# EDGAR Filing Document

**Accession Number:** 0000939934
**File Stem:** 0001752724-23-016943
**Filing Date:** 2023-1
**Character Count:** 246449
**Document Hash:** a2fd64e463c1b9e0b115ef0e4a6db76c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016943.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016943

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI INSTITUTIONAL INVESTMENTS TRUST
- **CENTRAL INDEX KEY:** 0000939934
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07257
- **FILM NUMBER:** 23564327

**BUSINESS ADDRESS:**
- **STREET 1:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAK
- **STATE:** PA
- **ZIP:** 19456
- **BUSINESS PHONE:** 610 676-3097

**MAIL ADDRESS:**
- **STREET 1:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAK
- **STATE:** PA
- **ZIP:** 19456

## Series and Classes Contracts Data

### SIIT Ultra Short Duration Bond Fund (Series ID: S000031047)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000096276 | SIIT Ultra Short Duration Bond Fund - Class A | SUSAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SEI INSTITUTIONAL INVESTMENTS TRUST

- **b. Investment Company Act file number:** 811-07257

- **c. CIK number of Registrant:** 0000939934

- **d. LEI of Registrant:** 0N2JSH1PTH72JCCP2A88

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

  - **Street Address 1:** ONE FREEDOM VALLEY DRIVE

  - **City:** OAKS

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19456

  - **Telephone number:** 8003425734

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

- **a. Name of Series:** SIIT ULTRA SHORT DURATION BOND FUND

- **b. EDGAR series identifier (if any):** S000031047

- **c. LEI of Series:** 4XPOML8UCYOE64MHI207

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $392917228.49

**Total Liabilities:** $1779257.16

**Net Assets:** $391137971.33

**Cash Not Reported:** $61732.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2929.81031183 | **1-Year:** -23053.18138382 | **5-Year:** -11401.32625957 | **10-Year:** -1883.81640905 | **30-Year:** -149.48527388

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

- **3-Month:** -375.28861547 | **1-Year:** -2465.31506344 | **5-Year:** -2958.78144496 | **10-Year:** -1729.82247045 | **30-Year:** -116.00731307

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000096276 | 0.54%                | -0.21%               | -0.44%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-491392.46              | $1701732.07                                |
| Month 2  | $-178762.14              | $-1610151.57                               |
| Month 3  | $-121306.49              | $-2581716.44                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| EXETER AUTOMOBILE RECEIVABLES TRUST                                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2018-3 EART 2018-3A D                        | CUSIP: 30166PAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     95074 | PA      | $94906.76     | 0.02%             | 2024-06-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD                                                                | OCP CLO 2014-5 LTD OCP 2014-5A A1R                                               | CUSIP: 67102SAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $294110.70    | 0.08%             | 2031-04-26      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN AD0630                                                        | CUSIP: 31418MVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        77 | PA      | $78.27        | 0.00%             | 2024-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRK TRUST                                                                  | TRK 2021-INV1 TRUST TRK 2021-INV1 A1                                             | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    443479 | PA      | $360080.38    | 0.09%             | 2056-07-25      | Floating      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| SIERRA TIMESHARE RECEIVABLES FUNDING LLC                                   | SIERRA TIMESHARE 2018-2 RECEIVABLES FUNDING LLC SRFC 2018-2A A                   | CUSIP: 82653DAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    140816 | PA      | $136921.72    | 0.04%             | 2035-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                 | GCAT 2020-NQM2 TRUST GCAT 2020-NQM2 A1                                           | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    117325 | PA      | $104604.57    | 0.03%             | 2065-04-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                                         | CREDIT SUISSE AG/NEW YORK NY VARIABLE RATE 02/02/2024                            | CUSIP: 22550UAB7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | NUSS              | CH        |   2530000 | PA      | $2406283.00   | 0.62%             | 2024-02-02      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                 | GCAT 2021-NQM3 TRUST GCAT 2021-NQM3 A1                                           | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    503352 | PA      | $404188.94    | 0.10%             | 2066-05-25      | Floating      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                | VERIZON COMMUNICATIONS INC VARIABLE RATE 03/22/2024                              | CUSIP: 92343VGD0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1192125.54   | 0.30%             | 2024-03-22      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| United States of America                                                   | US TREASURY N/B 0.125000% 12/15/2023                                             | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   4700000 | PA      | $4480972.67   | 1.15%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                                     | GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 03/08/2024                         | CUSIP: 37045XDF0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $980397.53    | 0.25%             | 2024-03-08      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                     | BEAR STEARNS ARM TRUST 2005-3 BSARM 2005-3 2A1                                   | CUSIP: 07387AAW5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     20893 | PA      | $19708.55     | 0.01%             | 2035-06-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                             | ENTERPRISE FLEET FINANCING 2020-1 LLC EFF 2020-1 A2                              | CUSIP: 29373KAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    287317 | PA      | $285207.82    | 0.07%             | 2025-12-22      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS, INC.                                            | MARTIN MARIETTA MATERIALS INC 0.650000% 07/15/2023                               | CUSIP: 573284AY2<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    495000 | PA      | $480950.21    | 0.12%             | 2023-07-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| PARAGON MORTGAGES PLC                                                      | PARAGON MORTGAGES NO 12 PLC PARGN 12A A2C                                        | CUSIP: 69913BAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | GB        |     73682 | PA      | $69526.92     | 0.02%             | 2038-11-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES LLC                                     | AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2                        | CUSIP: 03237KAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    543796 | PA      | $521814.05    | 0.13%             | 2026-11-20      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC                                              | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2020-1 VFET 2020-1A A3                      | CUSIP: 92888EAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    383372 | PA      | $374555.59    | 0.10%             | 2024-10-15      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| FIFTH THIRD BANK, NATIONAL ASSOCIATION                                     | FIFTH THIRD BANK NA 5.852000% 10/27/2025                                         | CUSIP: 31677QBT5<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |    620000 | PA      | $625001.57    | 0.16%             | 2025-10-27      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                              | MILL CITY MORTGAGE LOAN TRUST 2018-1 MCMLT 2018-1 A1                             | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     83088 | PA      | $79814.25     | 0.02%             | 2062-05-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHF TRUST                                                                  | FHF TRUST 2021-2 FHF 2021-2A A                                                   | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    291200 | PA      | $275782.43    | 0.07%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| KKR FINANCIAL CLO, LTD.                                                    | KKR CLO 21 LTD KKR 21 A                                                          | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    775000 | PA      | $761411.93    | 0.19%             | 2031-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                            | SOUTHERN CALIFORNIA GAS CO VARIABLE RATE 09/14/2023                              | CUSIP: 842434CV2<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1790549.12   | 0.46%             | 2023-09-14      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                                 | GCAT 2021-NQM1 TRUST GCAT 2021-NQM1 A1                                           | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    398929 | PA      | $335808.10    | 0.09%             | 2066-01-25      | Floating      | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC REMICS FHR 4272 YG                                                   | CUSIP: 3137B6DF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    196174 | PA      | $191409.54    | 0.05%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY HSG DEV CORP REV                                         | NEW YORK CITY NY HSG DEV CORP NEW YORK CITY HOUSING DEVELOPMENT CORP             | CUSIP: 64966WGW1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1410000 | PA      | $1407203.83   | 0.36%             | 2023-01-01      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| JDE Peet's N.V.                                                            | JDE PEET'S NV 144A 0.800000% 09/24/2024                                          | CUSIP: 47216QAA1<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | NUSS              | NL        |   1000000 | PA      | $911877.96    | 0.23%             | 2024-09-24      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                          | AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A                        | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    634644 | PA      | $615502.69    | 0.16%             | 2025-08-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                                        | PFS FINANCING CORP PFSFC 2020-A A                                                | CUSIP: 69335PDP7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    620000 | PA      | $604565.22    | 0.15%             | 2025-06-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                                 | TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 09/10/2026                           | CUSIP: 89114TZH8<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |    850000 | PA      | $821634.65    | 0.21%             | 2026-09-10      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| SREIT COMMERCIAL MORTGAGE TRUST                                            | SREIT TRUST 2021-MFP SREIT 2021-MFP B                                            | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    900000 | PA      | $852634.17    | 0.22%             | 2038-11-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1                                   | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    666747 | PA      | $522712.23    | 0.13%             | 2066-01-25      | Floating      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| SYMPHONY CLO, LTD.                                                         | SYMPHONY CLO XVIII LTD SYMP 2016-18A X                                           | CUSIP: 87154GAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    583333 | PA      | $580190.23    | 0.15%             | 2033-07-23      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                           | CIFC FUNDING 2015-III LTD CIFC 2015-3A AR                                        | CUSIP: 12550MAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820523 | PA      | $805517.60    | 0.21%             | 2029-04-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST SCH BLDG AUTH DEDICATED SALES TAX REV                     | MASSACHUSETTS ST SCH BLDG AUTH MASSACHUSETTS SCHOOL BUILDING AUTHORITY           | CUSIP: 576000XC2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1345000 | PA      | $1310656.37   | 0.34%             | 2023-10-15      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| DISTRICT COLUMBIA WTR & SWR AUTH PUB UTIL REV                              | DIST OF COLUMBIA WTR & SWR AUT DISTRICT OF COLUMBIA WATER & SEWER AUTHORITY      | CUSIP: 254845SV3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    565000 | PA      | $549976.42    | 0.14%             | 2023-10-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                                                   | NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD NEUB 2017-26A AR                       | CUSIP: 64131QAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1128656.00   | 0.29%             | 2030-10-18      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN AE0643                                                        | CUSIP: 31419AWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     26505 | PA      | $27821.82     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KNDL KNSQ MORTGAGE TRUST                                                   | KNDL 2019-KNSQ MORTGAGE TRUST KNDL 2019-KNSQ A                                   | CUSIP: 482598AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    290000 | PA      | $285972.39    | 0.07%             | 2036-05-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                          | AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A                        | CUSIP: 00834HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    698405 | PA      | $677741.27    | 0.17%             | 2027-02-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED                               | PUBLIC SERVICE ENTERPRISE GROUP INC 0.841000% 11/08/2023                         | CUSIP: 744573AT3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   2635000 | PA      | $2527104.55   | 0.65%             | 2023-11-08      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                                            | IMPAC CMB TRUST SERIES 2005-8 IMM 2005-8 1A                                      | CUSIP: 45254NRG4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     51316 | PA      | $46442.17     | 0.01%             | 2036-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES                      | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2006-AR2 1A1             | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     68331 | PA      | $60630.20     | 0.02%             | 2036-03-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                    | CARMAX AUTO OWNER TRUST 2020-3 CARMX 2020-3 B                                    | CUSIP: 14315FAF4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1300000 | PA      | $1218204.78   | 0.31%             | 2026-03-16      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4 EART 2022-4A A2                       | CUSIP: 30166BAB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    245000 | PA      | $244473.54    | 0.06%             | 2024-08-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                    | CARMAX AUTO OWNER TRUST 2019-3 CARMX 2019-3 C                                    | CUSIP: 14315PAG0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    675000 | PA      | $655961.09    | 0.17%             | 2025-06-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC 4.000000% 12/30/2024                                                 | CUSIP: 3134GXA61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1245000 | PA      | $1224106.92   | 0.31%             | 2024-12-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN ST TOB SECURITIZATION CORP CALIF TOB SETTLEMENT REV                 | GOLDEN ST TOBACCO SECURITIZATI GOLDEN STATE TOBACCO SECURITIZATION CORP          | CUSIP: 38122NA51<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1945000 | PA      | $1904964.31   | 0.49%             | 2023-06-01      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A1                                | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    288648 | PA      | $233912.92    | 0.06%             | 2066-01-25      | Floating      | 0.82%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                          | AFFIRM ASSET SECURITIZATION TRUST 2020-Z1 AFFRM 2020-Z1 A                        | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     56324 | PA      | $55783.68     | 0.01%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A2                                | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    376515 | PA      | $299056.51    | 0.08%             | 2066-01-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC REMICS FHR 4721 HV                                                   | CUSIP: 3137FAUM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    311604 | PA      | $308866.11    | 0.08%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST                                                   | BHG SECURITIZATION TRUST 2022-C BHG 2022-C A                                     | CUSIP: 08860DAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    184998 | PA      | $183292.77    | 0.05%             | 2035-10-17      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                        | SOCIETE GENERALE SA 144A VARIABLE RATE 01/21/2026                                | CUSIP: 83368RBF8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | NUSS              | FR        |    800000 | PA      | $766720.00    | 0.20%             | 2026-01-21      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORPORATION                                                  | CNA FINANCIAL CORP 7.250000% 11/15/2023                                          | CUSIP: 126117AE0<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511449.32    | 0.13%             | 2023-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                          | CITIGROUP MORTGAGE LOAN TRUST 2018-RP2 CMLTI 2018-RP2 A1                         | CUSIP: 17326UAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    188584 | PA      | $180131.05    | 0.05%             | 2058-02-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                             | MORGAN STANLEY 3.620000% 04/17/2025                                              | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    550000 | PA      | $536051.81    | 0.14%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| THE BOEING COMPANY                                                         | BOEING CO/THE 4.508000% 05/01/2023                                               | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996387.63    | 0.25%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                | VERIZON COMMUNICATIONS INC VARIABLE RATE 03/20/2026                              | CUSIP: 92343VGE8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1164558.24   | 0.30%             | 2026-03-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                          | AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A                        | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    304928 | PA      | $291074.93    | 0.07%             | 2026-11-16      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS TRUST                                               | HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A                               | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1267471 | PA      | $1190473.98   | 0.30%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                          | HSBC HOLDINGS PLC 7.336000% 11/03/2026                                           | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | NUSS              | GB        |    400000 | PA      | $417732.98    | 0.11%             | 2026-11-03      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                                     | GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024                         | CUSIP: 37045XDN3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2910000 | PA      | $2823925.49   | 0.72%             | 2024-10-15      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                             | CARVANA AUTO RECEIVABLES TRUST 2021-P3 CRVNA 2021-P3 A2                          | CUSIP: 14687JAD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    223234 | PA      | $220631.28    | 0.06%             | 2025-01-10      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST I LLC 2019-1 AOMT 2019-1 A1                             | CUSIP: 03464MAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      9967 | PA      | $9905.73      | 0.00%             | 2048-11-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN AE0381                                                        | CUSIP: 31419AM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1860 | PA      | $1850.99      | 0.00%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                          | HSBC HOLDINGS PLC VARIABLE RATE 11/22/2024                                       | CUSIP: 404280CZ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | NUSS              | GB        |    825000 | PA      | $804348.60    | 0.21%             | 2024-11-22      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SDART 2022-5 A2                    | CUSIP: 80287HAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    140000 | PA      | $138970.55    | 0.04%             | 2025-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| United States of America                                                   | WI TREASURY SEC. 0.250000% 06/15/2024                                            | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   4375000 | PA      | $4096093.75   | 1.05%             | 2024-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERS INCOME TAX REV                               | NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY                | CUSIP: 64990FD27<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    910000 | PA      | $898174.00    | 0.23%             | 2023-03-15      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                       | HOME DEPOT INC/THE 4.000000% 09/15/2025                                          | CUSIP: 437076CR1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59496.68     | 0.02%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                                | HUMANA INC 0.650000% 08/03/2023                                                  | CUSIP: 444859BP6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1725000 | PA      | $1673966.43   | 0.43%             | 2023-08-03      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO                                                                 | APIDOS CLO XII APID 2013-12A AR                                                  | CUSIP: 03764DAH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    925000 | PA      | $912237.78    | 0.23%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC REMICS FHR 4818 BD                                                   | CUSIP: 3137FGV36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    351930 | PA      | $342982.40    | 0.09%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                                 | CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A A                                   | CUSIP: 12659WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    845714 | PA      | $830551.34    | 0.21%             | 2029-04-16      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                             | PROTECTIVE LIFE GLOBAL FUNDING 144A 1.082000% 06/09/2023                         | CUSIP: 74368CAR5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    610000 | PA      | $597631.82    | 0.15%             | 2023-06-09      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                         | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO VARIABLE RATE 09/29/2023      | CUSIP: 00774MBA2<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |   1325000 | PA      | $1297458.19   | 0.33%             | 2023-09-29      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                    | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 144A 5.500000% 12/02/2025                | CUSIP: 29449WAP2<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    395000 | PA      | $396958.04    | 0.10%             | 2025-12-02      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THE BOEING COMPANY                                                         | BOEING CO/THE 1.167000% 02/04/2023                                               | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1091699.84   | 0.28%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-1 SDART 2021-1 C                     | CUSIP: 80286NAF3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1497248 | PA      | $1472663.23   | 0.38%             | 2026-02-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                | BANK OF AMERICA CORP MTN 1.486000% 05/19/2024                                    | CUSIP: 06051GJC4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    475000 | PA      | $466270.36    | 0.12%             | 2024-05-19      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-2 SDART 2020-2 C                     | CUSIP: 80285RAF5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     94746 | PA      | $94334.89     | 0.02%             | 2025-09-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC.                                              | THERMO FISHER SCIENTIFIC INC VARIABLE RATE 10/18/2024                            | CUSIP: 883556CQ3<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   1810000 | PA      | $1793258.97   | 0.46%             | 2024-10-18      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                                         | CREDIT SUISSE AG/NEW YORK NY VARIABLE RATE 02/02/2024                            | CUSIP: 22550UAB7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | NUSS              | CH        |   1325000 | PA      | $1260207.50   | 0.32%             | 2024-02-02      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                              | ENBRIDGE INC VARIABLE RATE 02/16/2024                                            | CUSIP: 29250NBM6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | NUSS              | CA        |   1400000 | PA      | $1386322.14   | 0.35%             | 2024-02-16      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                           | PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 04/12/2024                   | CUSIP: 74256LEM7<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    430000 | PA      | $426650.30    | 0.11%             | 2024-04-12      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO, LTD.                                                         | SYMPHONY CLO XIV LTD SYMP 2014-14A AR                                            | CUSIP: 87159QBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     43470 | PA      | $43338.82     | 0.01%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                             | CITIGROUP INC VARIABLE RATE 05/01/2025                                           | CUSIP: 172967MW8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    800000 | PA      | $785068.80    | 0.20%             | 2025-05-01      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| SEQUOIA INFRASTRUCTURE FUNDING LTD                                         | SEQUOIA INFRASTRUCTURE FUNDING I LTD SEQI 2021-1A A                              | CUSIP: 81742LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1076778 | PA      | $1067642.17   | 0.27%             | 2031-04-15      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2017-5 TPMT 2017-5 A1                                  | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    192059 | PA      | $188949.87    | 0.05%             | 2057-02-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank, Limited                                        | SUMITOMO MITSUI TRUST BANK LTD MTN VARIABLE RATE 09/16/2024                      | CUSIP: 86563VAX7<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | NUSS              | JP        |   1000000 | PA      | $992677.00    | 0.25%             | 2024-09-16      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| THE SHERWIN-WILLIAMS COMPANY                                               | SHERWIN-WILLIAMS CO/THE 4.050000% 08/08/2024                                     | CUSIP: 824348BQ8<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    325000 | PA      | $319894.42    | 0.08%             | 2024-08-08      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                            | BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1                     | CUSIP: 105699AA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    147947 | PA      | $141339.07    | 0.04%             | 2060-05-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                   | AMERICAN EXPRESS CO 0.750000% 11/03/2023                                         | CUSIP: 025816CK3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2597854.76   | 0.66%             | 2023-11-03      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| QORVO, INC.                                                                | QORVO INC 144A 1.750000% 12/15/2024                                              | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    430000 | PA      | $394075.65    | 0.10%             | 2024-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE-ACES FNA 2017-M13 FA                                                  | CUSIP: 3136AYP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     68168 | PA      | $67561.18     | 0.02%             | 2024-10-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST                                                        | BWAY 2013-1515 MORTGAGE TRUST BWAY 2013-1515 A1                                  | CUSIP: 05604FAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    237448 | PA      | $227083.31    | 0.06%             | 2033-03-10      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC.                                                      | KEURIG DR PEPPER INC 0.750000% 03/15/2024                                        | CUSIP: 49271VAL4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   2215000 | PA      | $2096740.57   | 0.54%             | 2024-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST 2021-3 AOMT 2021-3 A1                                   | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    533633 | PA      | $415353.63    | 0.11%             | 2066-05-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                                       | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-G NAVSL 2019-GA A                 | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    351897 | PA      | $321661.35    | 0.08%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO LTD                                            | BENEFIT STREET PARTNERS CLO X LTD BSP 2016-10A X                                 | CUSIP: 08181LAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     93750 | PA      | $93727.78     | 0.02%             | 2034-04-20      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INCORPORATED                                          | MICROCHIP TECHNOLOGY INC 0.972000% 02/15/2024                                    | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    610000 | PA      | $577164.42    | 0.15%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD                                                           | OZLM VIII LTD OZLM 2014-8A A1R3                                                  | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    672422 | PA      | $661085.19    | 0.17%             | 2029-10-17      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER BANK, N.A.                                                       | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2022-B B                | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1349435 | PA      | $1341926.63   | 0.34%             | 2032-08-16      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corporation                                               | TRUIST FINANCIAL CORP MTN VARIABLE RATE 06/09/2025                               | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    900000 | PA      | $879228.00    | 0.22%             | 2025-06-09      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2017-6 TPMT 2017-6 A1                                  | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     89368 | PA      | $84946.02     | 0.02%             | 2057-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                                     | GSK CONSUMER HEALTHCARE CAPITAL US LLC 144A 3.024000% 03/24/2024                 | CUSIP: 36264FAA9<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    735000 | PA      | $713440.77    | 0.18%             | 2024-03-24      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT CGCMT 2019-SMRT A                  | CUSIP: 29429MAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    625000 | PA      | $607800.06    | 0.16%             | 2036-01-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MFA TRUST                                                                  | MFA 2020-NQM1 TRUST MFRA 2020-NQM1 A1                                            | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    107810 | PA      | $101814.27    | 0.03%             | 2065-03-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM2R NRZT 2021-NQ2R A1                 | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    165296 | PA      | $143096.07    | 0.04%             | 2058-10-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                    | GSR MORTGAGE LOAN TRUST 2007-AR2 GSR 2007-AR2 1A1                                | CUSIP: 3622N6AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80024 | PA      | $45032.01     | 0.01%             | 2037-05-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| VMWARE, INC.                                                               | VMWARE INC 1.000000% 08/15/2024                                                  | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1815699.62   | 0.46%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST                                                                 | BFLD TRUST 2020-OBRK BFLD 2020-OBRK A                                            | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    840000 | PA      | $828400.02    | 0.21%             | 2028-11-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                                               | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2 IMPRL 2021-NQM2 A1                        | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    451050 | PA      | $346114.45    | 0.09%             | 2056-09-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                       | FREMF 2013-K33 MORTGAGE TRUST FREMF 2013-K33 B                                   | CUSIP: 30265AAN4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1110000 | PA      | $1086910.45   | 0.28%             | 2046-08-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL GLOBAL FUNDING                                       | BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MTN VARIABLE RATE 04/12/2024                | CUSIP: 10921U2B3<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1067715.71   | 0.27%             | 2024-04-12      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST                             | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A3                | CUSIP: 35105UAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    265000 | PA      | $256352.41    | 0.07%             | 2026-05-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                             | CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 A1                          | CUSIP: 14686KAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     32002 | PA      | $31411.80     | 0.01%             | 2028-03-10      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FEDERAL HOME LOAN MORTGAGE CORP MTN 5.080000% 10/25/2024                         | CUSIP: 3134GX4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1800000 | PA      | $1796609.25   | 0.46%             | 2024-10-25      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                | BANK OF AMERICA CORP VARIABLE RATE 04/22/2025                                    | CUSIP: 06051GJU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1573091.47   | 0.40%             | 2025-04-22      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST                                              | MHP 2022-MHIL MHP 2022-MHIL A                                                    | CUSIP: 55293DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    378947 | PA      | $361133.41    | 0.09%             | 2027-01-15      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE REMICS FNR 2016-99 H                                                  | CUSIP: 3136AUB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    692369 | PA      | $668916.12    | 0.17%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                                               | IMPERIAL FUND MORTGAGE TRUST 2021-NQM3 IMPRL 2021-NQM3 A1                        | CUSIP: 452762AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    451049 | PA      | $363312.49    | 0.09%             | 2056-11-25      | Floating      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                 | JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2                            | CUSIP: 46650AAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    180800 | PA      | $172964.61    | 0.04%             | 2046-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                                                  | CIM TRUST 2017-7 CIM 2017-7 A                                                    | CUSIP: 12553HAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      9659 | PA      | $9623.37      | 0.00%             | 2057-04-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2021-R2 VERUS 2021-R2 A1                              | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    537050 | PA      | $486637.68    | 0.12%             | 2064-02-25      | Floating      | 0.92%                 | Yes           |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                                 | GLS AUTO RECEIVABLES ISSUER TRUST 2021-2 GCAR 2021-2A B                          | CUSIP: 36261XAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    804577 | PA      | $793123.13    | 0.20%             | 2025-09-15      | Fixed         | 0.77%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN 493805                                                        | CUSIP: 31382VR22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3797 | PA      | $3697.83      | 0.00%             | 2029-01-01      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                             | CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 B                           | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    191893 | PA      | $175914.57    | 0.04%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                              | MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 MCMLT 2021-NMR1 A1                       | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    330171 | PA      | $303704.60    | 0.08%             | 2060-11-25      | Floating      | 1.12%                 | Yes           |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST                                               | FORD CREDIT AUTO OWNER TRUST 2018-REV1 FORDR 2018-1 A                            | CUSIP: 34532RAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    605000 | PA      | $577181.68    | 0.15%             | 2031-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                        | NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024                                | CUSIP: 63906YAC2<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | NUSS              | GB        |   1265000 | PA      | $1244866.26   | 0.32%             | 2024-08-12      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BUNKER HILL LOAN DEPOSITARY TRUST                                          | BUNKER HILL LOAN DEPOSITARY TRUST 2020-1 BHLD 2020-1 A1                          | CUSIP: 12062RAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    152409 | PA      | $144879.73    | 0.04%             | 2055-02-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                          | CAPITAL ONE FINANCIAL CORP 4.985000% 07/24/2026                                  | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247816.95    | 0.06%             | 2026-07-24      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO                                                            | SOUND POINT CLO XVII SNDPT 2017-3A A1R                                           | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $739374.00    | 0.19%             | 2030-10-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-56 LB                          | CUSIP: 38379LUL8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    204918 | PA      | $199803.07    | 0.05%             | 2040-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                             | CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A                           | CUSIP: 14687DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    629418 | PA      | $588871.49    | 0.15%             | 2028-01-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST 2020-4 AOMT 2020-4 A1                                   | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    202204 | PA      | $182277.44    | 0.05%             | 2065-06-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                              | FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C03 2M2                        | CUSIP: 30711XCT9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    385423 | PA      | $400357.95    | 0.10%             | 2028-10-25      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST                                                      | HPEFS EQUIPMENT TRUST 2022-3 HPEFS 2022-3A A3                                    | CUSIP: 403951AC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    475000 | PA      | $475204.82    | 0.12%             | 2029-08-20      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                             | ENTERPRISE FLEET FINANCING 2022-2 LLC EFF 2022-2 A2                              | CUSIP: 29374JAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1870000 | PA      | $1837134.56   | 0.47%             | 2029-05-21      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| ATALAYA EQUIPMENT LEASING TRUST LLC.                                       | ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A2                             | CUSIP: 046497AB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    316737 | PA      | $306916.14    | 0.08%             | 2026-05-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED                               | PUBLIC SERVICE ENTERPRISE GROUP INC 0.841000% 11/08/2023                         | CUSIP: 744573AT3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    790000 | PA      | $757651.84    | 0.19%             | 2023-11-08      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                                   | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2 AMCAR 2020-2 C                   | CUSIP: 03066EAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2145000 | PA      | $2038274.24   | 0.52%             | 2026-02-18      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD                                   | CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-1 LTD CGMS 2015-1A AR3                 | CUSIP: 14311DBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1029366 | PA      | $1011312.68   | 0.26%             | 2031-07-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| GCAT TRUST                                                                 | GCAT 2021-NQM5 TRUST GCAT 2021-NQM5 A1                                           | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1373040 | PA      | $1060111.97   | 0.27%             | 2066-07-25      | Floating      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                              | FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2                        | CUSIP: 30711XAR5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    180859 | PA      | $182639.62    | 0.05%             | 2024-11-25      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                        | COMM 2014-UBS5 MORTGAGE TRUST COMM 2014-UBS5 A2                                  | CUSIP: 12592KAZ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      9144 | PA      | $8821.54      | 0.00%             | 2047-09-10      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST                                               | METLIFE SECURITIZATION TRUST MST 2017-1A A                                       | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    105442 | PA      | $98120.30     | 0.03%             | 2055-04-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                         | ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2 EFMT 2020-2 A1                         | CUSIP: 31573WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     69291 | PA      | $61352.83     | 0.02%             | 2065-10-25      | Floating      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST                                              | MHC COMMERCIAL MORTGAGE TRUST 2021-MHC MHC 2021-MHC B                            | CUSIP: 55316VAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2800000 | PA      | $2667871.92   | 0.68%             | 2038-04-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                    | HYUNDAI CAPITAL AMERICA MTN 0.800000% 04/03/2023                                 | CUSIP: 44891ABU0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1421314.54   | 0.36%             | 2023-04-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                 | FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 B                                  | CUSIP: 33844WAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    755000 | PA      | $714560.01    | 0.18%             | 2027-06-15      | Fixed         | 0.93%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                              | MILL CITY MORTGAGE LOAN TRUST 2018-2 MCMLT 2018-2 A1                             | CUSIP: 59980MAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    192395 | PA      | $187974.34    | 0.05%             | 2058-05-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                                      | NEXTERA ENERGY CAPITAL HOLDINGS INC 2.940000% 03/21/2024                         | CUSIP: 65339KCD0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    625000 | PA      | $607147.04    | 0.16%             | 2024-03-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CLOUD PASS-THROUGH TRUST                                                   | CLOUD PASS-THROUGH TRUST 2019-1 CLOUD 2019-1A CLOU                               | CUSIP: 18913AAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |       161 | PA      | $161.24       | 0.00%             | 2022-12-05      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RESOURCES CORP.                                         | CENTERPOINT ENERGY RESOURCES CORP VARIABLE RATE 03/02/2023                       | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    876000 | PA      | $875295.84    | 0.22%             | 2023-03-02      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                                        | DT AUTO OWNER TRUST 2020-3 DTAOT 2020-3A B                                       | CUSIP: 26253AAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    531055 | PA      | $528649.86    | 0.14%             | 2024-12-16      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY                                   | SYNCHRONY CARD FUNDING LLC SYNIT 2022-A1 A                                       | CUSIP: 87166PAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    525000 | PA      | $505770.09    | 0.13%             | 2028-04-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST                                              | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP ELP 2021-ELP A                            | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1060000 | PA      | $1011185.30   | 0.26%             | 2038-11-15      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC                                   | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 3.125000% 05/12/2023                | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | DE        |   1600000 | PA      | $1585174.37   | 0.41%             | 2023-05-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST                         | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR 2022-3 A2A              | CUSIP: 36265WAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    750000 | PA      | $740446.43    | 0.19%             | 2025-09-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES CORPORATION                                         | PPL ELECTRIC UTILITIES CORP VARIABLE RATE 09/28/2023                             | CUSIP: 69351UAX1<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1230313.30   | 0.31%             | 2023-09-28      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                         | ROYALTY PHARMA PLC 0.750000% 09/02/2023                                          | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | NUSS              | US        |   1450000 | PA      | $1399540.33   | 0.36%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                   | US 10YR NOTE (CBT)MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -42 | NC      | $-4767000.00  | -1.22%            |  |  |  | No            |                  1 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST                                           | FIRST INVESTORS AUTO OWNER TRUST 2021-1 FIAOT 2021-1A A                          | CUSIP: 32059FAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    273746 | PA      | $270182.76    | 0.07%             | 2026-03-16      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                 | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C31 ASB            | CUSIP: 46644YAW0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    181999 | PA      | $176033.35    | 0.05%             | 2048-08-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                       | FREMF 2013-K28 MORTGAGE TRUST FREMF 2013-K28 B                                   | CUSIP: 30291HAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    715000 | PA      | $709759.26    | 0.18%             | 2046-06-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2019-4 VERUS 2019-4 A1                                | CUSIP: 92537KAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     69406 | PA      | $65779.36     | 0.02%             | 2059-11-25      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                     | MARLETTE FUNDING TRUST 2022-1 MFT 2022-1A A                                      | CUSIP: 57109KAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    691030 | PA      | $675658.24    | 0.17%             | 2032-04-15      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TRUST                                 | MERCURY FINANCIAL CREDIT CARD MASTER TRUST MFCC 2021-1A A                        | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1225000 | PA      | $1161869.38   | 0.30%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST                                    | UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2 UACST 2022-2 A                    | CUSIP: 90944KAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    707425 | PA      | $702634.76    | 0.18%             | 2025-04-10      | Fixed         | 4.39%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                             | ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2                                | CUSIP: 29374EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    180754 | PA      | $174216.55    | 0.04%             | 2026-12-21      | Fixed         | 0.44%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST                               | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-4 A                 | CUSIP: 02530TAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    172367 | PA      | $171692.69    | 0.04%             | 2025-09-15      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                               | MIZUHO FINANCIAL GROUP INC VARIABLE RATE 05/25/2024                              | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | NUSS              | JP        |   1200000 | PA      | $1192037.68   | 0.30%             | 2024-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST                                                             | CONNECTICUT ST STATE OF CONNECTICUT                                              | CUSIP: 20772KJV2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    790000 | PA      | $778432.58    | 0.20%             | 2023-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3 SDART 2021-3 B                     | CUSIP: 80287EAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    467179 | PA      | $462386.18    | 0.12%             | 2025-12-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1                  | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    703956 | PA      | $583980.07    | 0.15%             | 2056-11-27      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN AE0285                                                        | CUSIP: 31419AJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       117 | PA      | $118.63       | 0.00%             | 2025-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN 928005                                                        | CUSIP: 31412LAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      5877 | PA      | $6008.59      | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC                                                 | MMAF EQUIPMENT FINANCE LLC 2020-B MMAF 2020-BA A2                                | CUSIP: 60700KAB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      1965 | PA      | $1961.43      | 0.00%             | 2023-08-14      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                                     | GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024                         | CUSIP: 37045XDN3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1455631.70   | 0.37%             | 2024-10-15      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST                                                      | CCG RECEIVABLES TRUST 2021-1 CCG 2021-1 A2                                       | CUSIP: 12510KAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    151550 | PA      | $146242.62    | 0.04%             | 2027-06-14      | Fixed         | 0.30%                 | Yes           |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST                                                        | CNH EQUIPMENT TRUST 2019-B CNH 2019-B B                                          | CUSIP: 12596TAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1050000 | PA      | $1041857.78   | 0.27%             | 2026-11-16      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1 NRZT 2020-NQM1 A1                  | CUSIP: 64830VAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    298072 | PA      | $267433.70    | 0.07%             | 2060-01-26      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN AD0054                                                        | CUSIP: 31418MBY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        19 | PA      | $18.87        | 0.00%             | 2024-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT 2021-2 MORTGAGE LOAN TRUST COLT 2021-2 A1                                   | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    563006 | PA      | $456838.59    | 0.12%             | 2066-08-25      | Floating      | 0.92%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                            | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 BRAVO 2021-NQM1 A1                     | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    276525 | PA      | $229596.97    | 0.06%             | 2049-02-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                        | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1                        | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     70481 | PA      | $66553.05     | 0.02%             | 2065-04-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                               | UPSTART SECURITIZATION TRUST 2021-2 UPST 2021-2 A                                | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    311090 | PA      | $304440.13    | 0.08%             | 2031-06-20      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST                                                     | JOHN DEERE OWNER TRUST 2022-B JDOT 2022-B A2                                     | CUSIP: 47800AAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    800000 | PA      | $789515.36    | 0.20%             | 2025-06-16      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| GMACM MORTGAGE LOAN TRUST                                                  | GMACM MORTGAGE LOAN TRUST 2005-AR6 GMACM 2005-AR6 2A1                            | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     87771 | PA      | $73370.38     | 0.02%             | 2035-11-19      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                      | ATHENE GLOBAL FUNDING 144A VARIABLE RATE 01/07/2025                              | CUSIP: 04685A3H2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    800000 | PA      | $776411.18    | 0.20%             | 2025-01-07      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST I LLC 2018-3 AOMT 2018-3 A1                             | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      3277 | PA      | $3258.20      | 0.00%             | 2048-09-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC NON GOLD POOL FH 846789                                              | CUSIP: 3128HDRJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      5402 | PA      | $5293.14      | 0.00%             | 2030-02-01      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                        | COMMONSPIRIT HEALTH 4.200000% 08/01/2023                                         | CUSIP: 14916RAF1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1451183.37   | 0.37%             | 2023-08-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE REMICS FNR 2002-64 FG                                                 | CUSIP: 31392EP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       558 | PA      | $561.56       | 0.00%             | 2032-10-18      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                    | CARMAX AUTO OWNER TRUST 2021-1 CARMX 2021-1 A3                                   | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    786892 | PA      | $759964.82    | 0.19%             | 2025-12-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| United States of America                                                   | TREASURY BILL 0.000000% 03/23/2023                                               | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3125000 | PA      | $3083947.91   | 0.79%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTH CAROLINA ST PUB SVCS AUTH REV                                        | SOUTH CAROLINA ST PUBLIC SVC A SOUTH CAROLINA PUBLIC SERVICE AUTHORITY           | CUSIP: 837151WF2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2470000 | PA      | $2434911.18   | 0.62%             | 2023-12-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2021-R1 VERUS 2021-R1 A1                              | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    446666 | PA      | $388217.06    | 0.10%             | 2063-10-25      | Floating      | 0.82%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                              | MILL CITY MORTGAGE LOAN TRUST 2017-3 MCMLT 2017-3 A1                             | CUSIP: 59980CAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    120821 | PA      | $116445.03    | 0.03%             | 2061-01-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1 CGCMT 2015-P1 AAB                    | CUSIP: 17324DAV6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    569387 | PA      | $553029.16    | 0.14%             | 2048-09-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                               | UPSTART SECURITIZATION TRUST 2021-4 UPST 2021-4 A                                | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    455156 | PA      | $439244.98    | 0.11%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                             | ENTERPRISE FLEET FINANCING 2022-3 LLC EFF 2022-3 A2                              | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80000 | PA      | $77909.63     | 0.02%             | 2029-07-20      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Avid Automobile Receivables Trust                                          | AVID AUTOMOBILE RECEIVABLES TRUST 2021-1 AVID 2021-1 A                           | CUSIP: 05369LAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     58084 | PA      | $57791.72     | 0.01%             | 2025-01-15      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                        | BANC OF AMERICA MORTGAGE 2005-J TRUST BOAMS 2005-J 2A1                           | CUSIP: 05949CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      5875 | PA      | $5079.38      | 0.00%             | 2035-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CREDIT CARD TRUST                                                | EVERGREEN CREDIT CARD TRUST SERIES 2022-CRT1 EVGRN 2022-CRT1 B                   | CUSIP: 30023JBV9<br>LEI: N/A                  | Long             | ABS-MBS          |  | CA        |    675000 | PA      | $662011.04    | 0.17%             | 2026-07-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST 2020-2 AOMT 2020-2 A1A                                  | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    240493 | PA      | $213998.93    | 0.05%             | 2065-01-26      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC 4.000000% 02/28/2025                                                 | CUSIP: 3134GXS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2175000 | PA      | $2146510.07   | 0.55%             | 2025-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                       | MITSUBISHI UFJ FINANCIAL GROUP INC 4.788000% 07/18/2025                          | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | NUSS              | JP        |    600000 | PA      | $593742.08    | 0.15%             | 2025-07-18      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                             | MORGAN STANLEY CAPITAL I TRUST 2019-H6 MSC 2019-H6 A2                            | CUSIP: 61769JAX9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $962952.90    | 0.25%             | 2052-06-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                        | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-3 STAR 2021-3 A1                        | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    580681 | PA      | $464532.26    | 0.12%             | 2056-06-25      | Floating      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                                 | CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A A                                   | CUSIP: 12659WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    291704 | PA      | $286473.60    | 0.07%             | 2029-04-16      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1                  | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     67252 | PA      | $60859.00     | 0.02%             | 2059-09-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                              | GOLDMAN SACHS GROUP INC/THE 3.200000% 02/23/2023                                 | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1723772.00   | 0.44%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                         | ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1 EFMT 2021-1 A1                         | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    118494 | PA      | $93262.29     | 0.02%             | 2066-02-25      | Floating      | 0.80%                 | Yes           |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED                       | RFMSI SERIES 2007-SA3 TRUST RFMSI 2007-SA3 2A1                                   | CUSIP: 74958TAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     63187 | PA      | $49294.99     | 0.01%             | 2037-07-27      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN 995253                                                        | CUSIP: 31416BTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       162 | PA      | $161.85       | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                          | CIGNA CORP 3.750000% 07/15/2023                                                  | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2325000 | PA      | $2308852.74   | 0.59%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST                                             | HYUNDAI AUTO RECEIVABLES TRUST 2022-A HART 2022-A A3                             | CUSIP: 448977AD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    175000 | PA      | $166454.24    | 0.04%             | 2026-10-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2022-EBO1 TPMT 2022-EBO1 A                             | CUSIP: 89180EAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    455187 | PA      | $444379.87    | 0.11%             | 2052-01-25      | Floating      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                      | ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024                              | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1784981.71   | 0.46%             | 2024-05-24      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| United States of America                                                   | US TREASURY N/B 2.000000% 04/30/2024                                             | CUSIP: 912828X70<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   4525000 | PA      | $4363089.84   | 1.12%             | 2024-04-30      | Fixed         | 2.00%                 | No            |                  1 | On Loan: No      |
| TTAN MHC                                                                   | TTAN 2021-MHC TTN 2021-MHC B                                                     | CUSIP: 87303TAG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    691466 | PA      | $656772.60    | 0.17%             | 2038-03-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| DNB BANK ASA                                                               | DNB BANK ASA 144A 2.968000% 03/28/2025                                           | CUSIP: 25601B2D6<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | NUSS              | NO        |    450000 | PA      | $434038.16    | 0.11%             | 2025-03-28      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1                              | CUSIP: 89180FCD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    864393 | PA      | $809488.81    | 0.21%             | 2068-07-25      | Floating      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST                                              | MHP 2021-STOR MHP 2021-STOR A                                                    | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    325000 | PA      | $310740.46    | 0.08%             | 2038-07-15      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| VOYA CLO                                                                   | VOYA CLO 2015-1 LTD VOYA 2015-1A A1R                                             | CUSIP: 92914NAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    607830 | PA      | $600121.17    | 0.15%             | 2029-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                              | GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 01/24/2025                             | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    800000 | PA      | $785568.00    | 0.20%             | 2025-01-24      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RESOURCES CORP.                                         | CENTERPOINT ENERGY RESOURCES CORP 0.700000% 03/02/2023                           | CUSIP: 15189WAM2<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2036521.13   | 0.52%             | 2023-03-02      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN 313752                                                        | CUSIP: 31374GQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       136 | PA      | $134.98       | 0.00%             | 2028-05-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                 | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2019-2 B                        | CUSIP: 34528QGX6<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-MBS          |  | US        |   1290000 | PA      | $1241539.73   | 0.32%             | 2026-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER, S.A.                                                      | BANCO SANTANDER SA 3.892000% 05/24/2024                                          | CUSIP: 05971KAM1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | NUSS              | ES        |    600000 | PA      | $587854.72    | 0.15%             | 2024-05-24      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1                                 | CUSIP: 12656YAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    203000 | PA      | $178244.47    | 0.05%             | 2054-07-27      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                         | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1                         | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    321689 | PA      | $250135.15    | 0.06%             | 2066-06-25      | Floating      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC 4.050000% 08/28/2025                                                 | CUSIP: 3134GXR63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1140000 | PA      | $1119933.95   | 0.29%             | 2025-08-28      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING LLC                                                     | CHESAPEAKE FUNDING II LLC CFII 2021-1A A2                                        | CUSIP: 165183CT9<br>LEI: 549300LG5AUFDML64706 | Long             | ABS-MBS          |  | US        |    362320 | PA      | $360725.70    | 0.09%             | 2033-04-15      | Floating      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST                                         | TRICOLOR AUTO SECURITIZATION TRUST 2022-1 TAST 2022-1A A                         | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    248701 | PA      | $245458.82    | 0.06%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                                        | PORT AUTH OF NEW YORK & NEW JE PORT AUTHORITY OF NEW YORK & NEW JERSEY           | CUSIP: 73358W4V3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2390000 | PA      | $2336810.31   | 0.60%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST                                             | ACCREDITED MORTGAGE LOAN TRUST 2004-4 ACCR 2004-4 A1A                            | CUSIP: 004375CA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     58990 | PA      | $58171.08     | 0.01%             | 2035-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                                       | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D NAVSL 2020-DA A                 | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    882683 | PA      | $790260.46    | 0.20%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC REMICS FHR 4387 DA                                                   | CUSIP: 3137BDY83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     79008 | PA      | $78377.63     | 0.02%             | 2032-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1                                   | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     84615 | PA      | $79390.85     | 0.02%             | 2065-04-27      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                | BANK OF AMERICA CORP MTN VARIABLE RATE 05/28/2024                                | CUSIP: 06051GJX8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1338187.50   | 0.34%             | 2024-05-28      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOFTWARE, INC.                                        | TAKE-TWO INTERACTIVE SOFTWARE INC 3.300000% 03/28/2024                           | CUSIP: 874054AE9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    550000 | PA      | $535376.16    | 0.14%             | 2024-03-28      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO LTD                                                            | VIBRANT CLO VI LTD VIBR 2017-6A AR                                               | CUSIP: 92558EAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650280 | PA      | $640605.96    | 0.16%             | 2029-06-20      | Floating      | 4.48%                 | Yes           |                  2 | On Loan: No      |
| UBS AG LONDON BRANCH                                                       | UBS AG/LONDON 144A 0.700000% 08/09/2024                                          | CUSIP: 902674YK0<br>LEI: N/A                  | Long             | DBT              | NUSS              | CH        |    850000 | PA      | $790130.86    | 0.20%             | 2024-08-09      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE HOLDING LLC                                                  | GE HEALTHCARE HOLDING LLC 144A 5.550000% 11/15/2024                              | CUSIP: 36267VAA1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502227.26    | 0.13%             | 2024-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT 2021-4 MORTGAGE LOAN TRUST COLT 2021-4 A1                                   | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    984885 | PA      | $800940.66    | 0.20%             | 2066-10-25      | Floating      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3 CGCMT 2016-P3 AAB                    | CUSIP: 29429CAE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    165632 | PA      | $159095.33    | 0.04%             | 2049-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| VIRGINIA COLLEGE BLDG AUTH VA EDL FACS REV 21ST CENTY COLLEGE & EQUIP PROG | VIRGINIA ST CLG BLDG AUTH EDUC VIRGINIA COLLEGE BUILDING AUTHORITY               | CUSIP: 92778VLG1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    835000 | PA      | $832583.93    | 0.21%             | 2023-02-01      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United States of America                                                   | TREASURY BILL 0.000000% 07/13/2023                                               | CUSIP: 912796XQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4863406.65   | 1.24%             | 2023-07-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER COMPANY                                                  | MISSISSIPPI POWER CO VARIABLE RATE 06/28/2024                                    | CUSIP: 605417CC6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    740000 | PA      | $723123.43    | 0.18%             | 2024-06-28      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                          | AFFIRM ASSET SECURITIZATION TRUST 2020-Z2 AFFRM 2020-Z2 A                        | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    151647 | PA      | $147139.71    | 0.04%             | 2025-01-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2019-INV3 VERUS 2019-INV3 A1                          | CUSIP: 92537MAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    107492 | PA      | $100865.47    | 0.03%             | 2059-11-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2011-158 CA                         | CUSIP: 38378AU90<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     81338 | PA      | $80766.40     | 0.02%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6 NRZT 2017-6A A1                       | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    382971 | PA      | $357036.30    | 0.09%             | 2057-08-27      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| VERDE CDO                                                                  | VERDE CLO LTD VERDE 2019-1A XR                                                   | CUSIP: 92338BAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    175000 | PA      | $174995.80    | 0.04%             | 2032-04-15      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST                                              | CORPORATE CMO LENDBUZZ SECURITISATION TRUST                                      | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    791387 | PA      | $751731.64    | 0.19%             | 2026-06-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                 | CSMC 2021-AFC1 TRUST CSMC 2021-AFC1 A1                                           | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    494786 | PA      | $383585.78    | 0.10%             | 2056-03-25      | Floating      | 0.83%                 | Yes           |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                 | WARNERMEDIA HOLDINGS INC 144A 3.428000% 03/15/2024                               | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1281664.08   | 0.33%             | 2024-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                               | BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A                                | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    755426 | PA      | $742116.11    | 0.19%             | 2036-10-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE REMICS FNR 1993-58 H                                                  | CUSIP: 31358UC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       113 | PA      | $112.32       | 0.00%             | 2023-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                       | FREMF 2013-K32 MORTGAGE TRUST FREMF 2013-K32 B                                   | CUSIP: 30291NAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    725000 | PA      | $714751.76    | 0.18%             | 2046-10-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| VERIZON OWNER TRUST                                                        | VERIZON OWNER TRUST 2020-C VZOT 2020-C A                                         | CUSIP: 92348CAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    346901 | PA      | $339986.63    | 0.09%             | 2025-04-21      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORPORATION                                                      | TD SYNNEX CORP 1.250000% 08/09/2024                                              | CUSIP: 87162WAD2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1272039.45   | 0.33%             | 2024-08-09      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BPR TRUST                                                                  | BPR TRUST 2021-TY BPR 2021-TY A                                                  | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $940736.70    | 0.24%             | 2038-09-15      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| DUNKIN BRANDS                                                              | DB MASTER FINANCE LLC DNKN 2019-1A A2II                                          | CUSIP: 233046AK7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1112625 | PA      | $1027948.67   | 0.26%             | 2049-05-20      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                 | JP MORGAN MORTGAGE TRUST 2005-A6 JPMMT 2005-A6 7A1                               | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     21021 | PA      | $17115.34     | 0.00%             | 2035-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| MFA TRUST                                                                  | MFA 2021-NQM2 TRUST MFRA 2021-NQM2 A1                                            | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    391783 | PA      | $313866.11    | 0.08%             | 2064-11-25      | Floating      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN 344313                                                        | CUSIP: 31375TN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        76 | PA      | $75.83        | 0.00%             | 2025-11-01      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| CHICAGO ILL TRAN AUTH SALES TAX RCPTS REV                                  | CHICAGO IL TRANSIT AUTH SALES CHICAGO TRANSIT AUTHORITY SALES TAX RECEIPTS FUND  | CUSIP: 16772PCJ3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    145000 | PA      | $140672.19    | 0.04%             | 2023-12-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                      | DOMINION ENERGY INC 144A 2.450000% 01/15/2023                                    | CUSIP: 25746UDC0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    800000 | PA      | $796118.14    | 0.20%             | 2023-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                                   | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-3 AMCAR 2020-3 C                   | CUSIP: 03066PAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1225000 | PA      | $1144937.55   | 0.29%             | 2026-08-18      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE REMICS FNR 2001-33 FA                                                 | CUSIP: 31359S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3527 | PA      | $3487.53      | 0.00%             | 2031-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET  PARIBAS                    | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |    900000 | PA      | $900000.00    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                              | DISCOVER BANK 3.350000% 02/06/2023                                               | CUSIP: 25466AAK7<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   2580000 | PA      | $2571668.66   | 0.66%             | 2023-02-06      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST                             | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-1 A2                | CUSIP: 35105JAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    158908 | PA      | $155631.38    | 0.04%             | 2025-09-15      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                                            | IMPAC CMB TRUST SERIES 2005-5 IMM 2005-5 A1                                      | CUSIP: 45254NPU5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     16478 | PA      | $14804.41     | 0.00%             | 2035-08-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                               | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A                            | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    540000 | PA      | $516819.47    | 0.13%             | 2036-09-15      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE REMICS FNR 2013-97 KA                                                 | CUSIP: 3136AGCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     28866 | PA      | $28247.31     | 0.01%             | 2031-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Company Limited                                      | TAKEDA PHARMACEUTICAL CO LTD 4.400000% 11/26/2023                                | CUSIP: 874060AT3<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | NUSS              | JP        |    610000 | PA      | $605297.26    | 0.15%             | 2023-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC REMICS FHR 4379 CB                                                   | CUSIP: 3137BCZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    100038 | PA      | $96082.72     | 0.02%             | 2033-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                                               | UPSTART SECURITIZATION TRUST 2020-3 UPST 2020-3 A                                | CUSIP: 91680EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |         0 | PA      | $0.01         | 0.00%             | 2030-11-20      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                 | CSMC 2021-NQM4 CSMC 2021-NQM4 A1                                                 | CUSIP: 12659PAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    822117 | PA      | $667173.85    | 0.17%             | 2066-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC REMICS FHR 4030 AN                                                   | CUSIP: 3137APJB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    270498 | PA      | $259194.76    | 0.07%             | 2027-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                                  | BAXTER INTERNATIONAL INC VARIABLE RATE 11/29/2024                                | CUSIP: 071813DB2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    825000 | PA      | $805268.41    | 0.21%             | 2024-11-29      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                              | UBS COMMERCIAL MORTGAGE TRUST 2017-C3 UBSCM 2017-C3 ASB                          | CUSIP: 90276GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    238148 | PA      | $225708.30    | 0.06%             | 2050-08-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                        | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1 STAR 2020-1 A1                        | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     22731 | PA      | $21749.64     | 0.01%             | 2050-02-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                  | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    667552 | PA      | $514209.46    | 0.13%             | 2061-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST                                                      | HPEFS EQUIPMENT TRUST 2021-2 HPEFS 2021-2A B                                     | CUSIP: 40441JAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    535000 | PA      | $510964.86    | 0.13%             | 2028-09-20      | Fixed         | 0.61%                 | Yes           |                  2 | On Loan: No      |
| MACQUARIE GROUP LIMITED                                                    | MACQUARIE GROUP LTD MTN VARIABLE RATE 10/14/2025                                 | CUSIP: 55608JBB3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | NUSS              | AU        |    825000 | PA      | $800959.74    | 0.20%             | 2025-10-14      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                                            | IMPAC CMB TRUST SERIES 2005-2 IMM 2005-2 1A1                                     | CUSIP: 45254NMY0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     21735 | PA      | $19675.58     | 0.01%             | 2035-04-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST                                              | SG RESIDENTIAL MORTGAGE TRUST 2021-1 SGR 2021-1 A1                               | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    965216 | PA      | $785025.81    | 0.20%             | 2061-07-25      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                 | FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A                                  | CUSIP: 33846QAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    312329 | PA      | $301498.29    | 0.08%             | 2027-07-15      | Fixed         | 0.36%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-1 WLAKE 2021-1A B                     | CUSIP: 96043FAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    950000 | PA      | $932485.33    | 0.24%             | 2026-03-16      | Fixed         | 0.64%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-1 NRZT 2019-1A A1                       | CUSIP: 64830CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    162135 | PA      | $151799.09    | 0.04%             | 2057-09-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| SYMPHONY STATIC CLO LTD                                                    | SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A                                        | CUSIP: 87190TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    986512 | PA      | $969928.36    | 0.25%             | 2029-10-25      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                                       | FREMF 2014-K37 MORTGAGE TRUST FREMF 2014-K37 B                                   | CUSIP: 35563BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    125000 | PA      | $122400.43    | 0.03%             | 2047-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN AZ4793                                                        | CUSIP: 3138YWKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    275944 | PA      | $265456.89    | 0.07%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                            | DAE FUNDING LLC MTN 1.550000% 08/01/2024                                         | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | AE        |    965000 | PA      | $898284.66    | 0.23%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST 2020-1 AOMT 2020-1 A1                                   | CUSIP: 03464RAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     35013 | PA      | $32673.63     | 0.01%             | 2059-12-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS, INC.                                                       | CONAGRA BRANDS INC 0.500000% 08/11/2023                                          | CUSIP: 205887CG5<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    675000 | PA      | $653249.00    | 0.17%             | 2023-08-11      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS, INC.                                                   | SKYWORKS SOLUTIONS INC 0.900000% 06/01/2023                                      | CUSIP: 83088MAJ1<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1573034.87   | 0.40%             | 2023-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| HPS LOAN MANAGEMENT LTD                                                    | HPS LOAN MANAGEMENT 14-2019 LTD HLM 14A-19 XR                                    | CUSIP: 40437WAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    145000 | PA      | $144963.29    | 0.04%             | 2034-01-25      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| ILLUMINA, INC.                                                             | ILLUMINA INC 5.800000% 12/12/2025                                                | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | NUSS              | US        |    400000 | PA      | $402147.78    | 0.10%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| LCM LTD.                                                                   | LCM XXIV LTD LCM 24A AR                                                          | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    972796 | PA      | $953309.05    | 0.24%             | 2030-03-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                             | CFMT 2022-EBO2 LLC CFMT 2022-EBO2 A                                              | CUSIP: 12527QAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     95652 | PA      | $92973.58     | 0.02%             | 2054-07-25      | Floating      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| The Huntington National Bank                                               | HUNTINGTON NATIONAL BANK/THE 4.008000% 05/16/2025                                | CUSIP: 44644MAD3<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |    345000 | PA      | $337652.05    | 0.09%             | 2025-05-16      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                 | FLAGSHIP CREDIT AUTO TRUST 2020-3 FCAT 2020-3 A                                  | CUSIP: 33844TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      6555 | PA      | $6544.59      | 0.00%             | 2025-04-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                   | CELANESE US HOLDINGS LLC 5.900000% 07/05/2024                                    | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    475000 | PA      | $472095.73    | 0.12%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                           | PACIFIC GAS AND ELECTRIC CO 1.700000% 11/15/2023                                 | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    525000 | PA      | $503424.69    | 0.13%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MANUFACTURERS AND TRADERS TRUST COMPANY.                                   | MANUFACTURERS & TRADERS TRUST CO 5.400000% 11/21/2025                            | CUSIP: 55279HAT7<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401859.39    | 0.10%             | 2025-11-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NORDSTROM, INC.                                                            | NORDSTROM INC 2.300000% 04/08/2024                                               | CUSIP: 655664AX8<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    530000 | PA      | $498518.00    | 0.13%             | 2024-04-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING LLC                                                  | SCF EQUIPMENT LEASING 2022-1 LLC SCFET 2022-1A A2                                | CUSIP: 784033AC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    995548 | PA      | $961411.08    | 0.25%             | 2028-02-22      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| DONLEN FLEET LEASE FUNDING 2                                               | DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2                                 | CUSIP: 257812AD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    418406 | PA      | $403175.02    | 0.10%             | 2034-12-11      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| DRIVETIME AUTO OWNER TRUST                                                 | DT AUTO OWNER TRUST 2021-2 DTAOT 2021-2A B                                       | CUSIP: 23345EAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    530000 | PA      | $516524.49    | 0.13%             | 2027-01-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC.                                                     | JACKSON FINANCIAL INC 1.125000% 11/22/2023                                       | CUSIP: 46817MAJ6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    825000 | PA      | $791058.49    | 0.20%             | 2023-11-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| BANQUE DE MONTREAL                                                         | BANK OF MONTREAL MTN VARIABLE RATE 01/10/2025                                    | CUSIP: 06368FAF6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | NUSS              | CA        |    800000 | PA      | $784314.66    | 0.20%             | 2025-01-10      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-3 SDART 2022-3 A2                    | CUSIP: 80285UAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1024146 | PA      | $1018414.58   | 0.26%             | 2025-03-17      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| CARBONE CLO                                                                | CARBONE CLO LTD CRBN 2017-1A A1                                                  | CUSIP: 141312AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $344076.60    | 0.09%             | 2031-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST                                                            | FREED ABS TRUST 2022-1FP FREED 2022-1FP A                                        | CUSIP: 35633KAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     34470 | PA      | $34268.46     | 0.01%             | 2029-03-19      | Fixed         | 0.94%                 | Yes           |                  2 | On Loan: No      |
| MAGNETITE CLO, LIMITED                                                     | MAGNETITE VIII LTD MAGNE 2014-8A AR2                                             | CUSIP: 55952YAP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    678194 | PA      | $666109.98    | 0.17%             | 2031-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1                                  | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    318252 | PA      | $300751.83    | 0.08%             | 2057-06-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT FUNDING LLC COLT 2021-3R A1                                                 | CUSIP: 19688DAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    346668 | PA      | $286750.47    | 0.07%             | 2064-12-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| GCAT TRUST                                                                 | GCAT 2021-CM1 TRUST GCAT 2021-CM1 A                                              | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    672258 | PA      | $634863.64    | 0.16%             | 2065-04-25      | Floating      | 1.47%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                   | BENCHMARK 2020-B17 MORTGAGE TRUST BMARK 2020-B17 A2                              | CUSIP: 08162MAV0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    285000 | PA      | $262150.24    | 0.07%             | 2053-03-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                                 | GLS AUTO RECEIVABLES ISSUER TRUST 2021-1 GCAR 2021-1A B                          | CUSIP: 36261AAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    280290 | PA      | $279452.41    | 0.07%             | 2025-04-15      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A B                     | CUSIP: 96042RAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    485000 | PA      | $469368.16    | 0.12%             | 2026-07-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                                               | IMPERIAL FUND MORTGAGE TRUST 2021-NQM1 IMPRL 2021-NQM1 A1                        | CUSIP: 452764AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    703564 | PA      | $583929.76    | 0.15%             | 2056-06-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC 2.250000% 03/25/2025                                                 | CUSIP: 3134GXMT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2150000 | PA      | $2046713.33   | 0.52%             | 2025-03-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                                     | GENERAL MOTORS FINANCIAL CO INC 4.250000% 05/15/2023                             | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    800000 | PA      | $797125.40    | 0.20%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FCI FUNDING LIMITED                                                        | FCI FUNDING 2021-1 LLC FCITL 2021-1A A                                           | CUSIP: 30260GAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    181471 | PA      | $176978.20    | 0.05%             | 2033-04-15      | Fixed         | 1.13%                 | Yes           |                  2 | On Loan: No      |
| LSTAR COMMERCIAL MORTGAGE TRUST                                            | LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2                           | CUSIP: 50219QAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    806625 | PA      | $803041.28    | 0.21%             | 2049-03-10      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                 | CSMC 2021-NQM1 CSMC 2021-NQM1 A1                                                 | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    528118 | PA      | $468491.60    | 0.12%             | 2065-05-25      | Floating      | 0.81%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4 SDART 2022-4 A2                    | CUSIP: 80286FAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    975000 | PA      | $969444.16    | 0.25%             | 2025-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT 2020-2 MORTGAGE LOAN TRUST COLT 2020-2 A1                                   | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     55672 | PA      | $54371.16     | 0.01%             | 2065-03-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                       | JPMORGAN CHASE & CO VARIABLE RATE 04/22/2027                                     | CUSIP: 46647PCF1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1555124.80   | 0.40%             | 2027-04-22      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| SEI Daily Income Trust: Government Fund; Class F Shares                    | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                     | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    174010 | NS      | $174009.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CFMT TRUST                                                                 | CFMT 2021-AL1 LLC CFMT 2021-AL1 B                                                | CUSIP: 12529UAF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    813099 | PA      | $766035.85    | 0.20%             | 2031-09-22      | Fixed         | 1.39%                 | Yes           |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                                    | GSR MORTGAGE LOAN TRUST 2005-AR4 GSR 2005-AR4 2A1                                | CUSIP: 362341FH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     99570 | PA      | $55892.93     | 0.01%             | 2035-07-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                      | DOMINION ENERGY INC VARIABLE RATE 09/15/2023                                     | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1726000 | PA      | $1722489.39   | 0.44%             | 2023-09-15      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| THE PNC FINANCIAL SERVICES GROUP, INC.                                     | PNC FINANCIAL SERVICES GROUP INC/THE 5.671000% 10/28/2025                        | CUSIP: 693475BH7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    380000 | PA      | $383008.94    | 0.10%             | 2025-10-28      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST                                            | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 CFCRE 2017-C8 ASB                        | CUSIP: 12532CAY1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    680820 | PA      | $650669.00    | 0.17%             | 2050-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                            | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1                     | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    254114 | PA      | $237711.86    | 0.06%             | 2060-03-25      | Floating      | 0.97%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST                               | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-3 B                 | CUSIP: 025286AB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    379839 | PA      | $377869.37    | 0.10%             | 2026-02-13      | Fixed         | 0.66%                 | Yes           |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST                             | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A2                | CUSIP: 35105UAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     52194 | PA      | $52055.92     | 0.01%             | 2025-04-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                     | STANDARD CHARTERED PLC 144A 7.776000% 11/16/2025                                 | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | NUSS              | GB        |    400000 | PA      | $412590.52    | 0.11%             | 2025-11-16      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| FHF TRUST                                                                  | FHF TRUST 2022-1 FHF 2022-1A A                                                   | CUSIP: 30327CAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    539382 | PA      | $524826.84    | 0.13%             | 2028-01-18      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| VMWARE, INC.                                                               | VMWARE INC 0.600000% 08/15/2023                                                  | CUSIP: 928563AG0<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    830000 | PA      | $803745.68    | 0.21%             | 2023-08-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                           | PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 08/23/2024                   | CUSIP: 74256LER6<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $890262.00    | 0.23%             | 2024-08-23      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1                                | CUSIP: 92538LAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    153622 | PA      | $137120.26    | 0.04%             | 2065-05-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                   | BX TRUST 2021-LGCY BX 2021-LGCY A                                                | CUSIP: 12434DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1200000 | PA      | $1132870.92   | 0.29%             | 2036-10-15      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                            | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3 BRAVO 2021-NQM3 A1                     | CUSIP: 105690AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    437226 | PA      | $392173.22    | 0.10%             | 2060-04-25      | Floating      | 1.70%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                             | ENTERPRISE FLEET FINANCING 2022-4 LLC EFF 2022-4 A2                              | CUSIP: 29374GAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    375000 | PA      | $375154.80    | 0.10%             | 2029-10-22      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                                       | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A NAVSL 2021-A A                  | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    422528 | PA      | $360764.30    | 0.09%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| DONLEN FLEET LEASE FUNDING 2                                               | DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2                                 | CUSIP: 257812AD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    586931 | PA      | $565564.95    | 0.14%             | 2034-12-11      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                 | CSMC 2021-NQM3 CSMC 2021-NQM3 A1                                                 | CUSIP: 12660LAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    809131 | PA      | $657965.55    | 0.17%             | 2066-04-25      | Floating      | 1.01%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                                      | NEXTERA ENERGY CAPITAL HOLDINGS INC VARIABLE RATE 11/03/2023                     | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1313681.52   | 0.34%             | 2023-11-03      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT 2021-1RMORTGAGE PASS-THROUGH CERTIFICATES COLT 2021-1R A1                   | CUSIP: 19688BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    460517 | PA      | $374571.40    | 0.10%             | 2065-05-25      | Floating      | 0.86%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 SDART 2021-4 C                     | CUSIP: 80285VAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1600000 | PA      | $1518981.92   | 0.39%             | 2027-02-16      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| VOYA CLO                                                                   | VOYA CLO 2013-2 LTD INGIM 2013-2A A1R                                            | CUSIP: 92916WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $932404.10    | 0.24%             | 2031-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K035 A2                  | CUSIP: 3137B5KW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2171682 | PA      | $2146083.28   | 0.55%             | 2023-08-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                                    | KEYCORP MTN 3.878000% 05/23/2025                                                 | CUSIP: 49326EEL3<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    470000 | PA      | $460839.42    | 0.12%             | 2025-05-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                 | FLAGSHIP CREDIT AUTO TRUST 2019-3 FCAT 2019-3 C                                  | CUSIP: 33846AAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    718118 | PA      | $711145.74    | 0.18%             | 2025-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST                                    | UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 B                    | CUSIP: 90944DAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    805000 | PA      | $789100.45    | 0.20%             | 2025-03-10      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                     | MARLETTE FUNDING TRUST 2022-3 MFT 2022-3A A                                      | CUSIP: 57109NAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    268831 | PA      | $265849.41    | 0.07%             | 2032-11-15      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| City of New York                                                           | NEW YORK NY CITY OF NEW YORK NY                                                  | CUSIP: 64966QJD3<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   1380000 | PA      | $1368891.14   | 0.35%             | 2023-03-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                | NATIONWIDE BUILDING SOCIETY 144A 0.550000% 01/22/2024                            | CUSIP: 63859UBG7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | NUSS              | GB        |    750000 | PA      | $710626.16    | 0.18%             | 2024-01-22      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                                        | PFS FINANCING CORP PFSFC 2020-E A                                                | CUSIP: 69335PDT9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1240000 | PA      | $1187137.31   | 0.30%             | 2025-10-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                            | RESIDENTIAL MORTGAGE LOAN TRUST 2020-1 RMLT 2020-1 A1                            | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     64963 | PA      | $60449.33     | 0.02%             | 2060-01-26      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2021-1 EART 2021-2A B                        | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    708883 | PA      | $702379.24    | 0.18%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY, INC.                                                   | CENTERPOINT ENERGY INC VARIABLE RATE 05/13/2024                                  | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    625000 | PA      | $616030.71    | 0.16%             | 2024-05-13      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MF1 LTD                                                                    | MF1 2022-FL8 LTD MF1 2022-FL8 A                                                  | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $717346.50    | 0.18%             | 2037-02-19      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| SSM HEALTH CARE CORPORATION                                                | SSM HEALTH CARE CORP 3.688000% 06/01/2023                                        | CUSIP: 784710AB1<br>LEI: 5493000QP6H63JFPC580 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1286192.10   | 0.33%             | 2023-06-01      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| MFA LLC                                                                    | MFA 2021-INV1 TRUST MFRA 2021-INV1 A1                                            | CUSIP: 552747AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    313580 | PA      | $269315.95    | 0.07%             | 2056-01-25      | Floating      | 0.85%                 | Yes           |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH BLDG AID REV                       | NEW YORK CITY NY TRANSITIONAL NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY BUILD | CUSIP: 64972H5C2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2865000 | PA      | $2785621.16   | 0.71%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                    | CARMAX AUTO OWNER TRUST 2022-2 CARMX 2022-2 A2A                                  | CUSIP: 14317HAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1468125 | PA      | $1450924.11   | 0.37%             | 2025-05-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                                 | CHL MORTGAGE PASS-THROUGH TRUST 2004-29 CWHL 2004-29 1A1                         | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      8910 | PA      | $7831.62      | 0.00%             | 2035-02-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST                                                   | BHG SECURITIZATION TRUST 2022-B BHG 2022-B A                                     | CUSIP: 05553DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    781144 | PA      | $768717.23    | 0.20%             | 2035-06-18      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4 SDART 2020-4 C                     | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1151162 | PA      | $1137163.36   | 0.29%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL SA                                      | BANQUE FEDERATIVE DU CREDIT MUTUEL SA 144A 4.524000% 07/13/2025                  | CUSIP: 06675DCD2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | NUSS              | FR        |    475000 | PA      | $467355.94    | 0.12%             | 2025-07-13      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST                                           | FIRST INVESTORS AUTO OWNER TRUST 2021-1 FIAOT 2021-1A A                          | CUSIP: 32059FAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    147608 | PA      | $145686.75    | 0.04%             | 2026-03-16      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                                 | GLS AUTO RECEIVABLES ISSUER TRUST 2021-3 GCAR 2021-3A A                          | CUSIP: 36263LAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    147706 | PA      | $146654.00    | 0.04%             | 2025-01-15      | Fixed         | 0.42%                 | Yes           |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST                                                      | ARI FLEET LEASE TRUST 2022-A ARIFL 2022-A A2                                     | CUSIP: 00217QAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1475000 | PA      | $1443479.84   | 0.37%             | 2031-01-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| BBCMS TRUST                                                                | BBCMS 2017-DELC MORTGAGE TRUST BBCMS 2017-DELC A                                 | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    595000 | PA      | $582255.10    | 0.15%             | 2036-08-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                             | CARVANA AUTO RECEIVABLES TRUST 2021-N4 CRVNA 2021-N4 A1                          | CUSIP: 14687HAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    338300 | PA      | $328350.62    | 0.08%             | 2028-09-11      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1                                   | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    425777 | PA      | $346832.21    | 0.09%             | 2066-06-25      | Floating      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN 555561                                                        | CUSIP: 31385XFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      4812 | PA      | $4729.95      | 0.00%             | 2024-09-01      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                                        | DT AUTO OWNER TRUST 2021-4 DTAOT 2021-4A A                                       | CUSIP: 26253WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    945136 | PA      | $927335.59    | 0.24%             | 2025-09-15      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                                          | AFFIRM ASSET SECURITIZATION TRUST 2021-B AFFRM 2021-B A                          | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    740000 | PA      | $697465.24    | 0.18%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                              | MILL CITY MORTGAGE LOAN TRUST 2018-4 MCMLT 2018-4 A1B                            | CUSIP: 59980YAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    481917 | PA      | $454918.67    | 0.12%             | 2066-04-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                          | HSBC HOLDINGS PLC 3.600000% 05/25/2023                                           | CUSIP: 404280BA6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | NUSS              | GB        |   1315000 | PA      | $1305620.79   | 0.33%             | 2023-05-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                                            | IMPAC CMB TRUST SERIES 2005-3 IMM 2005-3 A1                                      | CUSIP: 45254NNP8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     23860 | PA      | $20922.76     | 0.01%             | 2035-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                             | ENTERPRISE FLEET FINANCING 2021-2 LLC EFF 2021-2 A2                              | CUSIP: 29374YAB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    378316 | PA      | $359440.67    | 0.09%             | 2027-05-20      | Fixed         | 0.48%                 | Yes           |                  2 | On Loan: No      |
| AQUA FINANCE TRUST                                                         | AQUA FINANCE TRUST 2021-A AQFIT 2021-A A                                         | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    354861 | PA      | $324092.07    | 0.08%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                     | SEQUOIA MORTGAGE TRUST 2004-12 SEMT 2004-12 A1                                   | CUSIP: 81744FFY8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      8400 | PA      | $7523.04      | 0.00%             | 2035-01-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                     | MARLETTE FUNDING TRUST 2021-3 MFT 2021-3A A                                      | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    144739 | PA      | $142539.79    | 0.04%             | 2031-12-15      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| SALESFORCE, INC.                                                           | SALESFORCE INC 0.625000% 07/15/2024                                              | CUSIP: 79466LAG9<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   2105000 | PA      | $1974595.02   | 0.50%             | 2024-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                   | HYATT HOTELS CORP 1.300000% 10/01/2023                                           | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    340000 | PA      | $328381.97    | 0.08%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                      | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2 WFCM 2015-NXS2 A2                | CUSIP: 94989MAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    321011 | PA      | $309623.01    | 0.08%             | 2058-07-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                             | CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A                           | CUSIP: 14687DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    387552 | PA      | $362586.05    | 0.09%             | 2028-01-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                               | BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO A                            | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1025000 | PA      | $981303.02    | 0.25%             | 2038-05-15      | Floating      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| HARLEY DAVIDSON MOTORCYCLE TRUST                                           | HARLEY-DAVIDSON MOTORCYCLE TRUST 2022-A HDMOT 2022-A A2A                         | CUSIP: 41284YAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1102331 | PA      | $1090823.44   | 0.28%             | 2025-05-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES                                             | JPMORGAN CHASE BANK NA - CACLN CACLN 2020-1 B                                    | CUSIP: 46591HAN0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    269107 | PA      | $264305.82    | 0.07%             | 2028-01-25      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                 | JP MORGAN MORTGAGE TRUST 2007-A3 JPMMT 2007-A3 1A1                               | CUSIP: 46630UAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45176 | PA      | $38622.43     | 0.01%             | 2037-05-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                             | CARVANA AUTO RECEIVABLES TRUST 2021-N3 CRVNA 2021-N3 B                           | CUSIP: 14687GAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410263 | PA      | $378811.56    | 0.10%             | 2028-06-12      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY, INC.                                      | AMERICAN ELECTRIC POWER CO INC VARIABLE RATE 11/01/2023                          | CUSIP: 025537AS0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1421327.31   | 0.36%             | 2023-11-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG (New York Branch)                                         | DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/08/2023                            | CUSIP: 251526CL1<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |   1150000 | PA      | $1141432.50   | 0.29%             | 2023-11-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS, INC.                                                 | CONSTELLATION BRANDS INC 3.600000% 05/09/2024                                    | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    550000 | PA      | $539169.60    | 0.14%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EQT CORPORATION                                                            | EQT CORP 5.678000% 10/01/2025                                                    | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    525000 | PA      | $523561.50    | 0.13%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                              | UBS COMMERCIAL MORTGAGE TRUST 2017-C6 UBSCM 2017-C6 ASB                          | CUSIP: 90276UAU5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    249999 | PA      | $238491.11    | 0.06%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                   | BX TRUST 2022-LBA6 BX 2022-LBA6 A                                                | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    670000 | PA      | $641420.28    | 0.16%             | 2039-01-15      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                    | CARMAX AUTO OWNER TRUST 2022-3 CARMX 2022-3 A2A                                  | CUSIP: 14318MAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    800000 | PA      | $790447.76    | 0.20%             | 2025-09-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE REMICS FNR 2012-137 UE                                                | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    169943 | PA      | $158025.97    | 0.04%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A A2A                   | CUSIP: 96042RAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    182532 | PA      | $180183.04    | 0.05%             | 2025-04-15      | Fixed         | 0.32%                 | Yes           |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                    | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 12/13/2024           | CUSIP: 233853AE0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | DE        |   1125000 | PA      | $1110476.25   | 0.28%             | 2024-12-13      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-5 EART 2022-5A A2                       | CUSIP: 30167FAB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    725000 | PA      | $723930.63    | 0.19%             | 2025-01-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                        | SOCIETE GENERALE SA 144A 4.351000% 06/13/2025                                    | CUSIP: 83368RBN1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | NUSS              | FR        |    525000 | PA      | $513619.94    | 0.13%             | 2025-06-13      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 NRZT 2017-3A A1                       | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    154081 | PA      | $146081.11    | 0.04%             | 2057-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD                                   | CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-1 LTD CGMS 2014-1A A1R2                | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    996969 | PA      | $974560.97    | 0.25%             | 2031-04-17      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES                                             | JPMORGAN CHASE BANK NA - CACLN CACLN 2020-2 B                                    | CUSIP: 46591HAU4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    687542 | PA      | $669191.76    | 0.17%             | 2028-02-25      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                                       | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-1 DRMT 2021-1 A1                       | CUSIP: 24380VAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    155999 | PA      | $138445.38    | 0.04%             | 2065-05-25      | Floating      | 0.71%                 | Yes           |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST                                                  | KUBOTA CREDIT OWNER TRUST 2020-2 KCOT 2020-2A A3                                 | CUSIP: 50116YAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    132876 | PA      | $129363.45    | 0.03%             | 2024-10-15      | Fixed         | 0.59%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-2 SDART 2021-2 B                     | CUSIP: 80286XAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    215887 | PA      | $214917.39    | 0.05%             | 2025-09-15      | Fixed         | 0.59%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                   | BX 2021-MFM1 BX 2021-MFM1 B                                                      | CUSIP: 05608VAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1370000 | PA      | $1302779.31   | 0.33%             | 2034-01-15      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                   | US TREASURY N/B 0.375000% 04/15/2024                                             | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  11325000 | PA      | $10689295.93  | 2.73%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM LLC                                             | SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A                            | CUSIP: 83407CAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     86555 | PA      | $84165.91     | 0.02%             | 2030-09-25      | Fixed         | 0.49%                 | Yes           |                  2 | On Loan: No      |
| BANQUE CANADIENNE IMPERIALE DE COMMERCE                                    | CANADIAN IMPERIAL BANK OF COMMERCE VARIABLE RATE 10/18/2024                      | CUSIP: 13607HYE6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | NUSS              | CA        |    825000 | PA      | $810933.44    | 0.21%             | 2024-10-18      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| DEXT ABS LLC                                                               | DEXT ABS 2021-1 LLC DEXT 2021-1 A                                                | CUSIP: 23345CAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    304619 | PA      | $290411.87    | 0.07%             | 2028-02-15      | Fixed         | 1.12%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST 2020-3 AOMT 2020-3 A1                                   | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    346625 | PA      | $315020.22    | 0.08%             | 2065-04-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                                     | GENERAL MOTORS FINANCIAL CO INC 1.200000% 10/15/2024                             | CUSIP: 37045XDM5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    750000 | PA      | $692193.77    | 0.18%             | 2024-10-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM LLC                                             | SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A                            | CUSIP: 83407CAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    173109 | PA      | $168331.81    | 0.04%             | 2030-09-25      | Fixed         | 0.49%                 | Yes           |                  2 | On Loan: No      |
| BSPRT ISSUER, LTD.                                                         | BSPRT 2022-FL8 ISSUER LTD BSPRT 2022-FL8 A                                       | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    825000 | PA      | $784958.63    | 0.20%             | 2037-02-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST                                                 | LAD AUTO RECEIVABLES TRUST 2022-1 LADAR 2022-1A A                                | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    319956 | PA      | $314069.17    | 0.08%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                        | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 STAR 2021-2 A1                        | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    182909 | PA      | $168514.78    | 0.04%             | 2065-05-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO LTD/LLC                                                            | KKR CLO 11 LTD KKR 11 AR                                                         | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $736038.00    | 0.19%             | 2031-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST                                                      | ARROYO MORTGAGE TRUST 2019-3 ARRW 2019-3 A1                                      | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    152376 | PA      | $139348.87    | 0.04%             | 2048-10-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| United States of America                                                   | US TREASURY N/B 0.125000% 08/15/2023                                             | CUSIP: 91282CAF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   1550000 | PA      | $1500291.02   | 0.38%             | 2023-08-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                                 | FLAGSHIP CREDIT AUTO TRUST 2022-2 FCAT 2022-2 A2                                 | CUSIP: 33844XAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1120745 | PA      | $1107071.71   | 0.28%             | 2025-08-15      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1                                  | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80760 | PA      | $79530.46     | 0.02%             | 2057-04-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST                                   | GS MORTGAGE SECURITIES CORP TRUST 2022-SHIP GSMS 2022-SHIP A                     | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     70000 | PA      | $68583.26     | 0.02%             | 2036-08-15      | Floating      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST                                               | DELL EQUIPMENT FINANCE TRUST 2022-2 DEFT 2022-2 A2                               | CUSIP: 24702CAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    515000 | PA      | $509556.55    | 0.13%             | 2027-07-22      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST                                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 CAALT 2021-3A A                         | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    570000 | PA      | $537604.05    | 0.14%             | 2030-05-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                                       | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2 DRMT 2021-2 A1                       | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    193042 | PA      | $160527.72    | 0.04%             | 2066-04-25      | Floating      | 0.90%                 | Yes           |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                    | BANK OF NOVA SCOTIA/THE VARIABLE RATE 07/31/2024                                 | CUSIP: 0641596F8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | NUSS              | CA        |   1375000 | PA      | $1358493.36   | 0.35%             | 2024-07-31      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                                           | CIFC FUNDING 2015-I LTD CIFC 2015-1A ARR                                         | CUSIP: 12548MBF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $738594.75    | 0.19%             | 2031-01-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                             | MORGAN STANLEY MTN 3.750000% 02/25/2023                                          | CUSIP: 61746BDJ2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2935000 | PA      | $2927574.45   | 0.75%             | 2023-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                                         | CREDIT SUISSE AG/NEW YORK NY 0.520000% 08/09/2023                                | CUSIP: 22550L2F7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | NUSS              | CH        |   1375000 | PA      | $1310159.98   | 0.33%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                                                 | MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2                                  | CUSIP: 55818YBN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1670267 | PA      | $1638575.33   | 0.42%             | 2030-07-21      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST                               | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-2 B                 | CUSIP: 025291AB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      1110 | PA      | $1108.39      | 0.00%             | 2025-05-13      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                   | US TREASURY N/B 0.125000% 10/15/2023                                             | CUSIP: 91282CAP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   5855000 | PA      | $5623544.53   | 1.44%             | 2023-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                    | NTT FINANCE CORP 144A 0.373000% 03/03/2023                                       | CUSIP: 62954WAA3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | NUSS              | JP        |   2545000 | PA      | $2515427.10   | 0.64%             | 2023-03-03      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Company                                                  | SAUDI ARABIAN OIL CO MTN 2.875000% 04/16/2024                                    | CUSIP: 80414L2C8<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |   1895000 | PA      | $1834883.02   | 0.47%             | 2024-04-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST 2021-5 AOMT 2021-5 A1                                   | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    899788 | PA      | $704136.67    | 0.18%             | 2066-07-25      | Floating      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                          | CITIGROUP MORTGAGE LOAN TRUST INC CMLTI 2004-HYB3 1A                             | CUSIP: 17307GJX7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      8982 | PA      | $7863.50      | 0.00%             | 2034-09-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                 | CSMC 2019-AFC1 TRUST CSMC 2019-AFC1 A1                                           | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    657600 | PA      | $604012.31    | 0.15%             | 2049-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| OGE ENERGY CORP.                                                           | OGE ENERGY CORP 0.703000% 05/26/2023                                             | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    540000 | PA      | $528726.37    | 0.14%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                               | BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL B                                | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    977500 | PA      | $954127.38    | 0.24%             | 2036-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                          | CITIGROUP MORTGAGE LOAN TRUST 2006-AR2 CMLTI 2006-AR2 1A1                        | CUSIP: 17307G6K9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     52100 | PA      | $40788.57     | 0.01%             | 2036-03-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                    | GA GLOBAL FUNDING TRUST 144A VARIABLE RATE 09/13/2024                            | CUSIP: 36143L2E4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   2275000 | PA      | $2214131.31   | 0.57%             | 2024-09-13      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES COMPANY                                          | PIONEER NATURAL RESOURCES CO 0.550000% 05/15/2023                                | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $990108.68    | 0.25%             | 2023-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                                             | ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2                                | CUSIP: 29374EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1214018 | PA      | $1170111.22   | 0.30%             | 2026-12-21      | Fixed         | 0.44%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                   | US 5YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-108570.31   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST                             | MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST SER MLMBS 2007-3 2A1              | CUSIP: 59025JAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     56472 | PA      | $35768.99     | 0.01%             | 2037-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| UNIFY AUTO RECEIVABLES TRUST                                               | UNIFY AUTO RECEIVABLES TRUST 2021-1 UART 2021-1A A3                              | CUSIP: 90775QAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    363395 | PA      | $358820.49    | 0.09%             | 2025-06-16      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST                                                | EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B                              | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    488096 | PA      | $463622.53    | 0.12%             | 2038-07-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Eversource Energy                                                          | EVERSOURCE ENERGY 2.800000% 05/01/2023                                           | CUSIP: 664397AK2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1144850.04   | 0.29%             | 2023-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2019-HY3 TPMT 2019-HY3 A1A                             | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    258282 | PA      | $252549.43    | 0.06%             | 2059-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                               | NUTRIEN LTD 5.900000% 11/07/2024                                                 | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | NUSS              | CA        |    235000 | PA      | $237714.18    | 0.06%             | 2024-11-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                                     | BEAR STEARNS ARM TRUST 2005-6 BSARM 2005-6 3A1                                   | CUSIP: 07387ADJ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     43957 | PA      | $39100.51     | 0.01%             | 2035-08-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CALIF CMNTY COLLEGE DIST                                       | LOS ANGELES CA CMNTY CLG DIST LOS ANGELES COMMUNITY COLLEGE DISTRICT/CA          | CUSIP: 54438CYY2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1515000 | PA      | $1512238.76   | 0.39%             | 2023-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                  | OBX 2018-1 TRUST OBX 2018-1 A2                                                   | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     28142 | PA      | $26413.66     | 0.01%             | 2057-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PERKINELMER, INC.                                                          | PERKINELMER INC 0.550000% 09/15/2023                                             | CUSIP: 714046AK5<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1203696.19   | 0.31%             | 2023-09-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC 2.940000% 11/24/2023                                                 | CUSIP: 3134GXTV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    850000 | PA      | $833180.67    | 0.21%             | 2023-11-24      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1                              | CUSIP: 92538EAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    334937 | PA      | $288804.88    | 0.07%             | 2064-04-25      | Floating      | 1.02%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE-ACES FNA 2015-M2 A3                                                   | CUSIP: 3136AMMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2267199 | PA      | $2183033.39   | 0.56%             | 2024-12-25      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES, INC.                                                       | ANALOG DEVICES INC VARIABLE RATE 10/01/2024                                      | CUSIP: 032654AT2<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    590000 | PA      | $581939.45    | 0.15%             | 2024-10-01      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS, INC.                                                        | GENERAL MILLS INC 5.241000% 11/18/2025                                           | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    285000 | PA      | $285382.11    | 0.07%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO LTD                                            | BENEFIT STREET PARTNERS CLO XII LTD BSP 2017-12A A1R                             | CUSIP: 08179HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1178258.40   | 0.30%             | 2030-10-15      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST I LLC 2019-4 AOMT 2019-4 A1                             | CUSIP: 03463UAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     18081 | PA      | $17941.02     | 0.00%             | 2049-07-26      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                    | CARMAX AUTO OWNER TRUST 2021-2 CARMX 2021-2 A3                                   | CUSIP: 14314QAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1070000 | PA      | $1025981.91   | 0.26%             | 2026-02-17      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG (New York Branch)                                         | DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/16/2027                            | CUSIP: 251526CN7<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |   1100000 | PA      | $960409.09    | 0.25%             | 2027-11-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL GAS COMPANY, L.L.C.                                       | SOUTHERN NATURAL GAS CO LLC 144A 0.625000% 04/28/2023                            | CUSIP: 84346LAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    695000 | PA      | $679439.80    | 0.17%             | 2023-04-28      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                | BBCMS MORTGAGE TRUST 2020-C8 BBCMS 2020-C8 A1                                    | CUSIP: 05552AAY4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    459257 | PA      | $431567.29    | 0.11%             | 2053-10-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                                            | IMPAC CMB TRUST SERIES 2004-9 IMM 2004-9 1A1                                     | CUSIP: 45254NKX4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     17144 | PA      | $15380.90     | 0.00%             | 2035-01-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                | BANK OF AMERICA CORP VARIABLE RATE 02/04/2025                                    | CUSIP: 06051GKF5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    950000 | PA      | $933407.42    | 0.24%             | 2025-02-04      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD                                                           | OZLM VII LTD OZLM 2014-7RA A1R                                                   | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    703656 | PA      | $693267.52    | 0.18%             | 2029-07-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE REFERENCE NOTES                                             | CHASE MORTGAGE FINANCE CORP CHASE 2021-CL1 M1                                    | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    483396 | PA      | $425693.20    | 0.11%             | 2050-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                           | PACIFIC GAS AND ELECTRIC CO 3.250000% 02/16/2024                                 | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    625000 | PA      | $606062.27    | 0.15%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                               | GS MORTGAGE SECURITIES TRUST 2016-GS3 GSMS 2016-GS3 AAB                          | CUSIP: 36251PAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    248491 | PA      | $236626.88    | 0.06%             | 2049-10-10      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                                        | BANC OF AMERICA MORTGAGE 2005-F TRUST BOAMS 2005-F 2A2                           | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     35953 | PA      | $32116.46     | 0.01%             | 2035-07-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | NYCTL 2021-A TRUST NYCTL 2021-A A                                                | CUSIP: 62955UAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    797255 | PA      | $758880.10    | 0.19%             | 2034-11-10      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MFA TRUST                                                                  | MFA 2020-NQM3 TRUST MFRA 2020-NQM3 A1                                            | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    134477 | PA      | $122765.92    | 0.03%             | 2065-01-26      | Floating      | 1.01%                 | Yes           |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST                                                  | AVANT LOANS FUNDING TRUST 2021-REV1 AVNT 2021-REV1 A                             | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    610000 | PA      | $577551.97    | 0.15%             | 2030-07-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                          | CAPITAL ONE FINANCIAL CORP VARIABLE RATE 12/06/2024                              | CUSIP: 14040HCL7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    800000 | PA      | $782200.00    | 0.20%             | 2024-12-06      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1                                  | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100076 | PA      | $98183.60     | 0.03%             | 2056-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                                   | ANGEL OAK MORTGAGE TRUST 2020-R1 AOMT 2020-R1 A1                                 | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    273095 | PA      | $253947.40    | 0.06%             | 2053-04-25      | Floating      | 0.99%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                         | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C21 ASB            | CUSIP: 61764XBG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    189169 | PA      | $183581.34    | 0.05%             | 2048-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                                        | DT AUTO OWNER TRUST 2021-1 DTAOT 2021-1A B                                       | CUSIP: 23344GAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    505516 | PA      | $501035.74    | 0.13%             | 2025-09-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                                     | MARLETTE FUNDING TRUST 2021-2 MFT 2021-2A A                                      | CUSIP: 57108TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     23909 | PA      | $23839.62     | 0.01%             | 2031-09-15      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| LSTAR SECURITIES INVESTMENT LTD.                                           | LSTAR SECURITIES INVESTMENT LTD 2019-4 LSTRZ 2019-4 A1                           | CUSIP: 54912JAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    285556 | PA      | $276863.84    | 0.07%             | 2024-05-01      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1                                | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     31224 | PA      | $29322.84     | 0.01%             | 2060-01-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST                                           | FIRST INVESTORS AUTO OWNER TRUST 2022-1 FIAOT 2022-1A A                          | CUSIP: 32057KAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    615484 | PA      | $595121.10    | 0.15%             | 2027-01-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN 374614                                                        | CUSIP: 31377EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1802 | PA      | $1773.93      | 0.00%             | 2024-09-01      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                                 | VERUS SECURITIZATION TRUST 2021-2 VERUS 2021-2 A1                                | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    376966 | PA      | $311332.96    | 0.08%             | 2066-02-25      | Floating      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                                        | STAR 2021-1 TRUST STAR 2021-1 A1                                                 | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    358639 | PA      | $329664.89    | 0.08%             | 2065-05-25      | Floating      | 1.22%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-2 WLAKE 2019-2A E                     | CUSIP: 96041LAG7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1050000 | PA      | $1042983.27   | 0.27%             | 2025-04-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                    | CARMAX AUTO OWNER TRUST 2019-3 CARMX 2019-3 A3                                   | CUSIP: 14315PAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    178822 | PA      | $177896.17    | 0.05%             | 2024-08-15      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| HSBC BANK CANADA                                                           | HSBC BANK CANADA 144A 0.950000% 05/14/2023                                       | CUSIP: 40427HTL7<br>LEI: DMB80L5QKUQ124HSYW98 | Long             | DBT              | NUSS              | CA        |   2000000 | PA      | $1964361.52   | 0.50%             | 2023-05-14      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BANQUE DE MONTREAL                                                         | BANK OF MONTREAL MTN VARIABLE RATE 09/15/2026                                    | CUSIP: 06368FAD1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | NUSS              | CA        |   1350000 | PA      | $1300575.30   | 0.33%             | 2026-09-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN, INC.                                                             | 7-ELEVEN INC 144A 0.625000% 02/10/2023                                           | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   4295000 | PA      | $4256989.25   | 1.09%             | 2023-02-10      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| PRESTIGE AUTO RECEIVABLES TRUST                                            | PRESTIGE AUTO RECEIVABLES TRUST 2021-1 PART 2021-1A A2                           | CUSIP: 74113XAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    208247 | PA      | $207484.88    | 0.05%             | 2024-09-16      | Fixed         | 0.55%                 | Yes           |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST                                         | TRICOLOR AUTO SECURITIZATION TRUST 2021-1 TAST 2021-1A A                         | CUSIP: 89615BAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     34552 | PA      | $34486.03     | 0.01%             | 2024-04-15      | Fixed         | 0.74%                 | Yes           |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                      | AIR LEASE CORP MTN VARIABLE RATE 12/15/2022                                      | CUSIP: 00914AAN2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1199400.92   | 0.31%             | 2022-12-15      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL, INC.                                                 | COREBRIDGE FINANCIAL INC 144A 3.500000% 04/04/2025                               | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    385000 | PA      | $368683.50    | 0.09%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                   | COLT 2021-HX1 MORTGAGE LOAN TRUST COLT 2021-HX1 A1                               | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    874905 | PA      | $704747.44    | 0.18%             | 2066-10-25      | Floating      | 1.11%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1                                  | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     90684 | PA      | $88969.01     | 0.02%             | 2056-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| CARDS II TRUST                                                             | CARDS II TRUST CARD2 2021-1A A                                                   | CUSIP: 14161GBY5<br>LEI: N/A                  | Long             | ABS-MBS          |  | CA        |   1100000 | PA      | $1033846.33   | 0.26%             | 2027-04-15      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                        | COLT 2020-2R MORTGAGE LOAN TRUST COLT 2020-2R A1                                 | CUSIP: 12656GAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    170566 | PA      | $150631.04    | 0.04%             | 2065-10-26      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                              | GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 09/10/2024                             | CUSIP: 38141GYF5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    550000 | PA      | $541314.05    | 0.14%             | 2024-09-10      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                             | CITIGROUP INC VARIABLE RATE 01/25/2026                                           | CUSIP: 17327CAP8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    650000 | PA      | $632781.21    | 0.16%             | 2026-01-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS, LTD.                                          | OCTAGON INVESTMENT PARTNERS 30 LTD OCT30 2017-1A A1R                             | CUSIP: 675920AJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $660563.05    | 0.17%             | 2030-03-17      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                  | TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1                                  | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    163447 | PA      | $160959.40    | 0.04%             | 2057-04-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                    | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 04/05/2024           | CUSIP: 233853AK6<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | DE        |    750000 | PA      | $745367.25    | 0.19%             | 2024-04-05      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC                                                 | MMAF EQUIPMENT FINANCE LLC 2021-A MMAF 2021-A A3                                 | CUSIP: 55317JAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    185000 | PA      | $172336.69    | 0.04%             | 2028-06-13      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST                                    | UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 A                    | CUSIP: 90944DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    137833 | PA      | $136995.02    | 0.04%             | 2024-07-10      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                   | PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1                                             | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    250572 | PA      | $221962.05    | 0.06%             | 2051-07-25      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC 4.050000% 07/21/2025                                                 | CUSIP: 3134GXG24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2400000 | PA      | $2355855.43   | 0.60%             | 2025-07-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM NRZT 2020-NQM2 A1                   | CUSIP: 64830UAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    122618 | PA      | $111757.48    | 0.03%             | 2060-05-24      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                        | GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1 GSMBS 2019-SL1 A1                   | CUSIP: 36257EAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     61476 | PA      | $61129.66     | 0.02%             | 2059-01-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST                                                     | CROSSROADS ASSET TRUST 2021-A XROAD 2021-A A2                                    | CUSIP: 22767CAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    152406 | PA      | $150985.78    | 0.04%             | 2024-03-20      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                   | US TREASURY N/B 0.125000% 05/15/2023                                             | CUSIP: 912828ZP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  15300000 | PA      | $14994597.62  | 3.83%             | 2023-05-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                         | SOUTHERN CALIFORNIA EDISON CO VARIABLE RATE 04/01/2024                           | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1677710.69   | 0.43%             | 2024-04-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST                                                   | BHG SECURITIZATION TRUST 2022-A BHG 2022-A A                                     | CUSIP: 054977AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    917431 | PA      | $854916.69    | 0.22%             | 2035-02-20      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                                 | CPS AUTO RECEIVABLES TRUST 2021-B CPS 2021-B B                                   | CUSIP: 12656QAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    780608 | PA      | $773458.06    | 0.20%             | 2025-12-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN WEALTH MANAGEMENT MORTGAGE TRUST                               | JPMORGAN CHASE BANK NA - JPMWM JPMWM 2021-CL1 M1                                 | CUSIP: 46591HBK5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    937104 | PA      | $833080.91    | 0.21%             | 2051-03-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| MORTGAGEIT TRUST                                                           | MORTGAGEIT TRUST 2005-5 MHL 2005-5 A1                                            | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     46226 | PA      | $43264.55     | 0.01%             | 2035-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC COMPANY                                                     | TAMPA ELECTRIC CO 3.875000% 07/12/2024                                           | CUSIP: 875127BK7<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    475000 | PA      | $464013.76    | 0.12%             | 2024-07-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN AD0213                                                        | CUSIP: 31418MGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     47809 | PA      | $50302.18     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                     | SEQUOIA MORTGAGE TRUST 2018-CH3 SEMT 2018-CH3 A1                                 | CUSIP: 81746WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     14934 | PA      | $14623.52     | 0.00%             | 2048-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING LTD                                                     | OHA CREDIT FUNDING 3 LTD OAKC 2019-3A XR                                         | CUSIP: 67112RAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    281250 | PA      | $281184.75    | 0.07%             | 2035-07-02      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE POOL FN 889091                                                        | CUSIP: 31410GXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        20 | PA      | $20.56        | 0.00%             | 2023-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK, NATIONAL ASSOCIATION                                        | CITIZENS BANK NA/PROVIDENCE RI 4.119000% 05/23/2025                              | CUSIP: 75524KNQ3<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |    400000 | PA      | $393571.06    | 0.10%             | 2025-05-23      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST                                                      | ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A2                                     | CUSIP: 00217FAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    539011 | PA      | $528107.63    | 0.14%             | 2030-03-15      | Fixed         | 0.37%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A                   | CUSIP: 3137BJQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    700000 | PA      | $668251.78    | 0.17%             | 2025-05-25      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                      | FANNIE MAE 3.875000% 08/28/2024                                                  | CUSIP: 3135G06W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2225000 | PA      | $2189430.55   | 0.56%             | 2024-08-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES LLC                                     | AMUR EQUIPMENT FINANCE RECEIVABLES XI LLC AXIS 2022-2A A2                        | CUSIP: 03236XAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    245000 | PA      | $242134.70    | 0.06%             | 2028-06-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-11-30

**Name of Applicant:** SEI INSTITUTIONAL INVESTMENTS TRUST

**Signature:** Ankit Puri

**Name of Signer:** Ankit Puri

**Title:** CFO