89641UAA9<br>LEI: 549300FJZWZN6MJNGB63 | Long             | DBT              | CORP              | GB        |    570000 | PA      | $567131.24    | 0.55%             | 2023-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GE Capital Mtg Services Inc                 | GE Mortgage Services LLC                                                        | CUSIP: 36158GBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | PA      | $0.95         | 0.00%             | 2028-06-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| Banc of California Multifamily              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMUJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     58770 | PA      | $58943.10     | 0.06%             | 2046-04-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                     | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    135000 | PA      | $134424.17    | 0.13%             | 2027-07-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                     | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AL7<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $965706.86    | 0.93%             | 2025-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $181625.05    | 0.18%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-C2                                     | CUSIP: 17291CBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407000 | PA      | $391122.64    | 0.38%             | 2049-08-10      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    375000 | PA      | $358989.71    | 0.35%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36225CVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5449 | PA      | $5292.30      | 0.01%             | 2032-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                 | SREIT Trust 2021-MFP                                                            | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1087611.01   | 1.05%             | 2038-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                    | DSLA Mortgage Loan Trust 2004-AR3                                               | CUSIP: 23332UBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72956 | PA      | $64347.16     | 0.06%             | 2044-07-19      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTQW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221175 | PA      | $209683.15    | 0.20%             | 2026-01-25      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2021-2 Ltd                                           | CUSIP: 69702DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    505616 | PA      | $499812.58    | 0.48%             | 2029-05-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                         | General Electric Co                                                             | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    142000 | PA      | $137940.73    | 0.13%             | 2026-05-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                             | VMC Finance 2019-FL3 LLC                                                        | CUSIP: 91834PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95502 | PA      | $92176.21     | 0.09%             | 2036-09-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50997 | PA      | $52404.99     | 0.05%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676845 | PA      | $575598.37    | 0.56%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39818 | PA      | $41824.61     | 0.04%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                    | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1600000 | PA      | $1599905.20   | 1.55%             | 2024-01-05      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378BAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2135533 | PA      | $21.36        | 0.00%             | 2051-10-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31393USG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7226 | PA      | $7241.86      | 0.01%             | 2034-01-25      | Floating      | 9.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    485000 | PA      | $386767.00    | 0.37%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $220679.58    | 0.21%             | 2025-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                         | LCM 29 Ltd                                                                      | CUSIP: 50201MAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    409090 | PA      | $405457.78    | 0.39%             | 2031-04-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31398MDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204062 | PA      | $20147.21     | 0.02%             | 2036-11-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 86765BAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    900000 | PA      | $910801.80    | 0.88%             | 2025-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34993 | PA      | $36691.48     | 0.04%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $193657.15    | 0.19%             | 2027-08-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1040000 | PA      | $1034071.67   | 1.00%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2325000 | PA      | $1892446.77   | 1.83%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                      | Skyworks Solutions Inc                                                          | CUSIP: 83088MAJ1<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    505000 | PA      | $494869.66    | 0.48%             | 2023-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCK9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    610000 | PA      | $584370.45    | 0.56%             | 2024-12-06      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378BT58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1646921 | PA      | $14948.61     | 0.01%             | 2053-01-16      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -11 | NC      | $-3088.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202KUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7216 | PA      | $7117.28      | 0.01%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137A63Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11889 | PA      | $11875.94     | 0.01%             | 2040-11-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                     | CIT Mortgage Loan Trust 2007-1                                                  | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540844 | PA      | $538297.08    | 0.52%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                            | Berry Global Inc                                                                | CUSIP: 08576PAG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    635000 | PA      | $603790.37    | 0.58%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1966363.10   | 1.90%             | 2023-05-18      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202KHQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1416 | PA      | $1400.98      | 0.00%             | 2023-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179MLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39648 | PA      | $38887.21     | 0.04%             | 2042-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B9AC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301701 | PA      | $297119.15    | 0.29%             | 2050-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization               | MASTR Seasoned Securitization Trust 2004-1                                      | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17165 | PA      | $16453.73     | 0.02%             | 2032-10-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31398NTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34464 | PA      | $34169.11     | 0.03%             | 2040-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $108232.62    | 0.10%             | 2027-05-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities              | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9   | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    705547 | PA      | $691596.07    | 0.67%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4345000 | PA      | $4317843.75   | 4.17%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  1 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $190500.36    | 0.18%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| QWEST CORP                                  | Qwest Corp                                                                      | CUSIP: 912920AK1<br>LEI: 549300R2L4N683OO1509 | Long             | DBT              | CORP              | US        |    400000 | PA      | $402000.00    | 0.39%             | 2025-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                       | REYNOLDS AMERICAN INC                                                           | CUSIP: 761713AY2<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    600000 | PA      | $597689.16    | 0.58%             | 2023-09-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2005-A2                                                | CUSIP: 466247PC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67762 | PA      | $64633.31     | 0.06%             | 2035-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AGJL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3092 | PA      | $3091.31      | 0.00%             | 2039-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                     | Bayer US Finance II LLC                                                         | CUSIP: 07274NAE3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1123929.73   | 1.09%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MSCG Trust                                  | MSCG Trust 2018-SELF                                                            | CUSIP: 55358PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1188033 | PA      | $1168816.73   | 1.13%             | 2037-10-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38373VUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58730 | PA      | $58689.93     | 0.06%             | 2032-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    655000 | PA      | $582109.62    | 0.56%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H1LS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302746 | PA      | $276564.07    | 0.27%             | 2026-06-25      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE                      | Sydney Airport Finance Co Pty Ltd                                               | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |    750000 | PA      | $747459.41    | 0.72%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BS6G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3368289 | PA      | $51481.94     | 0.05%             | 2025-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                    | Bear Stearns ALT-A Trust 2005-2                                                 | CUSIP: 07386HQS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94203 | PA      | $93474.76     | 0.09%             | 2035-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                       | Terwin NIMs Trust TMTS 2004-13ALT                                               | CUSIP: 881561JL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1037114 | PA      | $13453.28     | 0.01%             | 2034-08-25      | Fixed         | 0.34%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F72U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283656 | PA      | $268006.77    | 0.26%             | 2025-06-25      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                  | VMware Inc                                                                      | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    610000 | PA      | $567671.38    | 0.55%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38377WLC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1017429 | PA      | $6721.03      | 0.01%             | 2037-06-16      | Floating      | 0.60%                 | No            |                  2 | On Loan: No      |
| SES SA                                      | SES SA                                                                          | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |    600000 | PA      | $596081.17    | 0.58%             | 2023-04-04      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31390SZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4410 | PA      | $4404.37      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36225CTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4585 | PA      | $4435.69      | 0.00%             | 2031-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                              | CUSIP: 3128HXMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153439 | PA      | $150328.96    | 0.15%             | 2042-06-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31396FRL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213297 | PA      | $212650.58    | 0.21%             | 2035-08-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** METROPOLITAN WEST FUNDS

**Signature:** Eric Chan

**Name of Signer:** Eric Chan

**Title:** Managing Director