# EDGAR Filing Document

**Accession Number:** 0001217286
**File Stem:** 0001752724-25-203880
**Filing Date:** 2025-8
**Character Count:** 372613
**Document Hash:** eabd40701321ef2d509745511c0189fe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-203880.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-203880

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20250630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Trust I
- **CENTRAL INDEX KEY:** 0001217286

**ORGANIZATION NAME:**
- **EIN:** 331043149
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21295
- **FILM NUMBER:** 251253653

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JP MORGAN MUTUAL FUND SERIES
- **DATE OF NAME CHANGE:** 20030204

## Series and Classes Contracts Data

### JPMorgan SmartRetirement* Blend 2035 Fund (Series ID: S000037367)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000115346 | Class I      | JPSRX           |
| C000115347 | Class R2     | JPRRX           |
| C000115348 | Class R5     | JPBRX           |
| C000115349 | Class R6     | JPYRX           |
| C000186793 | Class R4     | JPTKX           |
| C000186794 | Class R3     | JPTLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust I

- **b. Investment Company Act file number:** 811-21295

- **c. CIK number of Registrant:** 0001217286

- **d. LEI of Registrant:** 549300DM5WZMCZZ70R78

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

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan SmartRetirement Blend 2035 Fund

- **b. EDGAR series identifier (if any):** S000037367

- **c. LEI of Series:** 5493004TZUXVOYD73Y24

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

- **a. Date of fiscal year-end:** 2025-06-30

- **b. Date as of which information is reported:** 2025-06-30

**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:** $3249861359.38

**Total Liabilities:** $1854732.42

**Net Assets:** $3248006626.96

**Delayed Delivery Securities:** $54852.05

**Cash Not Reported:** $121192.71

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000115347 | 0.21%                | 3.65%                | 3.56%                |
| Class ID C000115346 | 0.27%                | 3.73%                | 3.56%                |
| Class ID C000186793 | 0.28%                | 3.70%                | 3.60%                |
| Class ID C000115348 | 0.27%                | 3.73%                | 3.60%                |
| Class ID C000186794 | 0.24%                | 3.68%                | 3.59%                |
| Class ID C000115349 | 0.27%                | 3.73%                | 3.63%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-10293988.80            | $14473167.79                               |
| Month 2  | $1575745.76              | $105498635.80                              |
| Month 3  | $3148834.66              | $90420213.22                               |

**Designated Index Information**

- **Index Name:** 36.945% SP500GRUSD0, 25.925% 1TRUSD0, 17.5125% EAFERNRUSD0, 6.4675% EMGLRNRUSD0, 4.88% SP400GRUSD0, 3.33% 63TRUSD0, 2.6575% RU2000GRUSD0, 1.3875% RMZGRUSD0, 0.895% 5273TRUSD0

- **Index Identifier:** IBXUSD008175

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WHARF Commercial Mortgage Trust                         | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                   | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $173306.79     | 0.01%             | 2040-07-15      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LG3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146064 | PA      | $144428.60     | 0.00%             | 2031-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                         | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    224598 | PA      | $183153.36     | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 3674, Class HZ                                                        | CUSIP: 31398Q4R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363851 | PA      | $384478.12     | 0.01%             | 2040-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617ULWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257176 | PA      | $227578.98     | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                               | HINNT LLC, Series 2024-A, Class C                                                          | CUSIP: 40472QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245962 | PA      | $249310.75     | 0.01%             | 2043-03-15      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                 | MVW LLC, Series 2024-1A, Class C                                                           | CUSIP: 62847RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    126175 | PA      | $128180.00     | 0.00%             | 2043-02-20      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                          | Enbridge, Inc.                                                                             | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $62207.01      | 0.00%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| New York Life Insurance Co.                             | New York Life Insurance Co.                                                                | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    156000 | PA      | $115244.76     | 0.00%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                 | KeyCorp                                                                                    | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    330000 | PA      | $333938.83     | 0.01%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617W0AN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73125 | PA      | $64709.96      | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2022-2A, Class B                                      | CUSIP: 43283GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182488 | PA      | $181461.16     | 0.01%             | 2037-01-25      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                          | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200456 | PA      | $183042.31     | 0.01%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7VQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646730 | PA      | $588242.97     | 0.02%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                                    | CUSIP: 55336VBZ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52386.06      | 0.00%             | 2055-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-105, Class SG                                                            | CUSIP: 38383TKF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1141940 | PA      | $119016.63     | 0.00%             | 2052-06-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                          | Takeda Pharmaceutical Co. Ltd.                                                             | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $299103.93     | 0.01%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13599.68      | 0.00%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LAE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73906 | PA      | $64700.71      | 0.00%             | 2030-04-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                               | MFA Trust, Series 2024-RTL3, Class A1                                                      | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $402145.12     | 0.01%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                                    | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64533.11      | 0.00%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191241 | PA      | $174905.14     | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                           | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                  | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22556 | PA      | $22546.26      | 0.00%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                       | Merck & Co., Inc.                                                                          | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39770.16      | 0.00%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                               | CGI, Inc.                                                                                  | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $64839.40      | 0.00%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                        | Kroger Co. (The)                                                                           | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49642.40      | 0.00%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140MPSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91832 | PA      | $94161.50      | 0.00%             | 2052-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2024-1B, Class C                                      | CUSIP: 43283YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96343 | PA      | $97849.80      | 0.00%             | 2039-09-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                               | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     44000 | PA      | $31040.72      | 0.00%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $102265.62     | 0.00%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2017-35, Class VA                                                      | CUSIP: 3136AWMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74030 | PA      | $73536.72      | 0.00%             | 2028-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    300000 | PA      | $291081.72     | 0.01%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2024-64, Class YH                                                             | CUSIP: 38384MRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    715000 | PA      | $686806.12     | 0.02%             | 2054-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QQ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311089 | PA      | $306364.02     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class C                      | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $576617.59     | 0.02%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     85000 | PA      | $87767.40      | 0.00%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                         | Post Road Equipment Finance LLC, Series 2024-1A, Class C                                   | CUSIP: 737473AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $553198.82     | 0.02%             | 2030-10-15      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Co.                               | Florida Power & Light Co.                                                                  | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47767.99      | 0.00%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3618H2QX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    738589 | PA      | $741425.61     | 0.02%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617Y4GC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137762 | PA      | $134917.94     | 0.00%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LH4F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $414157.92     | 0.01%             | 2031-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                               | SCF Equipment Leasing LLC, Series 2022-2A, Class C                                         | CUSIP: 78397WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $196036.82     | 0.01%             | 2032-08-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-H26, Class FC                                                            | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126851 | PA      | $127499.57     | 0.00%             | 2066-12-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC            | GreatAmerica Leasing Receivables Funding LLC, Series 2024-1, Class A4                      | CUSIP: 39154TCK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785000 | PA      | $796654.50     | 0.02%             | 2030-12-16      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253405 | PA      | $224241.51     | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                       | NatWest Group plc                                                                          | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $396939.94     | 0.01%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     97000 | PA      | $101395.27     | 0.00%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec             | Federation des Caisses Desjardins du Quebec                                                | CUSIP: 31429KAL7<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $205352.90     | 0.01%             | 2029-04-26      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KT3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284555 | PA      | $269111.89     | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                  | Standard Chartered plc                                                                     | CUSIP: 853254CX6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $375858.00     | 0.01%             | 2030-02-08      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHRY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $305949.61     | 0.01%             | 2031-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Tucson Electric Power Co.                               | Tucson Electric Power Co.                                                                  | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85237.46      | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140ADJ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667816 | PA      | $694931.99     | 0.02%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FARM Mortgage Trust                                     | FARM Mortgage Trust, Series 2024-2, Class A                                                | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212289 | PA      | $208663.38     | 0.01%             | 2054-08-01      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                              | ROCK Trust, Series 2024-CNTR, Class A                                                      | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $153447.78     | 0.00%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629640 | PA      | $531797.07     | 0.02%             | 2061-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                  | Consumer Portfolio Services Auto Trust, Series 2025-B, Class D                             | CUSIP: 12630SAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $353868.59     | 0.01%             | 2031-07-15      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                | SCE Recovery Funding LLC, Series A-1                                                       | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49566 | PA      | $48184.09      | 0.00%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                    | Consumers Energy Co.                                                                       | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21943.70      | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                           | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $324087.50     | 0.01%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115000 | PA      | $110846.82     | 0.00%             | 2032-08-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                         | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    105000 | PA      | $90477.42      | 0.00%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                         | Eli Lilly & Co.                                                                            | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $196244.97     | 0.01%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                       | NatWest Group plc                                                                          | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $278156.67     | 0.01%             | 2030-08-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                         | Santander UK Group Holdings plc                                                            | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $214717.54     | 0.01%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138L54D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88140 | PA      | $88772.36      | 0.00%             | 2029-01-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                                    | CUSIP: 3142GGNW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295417 | PA      | $284791.08     | 0.01%             | 2036-09-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140A8TK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138559 | PA      | $139386.96     | 0.00%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL                                        | JBS USA LUX Sarl                                                                           | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $51799.00      | 0.00%             | 2035-04-20      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                      | PG&E Wildfire Recovery Funding LLC, Series A-2                                             | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $28272.15      | 0.00%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                 | CarMax Auto Owner Trust, Series 2024-1, Class B                                            | CUSIP: 14318WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $253423.90     | 0.01%             | 2029-08-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| EIDP, Inc.                                              | EIDP, Inc.                                                                                 | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |    155000 | PA      | $158059.86     | 0.00%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                | JBS USA Holding Lux SARL                                                                   | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    100000 | PA      | $87546.21      | 0.00%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133AFNU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220250 | PA      | $184049.56     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Frn                                              | Mizuho Frn                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | JP        |    200000 | PA      | $200000.00     | 0.01%             | 2031-07-08      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                               | Fells Point Funding Trust                                                                  | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $210338.45     | 0.01%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    205000 | PA      | $209874.90     | 0.01%             | 2029-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                  | MidAmerican Energy Co.                                                                     | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41167.74      | 0.00%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1068894 | PA      | $898368.97     | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60160.54      | 0.00%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                              | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    334000 | PA      | $261667.29     | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111920.07     | 0.00%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| RPM International, Inc.                                 | RPM International, Inc.                                                                    | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     61000 | PA      | $53788.57      | 0.00%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284506 | PA      | $279364.96     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                               | DH Europe Finance II SARL                                                                  | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    230000 | PA      | $185018.59     | 0.01%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140J2RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $64614.85      | 0.00%             | 2030-12-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133BBA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75846 | PA      | $73964.00      | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                          | Aircastle Ltd.                                                                             | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    150000 | PA      | $151235.93     | 0.00%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                               | SCF Equipment Leasing LLC, Series 2024-1A, Class C                                         | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $149862.27     | 0.00%             | 2032-09-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    350000 | PA      | $367665.40     | 0.01%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 20 Year                                                                         | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393613 | PA      | $357923.66     | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                                    | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    198000 | PA      | $188271.69     | 0.01%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5171, Class NI                                                        | CUSIP: 3137H4PZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1290007 | PA      | $177881.07     | 0.01%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                        | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $202011.94     | 0.01%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                          | Element Fleet Management Corp.                                                             | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $210866.77     | 0.01%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617W0AL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127650 | PA      | $112961.32     | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                             | L3Harris Technologies, Inc.                                                                | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     61000 | PA      | $62657.95      | 0.00%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3618GSAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110963 | PA      | $111653.84     | 0.00%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 2 Year Note                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        25 | NC      | $21447.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC               | South Bow USA Infrastructure Holdings LLC                                                  | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40129.04      | 0.00%             | 2029-10-01      | Fixed         | 5.03%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                               | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    300000 | PA      | $262952.02     | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                            | Leidos, Inc.                                                                               | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52090.14      | 0.00%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                          | NNN REIT, Inc.                                                                             | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51686.23      | 0.00%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                     | Take-Two Interactive Software, Inc.                                                        | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    250000 | PA      | $257431.53     | 0.01%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge Trust, Series 2024-SFR1, Class D                                                    | CUSIP: 10806DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $485375.47     | 0.01%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234360 | PA      | $208460.01     | 0.01%             | 2032-03-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                       | CUSIP: 378272BK3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     75000 | PA      | $76645.73      | 0.00%             | 2028-05-08      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                             | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788043 | PA      | $792395.99     | 0.02%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QDJC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58141 | PA      | $48801.44      | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5052, Class KI                                                        | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1667874 | PA      | $344921.06     | 0.01%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC               | South Bow USA Infrastructure Holdings LLC                                                  | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35224.59      | 0.00%             | 2027-09-01      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                               | CUSIP: 902613BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    310000 | PA      | $298872.00     | 0.01%             | 2045-09-06      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    605000 | PA      | $541569.53     | 0.02%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                              | Utah Acquisition Sub, Inc.                                                                 | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     37000 | PA      | $36650.48      | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                          | Baltimore Gas and Electric Co.                                                             | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79282.86      | 0.00%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    105000 | PA      | $107058.02     | 0.00%             | 2029-04-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7V88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252695 | PA      | $223613.37     | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M55D                       | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200612 | PA      | $187075.23     | 0.01%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2016-K56, Class B                                             | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90000 | PA      | $88956.88      | 0.00%             | 2049-06-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan BetaBuilders U.S. Mid Cap Equity ETF           | JPMorgan BetaBuilders U.S. Mid Cap Equity ETF                                              | CUSIP: 46641Q340<br>LEI: 549300S2VYDS8QJGW220 | Long             |  | RF                | US        |   1305830 | NS      | $127253133.50  | 3.92%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                               | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    255000 | PA      | $259631.47     | 0.01%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Emerging Markets Debt Fund                     | JPMorgan Emerging Markets Debt Fund, Class R6                                              | CUSIP: 48121A134<br>LEI: 8KLDAXM5A9FOP50PQD10 | Long             |  | RF                | US        |   4588439 | NS      | $28953052.98   | 0.89%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140MDKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195426 | PA      | $178140.47     | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                             | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    151000 | PA      | $149602.99     | 0.00%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust        | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                 | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |    197653 | PA      | $204842.10     | 0.01%             | 2053-11-25      | Floating      | 8.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-22, Class BI                                                      | CUSIP: 3136BFSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1708892 | PA      | $374091.57     | 0.01%             | 2051-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                     | Fifth Third Bancorp                                                                        | CUSIP: 316773DL1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    316000 | PA      | $328855.70     | 0.01%             | 2032-01-29      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR5, Class E1                                     | CUSIP: 74332HAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $454415.45     | 0.01%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                        | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17430.18      | 0.00%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                          | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29377 | PA      | $28861.33      | 0.00%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618BB6U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206370 | PA      | $208507.45     | 0.01%             | 2063-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Dummy Set-up for ticker DUMMY US                        | Dummy Set-up for ticker DUMMY US                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    200000 | PA      | $200000.00     | 0.01%             | 2036-07-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                   | United Mexican States                                                                      | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $208500.00     | 0.01%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                | Tricon Residential Trust, Series 2023-SFR2, Class C                                        | CUSIP: 895978AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $104097.75     | 0.00%             | 2040-12-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2018-1, Class A                                 | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85036 | PA      | $79282.26      | 0.00%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108142 | PA      | $91267.20      | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                          | Public Service Co. of Oklahoma                                                             | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70552.96      | 0.00%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852562 | PA      | $703841.46     | 0.02%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Sonoco Products Co.                                     | Sonoco Products Co.                                                                        | CUSIP: 835495AS1<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97266.32      | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7VU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88063 | PA      | $77928.35      | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                   | SBNA Auto Lease Trust, Series 2024-B, Class A3                                             | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $907470.36     | 0.03%             | 2027-11-22      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge Trust, Series 2024-SFR1, Class C                                                    | CUSIP: 10806DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $427945.78     | 0.01%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53452.15      | 0.00%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QMMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205843 | PA      | $178636.24     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                             | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     67000 | PA      | $61156.64      | 0.00%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                   | United Mexican States                                                                      | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $197300.00     | 0.01%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                       | BAT Capital Corp.                                                                          | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     92000 | PA      | $87041.99      | 0.00%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Nationwide Mutual Insurance Co.                         | Nationwide Mutual Insurance Co.                                                            | CUSIP: 638671AC1<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    200000 | PA      | $230662.13     | 0.01%             | 2031-12-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     23000 | PA      | $15235.77      | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust, Series 2023-1A, Class C                             | CUSIP: 96042XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $201231.34     | 0.01%             | 2028-08-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Trust                                  | Invitation Homes Trust, Series 2024-SFR1, Class B                                          | CUSIP: 46188DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $163586.22     | 0.01%             | 2041-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                             | L3Harris Technologies, Inc.                                                                | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    230000 | PA      | $237235.64     | 0.01%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XTB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386139 | PA      | $322046.41     | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                    | American Tower Corp.                                                                       | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    135000 | PA      | $137616.34     | 0.00%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 36241L4J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14768 | PA      | $14774.47      | 0.00%             | 2031-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7WL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46447 | PA      | $41101.45      | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                      | Atmos Energy Corp.                                                                         | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     45000 | PA      | $27787.97      | 0.00%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K136, Class A2            | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259000 | PA      | $227877.14     | 0.01%             | 2031-11-25      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UA6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259863 | PA      | $236362.17     | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                            | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    630000 | PA      | $642747.14     | 0.02%             | 2030-02-13      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                        | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37837.05      | 0.00%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust, Series 2024-2A, Class A                                          | CUSIP: 35040VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188367 | PA      | $187457.71     | 0.01%             | 2050-03-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                              | Aviation Capital Group LLC                                                                 | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100944.43     | 0.00%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                            | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    400000 | PA      | $391691.80     | 0.01%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 5 Year Note                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        10 | NC      | $13641.55      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Equity Index Fund                              | JPMorgan Equity Index Fund, Class R6                                                       | CUSIP: 4812C2213<br>LEI: 549300FO80ME045UVK10 | Long             |  | RF                | US        |  13071855 | NS      | $1217381867.05 | 37.48%            |  |  |  | No            |                  1 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America Trust, Series 2021-2, Class C                                     | CUSIP: 43732VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220781 | PA      | $211720.13     | 0.01%             | 2026-12-17      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                | Bunge Ltd. Finance Corp.                                                                   | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    127000 | PA      | $123224.05     | 0.00%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR2, Class E1                                     | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $115183.84     | 0.00%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                    | ERAC USA Finance LLC                                                                       | CUSIP: 26884TAY8<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153538.04     | 0.00%             | 2029-02-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Trane Technologies Financing Ltd.                       | Trane Technologies Financing Ltd.                                                          | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |     40000 | PA      | $41244.18      | 0.00%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                               | Bank of Ireland Group plc                                                                  | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $206093.20     | 0.01%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                             | Diamond Resorts Owner Trust, Series 2021-1A, Class A                                       | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25000 | PA      | $24864.07      | 0.00%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                          | Element Fleet Management Corp.                                                             | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $95834.85      | 0.00%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Russell 2000 E-Mini Index                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       226 | NC      | $641354.10     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Puget Energy, Inc.                                      | Puget Energy, Inc.                                                                         | CUSIP: 745310AP7<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45269.45      | 0.00%             | 2035-03-15      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5054, Class PB                                                        | CUSIP: 3137F75W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403054 | PA      | $314315.47     | 0.01%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                         | Danske Bank A/S                                                                            | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $202266.62     | 0.01%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                             | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    250000 | PA      | $256004.67     | 0.01%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132E0SG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402699 | PA      | $352118.51     | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                               | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $204417.57     | 0.01%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101399.29     | 0.00%             | 2029-04-23      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                              | US Bancorp                                                                                 | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    115000 | PA      | $117304.78     | 0.00%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                            | Flex Intermediate Holdco LLC                                                               | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23587.99      | 0.00%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2018-56, Class VN                                                      | CUSIP: 3136B2SX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $165619.62     | 0.01%             | 2038-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    300000 | PA      | $292282.95     | 0.01%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                   | United Mexican States                                                                      | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $202300.00     | 0.01%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | Royal Bank of Canada                                                                       | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    170000 | PA      | $170298.53     | 0.01%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7V70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66184 | PA      | $58567.37      | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class D                      | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $172852.97     | 0.01%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                            | Santander Holdings USA, Inc.                                                               | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     75000 | PA      | $78058.71      | 0.00%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                | Duke Energy Progress LLC                                                                   | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     40000 | PA      | $24861.66      | 0.00%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $220700.84     | 0.01%             | 2032-01-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QLNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278853 | PA      | $233981.05     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust            | American Credit Acceptance Receivables Trust, Series 2023-1, Class D                       | CUSIP: 02530UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101120.17     | 0.00%             | 2029-04-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                            | Cadence Design Systems, Inc.                                                               | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    164000 | PA      | $162021.25     | 0.00%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                    | Macquarie Group Ltd.                                                                       | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    150000 | PA      | $130872.31     | 0.00%             | 2033-01-14      | Variable      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CJV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4640800 | PA      | $4640618.73    | 0.14%             | 2026-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                           | Cencora, Inc.                                                                              | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    290000 | PA      | $292290.34     | 0.01%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                       | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101922.86     | 0.00%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133B5NM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    813179 | PA      | $682053.77     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617W0AQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121105 | PA      | $108513.81     | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152279.91     | 0.00%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617ULV54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    598932 | PA      | $547543.89     | 0.02%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520000 | PA      | $530916.63     | 0.02%             | 2030-01-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4941, Class KG                                                        | CUSIP: 3137FQT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507385 | PA      | $432274.36     | 0.01%             | 2047-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2024-M2, Class A2                                                        | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875000 | PA      | $823029.29     | 0.03%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                      | Vodafone Group plc                                                                         | CUSIP: 92857WCA6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $143712.60     | 0.00%             | 2054-06-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132XHSP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $187108.76     | 0.01%             | 2034-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C                                 | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $659378.67     | 0.02%             | 2034-10-16      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MT                         | CUSIP: 35563PSB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    640083 | PA      | $507075.44     | 0.02%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NU6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943037 | PA      | $984692.31     | 0.03%             | 2032-09-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M3, Class 1A1                                                       | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2538 | PA      | $2529.81       | 0.00%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                              | Constellation Brands, Inc.                                                                 | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    210000 | PA      | $174361.68     | 0.01%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                       | HSBC Holdings plc                                                                          | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $250285.04     | 0.01%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                      | Tricolor Auto Securitization Trust, Series 2024-1A, Class B                                | CUSIP: 89616LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $297768.90     | 0.01%             | 2027-12-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury Long Bond                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        21 | NC      | $96784.81      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                               | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     13000 | PA      | $12664.59      | 0.00%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Prudential Funding Asia plc                             | Prudential Funding Asia plc                                                                | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |     60000 | PA      | $56625.00      | 0.00%             | 2030-04-14      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136528.61     | 0.00%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507551 | PA      | $506617.22     | 0.02%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                            | Fiserv, Inc.                                                                               | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301096.68     | 0.01%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CRIBS Mortgage Trust                                    | CRIBS Mortgage Trust, Series 2025-RTL1, Class A1                                           | CUSIP: 12704NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100967.71     | 0.00%             | 2040-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multi-Family Structured Credit Risk               | FHLMC, Multi-Family Structured Credit Risk, Series 2021-MN2, Class M1                      | CUSIP: 35563JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46693 | PA      | $45852.39      | 0.00%             | 2041-07-25      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2019-7, Class CA                                                       | CUSIP: 3136B32G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250386 | PA      | $241620.61     | 0.01%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209293 | PA      | $205525.84     | 0.01%             | 2031-02-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                               | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $122713.37     | 0.00%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2           | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $177093.90     | 0.01%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress SC Storm Funding LLC               | Duke Energy Progress SC Storm Funding LLC, Series A                                        | CUSIP: 26445CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    521124 | PA      | $529198.98     | 0.02%             | 2044-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust, Series 2024-MH1, Class A1                                          | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263711 | PA      | $269408.42     | 0.01%             | 2056-11-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                               | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $204297.31     | 0.01%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                             | Capital One Financial Corp.                                                                | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62065.50      | 0.00%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                       | HSBC Holdings plc                                                                          | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    650000 | PA      | $616131.57     | 0.02%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                        | Berkshire Hathaway Finance Corp.                                                           | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     40000 | PA      | $30952.33      | 0.00%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309704 | PA      | $315136.95     | 0.01%             | 2031-04-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $145691.54     | 0.00%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                             | Amgen, Inc.                                                                                | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    335000 | PA      | $327092.64     | 0.01%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                      | Altria Group, Inc.                                                                         | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60373.44      | 0.00%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                                       | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96000 | PA      | $63946.59      | 0.00%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                        | FHF Issuer Trust, Series 2024-1A, Class A2                                                 | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111380 | PA      | $112510.91     | 0.00%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| AES Corp. (The)                                         | AES Corp. (The)                                                                            | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    140000 | PA      | $142138.46     | 0.00%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2024-1A, Class C                          | CUSIP: 826935AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87101 | PA      | $88065.46      | 0.00%             | 2043-01-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                                    | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150609.73     | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A                             | CUSIP: 682685AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $191756.68     | 0.01%             | 2029-11-14      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                   | Gray Oak Pipeline LLC                                                                      | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    498000 | PA      | $494716.22     | 0.02%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Triton Container International Ltd.                     | Triton Container International Ltd.                                                        | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    150000 | PA      | $146427.75     | 0.00%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                           | Lendbuzz Securitization Trust, Series 2024-1A, Class B                                     | CUSIP: 525935AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $255783.90     | 0.01%             | 2029-09-15      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                      | T-Mobile USA, Inc.                                                                         | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    185000 | PA      | $123576.31     | 0.00%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                   | Banque Federative du Credit Mutuel SA                                                      | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $207362.90     | 0.01%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                      | PG&E Wildfire Recovery Funding LLC, Series A-5                                             | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $32281.15      | 0.00%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $179316.80     | 0.01%             | 2032-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                             | Intel Corp.                                                                                | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     70000 | PA      | $44334.73      | 0.00%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M2S, Class A1                                                       | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4092 | PA      | $4071.60       | 0.00%             | 2032-05-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A                                   | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4738 | PA      | $4716.47       | 0.00%             | 2029-01-16      | Fixed         | 1.22%                 | Yes           |                  2 | On Loan: No      |
| Piedmont Healthcare, Inc.                               | Piedmont Healthcare, Inc.                                                                  | CUSIP: 72014TAE9<br>LEI: 254900D1I6W7J0DSAY11 | Long             | DBT              | CORP              | US        |     45000 | PA      | $27435.02      | 0.00%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D                       | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    260575 | PA      | $244454.39     | 0.01%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                     | CommonSpirit Health                                                                        | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     74000 | PA      | $67742.86      | 0.00%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HWQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306014 | PA      | $285124.66     | 0.01%             | 2029-11-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2024-2A, Class A                                       | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570986 | PA      | $572306.33     | 0.02%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2                            | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $196116.10     | 0.01%             | 2043-07-25      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                         | Stream Innovations Issuer Trust, Series 2025-1A, Class A                                   | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $322300.00     | 0.01%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| J M Smucker Co. (The)                                   | J M Smucker Co. (The)                                                                      | CUSIP: 832696AZ1<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26715.70      | 0.00%             | 2053-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    112000 | PA      | $115177.80     | 0.00%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                           | AIB Group plc                                                                              | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $211590.55     | 0.01%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Children's Hospital of Philadelphia (The)               | Children's Hospital of Philadelphia (The), Series 2020                                     | CUSIP: 16877PAA8<br>LEI: 254900N2KNSY5WTR1Q61 | Long             | DBT              | CORP              | US        |     70000 | PA      | $42551.74      | 0.00%             | 2050-07-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140MLP53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73054 | PA      | $70572.14      | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                 | MVW LLC, Series 2021-2A, Class C                                                           | CUSIP: 55400KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79435 | PA      | $74745.53      | 0.00%             | 2039-05-20      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                              | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    130000 | PA      | $77949.58      | 0.00%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                                      | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37699.71      | 0.00%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                   | Kraft Heinz Foods Co.                                                                      | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     29000 | PA      | $23461.81      | 0.00%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                                | JBS USA Holding Lux Sarl                                                                   | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    260000 | PA      | $283832.90     | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2016-K58, Class B                                             | CUSIP: 35690AAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    465000 | PA      | $458674.70     | 0.01%             | 2049-09-25      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                        | NRG Energy, Inc.                                                                           | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    118000 | PA      | $111995.10     | 0.00%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116641 | PA      | $100398.81     | 0.00%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                                | JBS USA Holding Lux Sarl                                                                   | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $110810.70     | 0.00%             | 2066-04-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| DBSG Mortgage Trust                                     | DBSG ALTA Mortgage Trust, Series 2024-ALTA, Class A                                        | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $717405.11     | 0.02%             | 2037-06-10      | Variable      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464912 | PA      | $405966.82     | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                        | Burlington Northern Santa Fe LLC                                                           | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $79213.21      | 0.00%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2016-2, Class A                                 | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31181 | PA      | $29058.85      | 0.00%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp.                                    | Sprint Capital Corp.                                                                       | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32206.12      | 0.00%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56825 | PA      | $56526.43      | 0.00%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                             | Prologis LP                                                                                | CUSIP: 74340XCK5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    138000 | PA      | $129524.77     | 0.00%             | 2054-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $152633.03     | 0.00%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M50, Class X1                                                       | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2007252 | PA      | $83819.04      | 0.00%             | 2030-10-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242163 | PA      | $217271.33     | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20569.02      | 0.00%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                 | Aon North America, Inc.                                                                    | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $128107.32     | 0.00%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                             | Penske Truck Leasing Co. LP                                                                | CUSIP: 709599BW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $83347.85      | 0.00%             | 2028-08-01      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    330000 | PA      | $340569.07     | 0.01%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30729.06      | 0.00%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                              | Mars, Inc.                                                                                 | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    205000 | PA      | $205495.75     | 0.01%             | 2045-05-01      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Note                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        99 | NC      | $256722.43     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HVDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98653 | PA      | $91681.24      | 0.00%             | 2031-08-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102995.45     | 0.00%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133CNZ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168852 | PA      | $172957.36     | 0.01%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Graphic Packaging International LLC                     | Graphic Packaging International LLC                                                        | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     49000 | PA      | $47719.44      | 0.00%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Indiana Michigan Power Co.                              | Indiana Michigan Power Co.                                                                 | CUSIP: 454889AU0<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |     55000 | PA      | $35966.64      | 0.00%             | 2051-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2021-1, Class B                               | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142600 | PA      | $134424.30     | 0.00%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                          | Smurfit Westrock Financing DAC                                                             | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $202607.40     | 0.01%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                               | PG&E Recovery Funding LLC, Series A-3                                                      | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $167300.24     | 0.01%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    550000 | PA      | $481640.57     | 0.01%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                          | NNN REIT, Inc.                                                                             | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61510.67      | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618F3MV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130634 | PA      | $127292.21     | 0.00%             | 2062-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133AUP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477537 | PA      | $400489.44     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                                    | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     52000 | PA      | $45990.17      | 0.00%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                     | Kinder Morgan, Inc.                                                                        | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    300000 | PA      | $345519.38     | 0.01%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                                  | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45823.45      | 0.00%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                  | Oportun Issuance Trust, Series 2021-B, Class A                                             | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154832 | PA      | $151038.06     | 0.00%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132WVA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476336 | PA      | $449457.63     | 0.01%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A                          | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $159036.22     | 0.00%             | 2030-06-20      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                   | Pagaya AI Technology in Housing Trust, Series 2023-1, Class C                              | CUSIP: 69547YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $253940.51     | 0.01%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHVW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90000 | PA      | $90546.98      | 0.00%             | 2032-10-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140ADJE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420095 | PA      | $427284.54     | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617VQ2T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268236 | PA      | $243976.56     | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138LNZS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310000 | PA      | $293715.94     | 0.01%             | 2033-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7800000 | PA      | $8187867.17    | 0.25%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LFVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130000 | PA      | $117420.73     | 0.00%             | 2033-09-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                   | Cheniere Energy, Inc.                                                                      | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71692.57      | 0.00%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                          | Shell International Finance BV                                                             | CUSIP: 822582CE0<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     52000 | PA      | $34784.75      | 0.00%             | 2049-11-07      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XLD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140367 | PA      | $117144.57     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     95000 | PA      | $96159.72      | 0.00%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    742889 | PA      | $622630.69     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                | Roper Technologies, Inc.                                                                   | CUSIP: 776743AL0<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     47000 | PA      | $40355.24      | 0.00%             | 2031-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5030.73       | 0.00%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-185, Class PE                                                            | CUSIP: 38382LT84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238515 | PA      | $184586.77     | 0.01%             | 2050-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCVI LLC                                           | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                                  | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18128 | PA      | $18122.97      | 0.00%             | 2051-03-27      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Nevada Power Co.                                        | Nevada Power Co.                                                                           | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30499.83      | 0.00%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140HFK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177641 | PA      | $149060.19     | 0.00%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                   | Gilead Sciences, Inc.                                                                      | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    332000 | PA      | $238198.79     | 0.01%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M1S, Class A2                                                       | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365000 | PA      | $316584.14     | 0.01%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                         | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $206607.03     | 0.01%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                             | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     40000 | PA      | $34292.61      | 0.00%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 2893, Class PE                                                        | CUSIP: 31395HWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203562 | PA      | $208048.31     | 0.01%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury Ultra Bond                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -11 | NC      | $-58964.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Boston Scientific Corp.                                 | Boston Scientific Corp.                                                                    | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17028.35      | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                   | Kraft Heinz Foods Co.                                                                      | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     55000 | PA      | $49335.01      | 0.00%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     48000 | PA      | $44274.52      | 0.00%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust        | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                 | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |    152364 | PA      | $153457.85     | 0.00%             | 2054-07-25      | Floating      | 7.06%                 | Yes           |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                            | FirstEnergy Transmission LLC                                                               | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    274000 | PA      | $232243.46     | 0.01%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618F8C83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174494 | PA      | $176301.18     | 0.01%             | 2063-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138L5KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51199 | PA      | $50997.51      | 0.00%             | 2030-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                          | Takeda Pharmaceutical Co. Ltd.                                                             | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $130977.30     | 0.00%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203780 | PA      | $210187.96     | 0.01%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                               | Williams Cos., Inc. (The)                                                                  | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41567.67      | 0.00%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5285000 | PA      | $5389254.87    | 0.17%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                         | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $254065.64     | 0.01%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                             | Huntington Bancshares, Inc.                                                                | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81967.76      | 0.00%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2024-1B, Class B                                      | CUSIP: 43283YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286426 | PA      | $290646.56     | 0.01%             | 2039-09-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $30347.56      | 0.00%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110518 | PA      | $96507.73      | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                      | ITC Holdings Corp.                                                                         | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202283.59     | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America     | Teachers Insurance & Annuity Association of America                                        | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     96000 | PA      | $64304.78      | 0.00%             | 2050-05-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2017-2, Class A                               | CUSIP: 02377CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    621142 | PA      | $573131.06     | 0.02%             | 2029-10-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617F25S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109420 | PA      | $106204.14     | 0.00%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                     | Take-Two Interactive Software, Inc.                                                        | CUSIP: 874054AH2<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    500000 | PA      | $473598.91     | 0.01%             | 2032-04-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                | CFMT LLC, Series 2024-HB13, Class A                                                        | CUSIP: 12530VAA3<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |    435493 | PA      | $427912.02     | 0.01%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| New England Power Co.                                   | New England Power Co.                                                                      | CUSIP: 644188BG8<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     62000 | PA      | $37557.21      | 0.00%             | 2050-10-06      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Honeywell International, Inc.                           | Honeywell International, Inc.                                                              | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    110000 | PA      | $104354.67     | 0.00%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                   | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                         | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $220025.98     | 0.01%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                    | Meta Platforms, Inc.                                                                       | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97524.13      | 0.00%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    868280 | PA      | $726594.82     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4116, Class UC                                                        | CUSIP: 3137AVNQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188000 | PA      | $136654.12     | 0.00%             | 2042-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                 | Duke Energy Florida LLC                                                                    | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     62000 | PA      | $63646.66      | 0.00%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HUKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780213 | PA      | $737239.84     | 0.02%             | 2031-06-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class B                                 | CUSIP: 22535PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $159099.47     | 0.00%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Engie SA                                                | Engie SA                                                                                   | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    290000 | PA      | $298627.36     | 0.01%             | 2034-04-10      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR2, Class D                                      | CUSIP: 74290XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $92787.76      | 0.00%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                         | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $255736.59     | 0.01%             | 2030-01-10      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2020-K737, Class B                                            | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120000 | PA      | $117621.83     | 0.00%             | 2053-01-25      | Variable      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2023-1, Class C                                         | CUSIP: 337955AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240000 | PA      | $240617.98     | 0.01%             | 2029-05-15      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Essex Portfolio LP                                      | Essex Portfolio LP                                                                         | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40858.48      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJ6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $417771.62     | 0.01%             | 2032-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                            | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                   | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36546 | PA      | $36519.87      | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                        | ABN AMRO Bank NV                                                                           | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $203787.35     | 0.01%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                           | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $54326.42      | 0.00%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2021-M3, Class X1                                                        | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    712152 | PA      | $47337.47      | 0.00%             | 2033-11-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-83, Class KB                                                             | CUSIP: 38382QQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280250 | PA      | $218665.71     | 0.01%             | 2051-05-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                             | Sigeco Securitization I LLC, Series A1                                                     | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     47253 | PA      | $47620.52      | 0.00%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                            | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685000 | PA      | $659449.16     | 0.02%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545197 | PA      | $489770.27     | 0.02%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.               | Consolidated Edison Co. of New York, Inc.                                                  | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     70000 | PA      | $46390.04      | 0.00%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Core Plus Bond Fund                            | JPMorgan Core Plus Bond Fund, Class R6                                                     | CUSIP: 4812C0134<br>LEI: JW89OQCNJOLWVS3KT374 | Long             |  | RF                | US        |  84443488 | NS      | $611370854.23  | 18.82%            |  |  |  | No            |                  1 | On Loan: No      |
| Berkshire Hathaway Energy Co.                           | Berkshire Hathaway Energy Co.                                                              | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     44000 | PA      | $26945.64      | 0.00%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust, Series 2022-1A, Class B                             | CUSIP: 68269DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $295395.12     | 0.01%             | 2029-06-14      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| State Street Corp.                                      | State Street Corp.                                                                         | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39854.13      | 0.00%             | 2034-01-26      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                        | DTE Electric Co., Series B                                                                 | CUSIP: 23338VAP1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    100000 | PA      | $68306.53      | 0.00%             | 2051-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2018-72, Class VB                                                      | CUSIP: 3136B27G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232756 | PA      | $227591.11     | 0.01%             | 2031-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                       | Merck & Co., Inc.                                                                          | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     55000 | PA      | $32062.34      | 0.00%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                        | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $426880.05     | 0.01%             | 2034-01-10      | Variable      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                     | DT Auto Owner Trust, Series 2023-2A, Class D                                               | CUSIP: 23346CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $133421.57     | 0.00%             | 2029-02-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Emerging Markets Research Enhanced Equity Fund | JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6                          | CUSIP: 46645V626<br>LEI: 549300RH6H0TG40PHS83 | Long             |  | RF                | US        |   5722201 | NS      | $107234055.74  | 3.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR1, Class E1                                     | CUSIP: 74331QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $93778.24      | 0.00%             | 2041-02-17      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $442536.07     | 0.01%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KGR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121473 | PA      | $102044.10     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                             | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102263.96     | 0.00%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70605.80      | 0.00%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                      | Southern Power Co.                                                                         | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    174000 | PA      | $164561.37     | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                               | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $204438.37     | 0.01%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2011-41, Class KA                                                      | CUSIP: 31397SU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1841 | PA      | $1814.37       | 0.00%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                      | Union Electric Co.                                                                         | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48237.56      | 0.00%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust, Series 2023-3A, Class B                                          | CUSIP: 67571CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $142380.34     | 0.00%             | 2029-07-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2018-75, Class UZ                                                      | CUSIP: 3136B3CA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    888797 | PA      | $835292.17     | 0.03%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $849360.84     | 0.03%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                          | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class B                                     | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58431 | PA      | $55369.42      | 0.00%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540331 | PA      | $570190.86     | 0.02%             | 2031-02-01      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                | Electricite de France SA                                                                   | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |    250000 | PA      | $260442.83     | 0.01%             | 2034-04-22      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2022-4, Class TA                                                       | CUSIP: 3136BLZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209751 | PA      | $168719.34     | 0.01%             | 2051-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NWV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1139634 | PA      | $1166975.98    | 0.04%             | 2032-03-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85000 | PA      | $84644.40      | 0.00%             | 2032-10-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    145000 | PA      | $138180.47     | 0.00%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Six LLC                              | Goodman US Finance Six LLC                                                                 | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $59803.85      | 0.00%             | 2034-10-07      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | S&P MidCap 400 E-Mini Index                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       104 | NC      | $624813.48     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Solventum Corp.                                         | Solventum Corp.                                                                            | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    146000 | PA      | $150255.28     | 0.00%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                         | Danske Bank A/S                                                                            | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $199182.67     | 0.01%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                         | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2                                  | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $164310.61     | 0.01%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                    | Westgate Resorts LLC, Series 2024-1A, Class C                                              | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185985 | PA      | $188620.91     | 0.01%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                       | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80479 | PA      | $75032.49      | 0.00%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                      | Devon Energy Corp.                                                                         | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    115000 | PA      | $103532.21     | 0.00%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class M55D                       | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126789 | PA      | $119395.23     | 0.00%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                            | PPL Electric Utilities Corp.                                                               | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42912.14      | 0.00%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                   | SBNA Auto Lease Trust, Series 2024-A, Class A4                                             | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $326967.75     | 0.01%             | 2029-01-22      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                           | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $176548.77     | 0.01%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    675309 | PA      | $556158.61     | 0.02%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                     | Union Pacific Corp.                                                                        | CUSIP: 907818FD5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58540.43      | 0.00%             | 2039-08-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                          | QUALCOMM, Inc.                                                                             | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25401.92      | 0.00%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                      | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $84420.80      | 0.00%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112281 | PA      | $100186.62     | 0.00%             | 2061-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617XXAR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182759 | PA      | $164027.14     | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KHH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    675280 | PA      | $569593.11     | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A1                                 | CUSIP: 31392A5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105566 | PA      | $106609.06     | 0.00%             | 2041-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA Trust, Whole Loan, Series 2002-W8, Class A1                                           | CUSIP: 31392DP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60100 | PA      | $62743.21      | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                          | Ohio Power Co.                                                                             | CUSIP: 677415CV1<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69678.52      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                               | SCF Equipment Leasing LLC, Series 2023-1A, Class C                                         | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $176616.74     | 0.01%             | 2033-08-22      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Eversource Energy                                       | Eversource Energy                                                                          | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    290000 | PA      | $264147.35     | 0.01%             | 2032-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| University of Miami                                     | University of Miami, Series 2022                                                           | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15657.49      | 0.00%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71189.26      | 0.00%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                           | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    155000 | PA      | $157421.18     | 0.00%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust, Series 2024-AA, Class C                                    | CUSIP: 567928AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199000 | PA      | $203193.51     | 0.01%             | 2036-09-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                               | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    117000 | PA      | $117705.43     | 0.00%             | 2037-07-02      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                            | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $142642.74     | 0.00%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4941, Class IA                                                        | CUSIP: 3137FQSN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    651034 | PA      | $147656.99     | 0.00%             | 2049-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                       | Exxon Mobil Corp.                                                                          | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    146000 | PA      | $113699.15     | 0.00%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                             | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22426.94      | 0.00%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422000 | PA      | $392880.30     | 0.01%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                      | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    610000 | PA      | $546246.88     | 0.02%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                               | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    260000 | PA      | $269978.26     | 0.01%             | 2030-09-13      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                                      | CUSIP: 29364WBN7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98679.82      | 0.00%             | 2054-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                | UnitedHealth Group, Inc.                                                                   | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25047.99      | 0.00%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                           | Cencora, Inc.                                                                              | CUSIP: 03073EAN5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81891.51      | 0.00%             | 2045-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                                  | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     74000 | PA      | $76846.04      | 0.00%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40922.01      | 0.00%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                         | Republic Finance Issuance Trust, Series 2021-A, Class A                                    | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103523 | PA      | $102907.92     | 0.00%             | 2031-12-22      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                    | American Express Co.                                                                       | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122496.89     | 0.00%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust, Series 2023-1A, Class C                                          | CUSIP: 67571BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $147365.75     | 0.00%             | 2029-09-20      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                          | Southern Co. Gas Capital Corp.                                                             | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    250000 | PA      | $262150.27     | 0.01%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class C                      | CUSIP: 10805MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $621712.67     | 0.02%             | 2030-02-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                                | JBS USA Holding Lux Sarl                                                                   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $110161.70     | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Monongahela Power Co.                                   | Monongahela Power Co.                                                                      | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $31190.63      | 0.00%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                 | APA Infrastructure Ltd.                                                                    | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    180000 | PA      | $176521.59     | 0.01%             | 2034-09-16      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                                       | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    392000 | PA      | $349543.94     | 0.01%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NU7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794775 | PA      | $832130.27     | 0.03%             | 2030-07-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| J M Smucker Co. (The)                                   | J M Smucker Co. (The)                                                                      | CUSIP: 832696AX6<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32198.71      | 0.00%             | 2033-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M38, Class X2                                                       | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1498290 | PA      | $66312.96      | 0.00%             | 2028-11-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan High Yield Fund                                | JPMorgan High Yield Fund, Class R6                                                         | CUSIP: 4812C0126<br>LEI: 15QB5UY3VV3GNSMNPX63 | Long             |  | RF                | US        |  18694032 | NS      | $122445908.41  | 3.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                      | Columbia Pipelines Holding Co. LLC                                                         | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    192000 | PA      | $194360.16     | 0.01%             | 2034-01-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                              | F&G Annuities & Life, Inc.                                                                 | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $56709.30      | 0.00%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    322000 | PA      | $229547.32     | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGDR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220478 | PA      | $204281.40     | 0.01%             | 2033-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KFQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286310 | PA      | $241763.15     | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                          | Public Service Co. of Oklahoma                                                             | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29945.96      | 0.00%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                      | Macquarie Airfinance Holdings Ltd.                                                         | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $74949.60      | 0.00%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                  | Oportun Issuance Trust, Series 2025-A, Class C                                             | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100006.48     | 0.00%             | 2033-02-08      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                             | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    275000 | PA      | $280733.91     | 0.01%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Northern States Power Co.                               | Northern States Power Co.                                                                  | CUSIP: 665772CX5<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92182.46      | 0.00%             | 2053-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                         | NGPL PipeCo LLC                                                                            | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35634.10      | 0.00%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HVBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $92565.47      | 0.00%             | 2031-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                             | Nationwide Building Society                                                                | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $256009.55     | 0.01%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140L2YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152055 | PA      | $134020.86     | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2024-SFR1, Class D                                                      | CUSIP: 00179CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $314048.86     | 0.01%             | 2041-07-17      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                               | HINNT LLC, Series 2024-A, Class B                                                          | CUSIP: 40472QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204968 | PA      | $208059.89     | 0.01%             | 2043-03-15      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                    | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $254560.70     | 0.01%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                                     | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $54767.25      | 0.00%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR3, Class C                                      | CUSIP: 74331VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $267446.37     | 0.01%             | 2041-06-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HT2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290000 | PA      | $285523.44     | 0.01%             | 2026-08-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                             | Intel Corp.                                                                                | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35274.06      | 0.00%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust, Series 2021-2A, Class C                                          | CUSIP: 67578AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355000 | PA      | $349639.71     | 0.01%             | 2029-05-21      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    369000 | PA      | $350550.00     | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D                      | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $617939.21     | 0.02%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2016-2, Class AA                              | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105011 | PA      | $100650.25     | 0.00%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                    | Columbia Pipelines Operating Co. LLC                                                       | CUSIP: 19828TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     93000 | PA      | $86031.49      | 0.00%             | 2054-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                         | Accelerated LLC, Series 2021-1H, Class B                                                   | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32652 | PA      | $30448.37      | 0.00%             | 2040-10-20      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| DNB Bank ASA                                            | DNB Bank ASA                                                                               | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    305000 | PA      | $308410.54     | 0.01%             | 2030-11-05      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| DataBank Issuer                                         | DataBank Issuer, Series 2021-1A, Class A2                                                  | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $259219.93     | 0.01%             | 2051-02-27      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XPTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495963 | PA      | $434321.31     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                            | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $840913.33     | 0.03%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                | AEP Transmission Co. LLC                                                                   | CUSIP: 00115AAQ2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57798.95      | 0.00%             | 2053-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132DNQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474275 | PA      | $414814.96     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Interstate Power and Light Co.                          | Interstate Power and Light Co.                                                             | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53910.65      | 0.00%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140JVQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75235 | PA      | $71601.40      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                         | CUSIP: 05964HBF1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $203679.38     | 0.01%             | 2028-07-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                        | DTE Electric Co., Series B                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     45000 | PA      | $33072.55      | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LDGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59943 | PA      | $52420.29      | 0.00%             | 2031-05-01      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                          | WP Carey, Inc.                                                                             | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     36000 | PA      | $31654.31      | 0.00%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                             | Intel Corp.                                                                                | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     70000 | PA      | $41586.10      | 0.00%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    147000 | PA      | $126465.94     | 0.00%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $764423.44     | 0.02%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co., Series C                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    150000 | PA      | $108794.58     | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     53000 | PA      | $52989.30      | 0.00%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                | Safehold GL Holdings LLC                                                                   | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |     80000 | PA      | $69662.27      | 0.00%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                      | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30820.16      | 0.00%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    259000 | PA      | $259126.91     | 0.01%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                         | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    405950 | PA      | $351296.73     | 0.01%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $656775.00     | 0.02%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                       | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    240000 | PA      | $246080.67     | 0.01%             | 2029-04-04      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-H13, Class FT                                                            | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9501 | PA      | $9529.79       | 0.00%             | 2066-05-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                            | Drive Auto Receivables Trust, Series 2024-1, Class C                                       | CUSIP: 26208WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $126730.91     | 0.00%             | 2031-11-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1645000 | PA      | $1469383.40    | 0.05%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $84861.30      | 0.00%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2025-18, Class MA                                                      | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700494 | PA      | $575133.08     | 0.02%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                | PRET LLC, Series 2021-RN4, Class A1                                                        | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53513 | PA      | $53470.46      | 0.00%             | 2051-10-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                        | BP Capital Markets America, Inc.                                                           | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     44000 | PA      | $26847.07      | 0.00%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    185000 | PA      | $188071.80     | 0.01%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKLJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355000 | PA      | $351839.05     | 0.01%             | 2033-01-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6630000 | PA      | $4903351.16    | 0.15%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    835876 | PA      | $730095.76     | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2023-SFR1, Class D                                      | CUSIP: 74334FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $244565.70     | 0.01%             | 2040-03-17      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| American Water Capital Corp.                            | American Water Capital Corp.                                                               | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    230000 | PA      | $222466.12     | 0.01%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    150000 | PA      | $150905.25     | 0.00%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                        | Jersey Central Power & Light Co., Series WI*                                               | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44866.97      | 0.00%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                    | Analog Devices, Inc.                                                                       | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     46000 | PA      | $33471.93      | 0.00%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                   | NextEra Energy Capital Holdings, Inc.                                                      | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    110000 | PA      | $105799.55     | 0.00%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159506 | PA      | $150767.95     | 0.00%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                | Brookfield Finance, Inc.                                                                   | CUSIP: 11271LAF9<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     62000 | PA      | $42058.21      | 0.00%             | 2051-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class D                             | CUSIP: 64831KAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $297792.88     | 0.01%             | 2039-02-17      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                                 | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    128000 | PA      | $100411.54     | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                      | Macquarie Airfinance Holdings Ltd.                                                         | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    165000 | PA      | $166838.60     | 0.01%             | 2028-03-27      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    184000 | PA      | $157510.85     | 0.00%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                    | Westgate Resorts LLC, Series 2024-1A, Class B                                              | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297576 | PA      | $301630.35     | 0.01%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UXCZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15787 | PA      | $14770.69      | 0.00%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571103 | PA      | $477564.92     | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                       | BAT Capital Corp.                                                                          | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     55000 | PA      | $49181.91      | 0.00%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     18000 | PA      | $13602.05      | 0.00%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132E0CV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753936 | PA      | $722527.89     | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618BJGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93654 | PA      | $93200.61      | 0.00%             | 2063-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3690000 | PA      | $3421466.01    | 0.11%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                      | Evergy Metro, Inc.                                                                         | CUSIP: 30037DAB1<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     89000 | PA      | $88881.80      | 0.00%             | 2033-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                    | FirstKey Homes Trust, Series 2021-SFR2, Class E1                                           | CUSIP: 33767TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $249573.17     | 0.01%             | 2038-09-17      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                    | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $257537.09     | 0.01%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    400000 | PA      | $408876.66     | 0.01%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                               | Commercial Mortgage Trust, Series 2018-HOME, Class A                                       | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $228068.44     | 0.01%             | 2033-04-10      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-32, Class IA                                                             | CUSIP: 38382DPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2713604 | PA      | $490181.68     | 0.02%             | 2047-03-16      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    175000 | PA      | $182166.98     | 0.01%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     84000 | PA      | $61194.75      | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                      | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    130000 | PA      | $132855.06     | 0.00%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2015-H16, Class FG                                                            | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33424 | PA      | $33457.26      | 0.00%             | 2065-07-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                        | Kroger Co. (The)                                                                           | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37970.08      | 0.00%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133397 | PA      | $114846.37     | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XDRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592175 | PA      | $497142.94     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140J2WN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379224 | PA      | $333152.17     | 0.01%             | 2030-12-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121363.35     | 0.00%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                            | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    684000 | PA      | $680899.54     | 0.02%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XBYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107806 | PA      | $90596.14      | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                               | CUSIP: 06738ECS2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    216000 | PA      | $221868.52     | 0.01%             | 2055-03-12      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                 | Entergy Mississippi LLC                                                                    | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100140.33     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Roc Mortgage Trust                                      | Roc Mortgage Trust, Series 2025-RTL1, Class A1                                             | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $195402.95     | 0.01%             | 2040-02-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Ovintiv, Inc.                                           | Ovintiv, Inc.                                                                              | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154866.09     | 0.00%             | 2033-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                      | Union Electric Co.                                                                         | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152473.28     | 0.00%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    265000 | PA      | $266019.38     | 0.01%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                         | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52814.30      | 0.00%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                         | Starbucks Corp.                                                                            | CUSIP: 855244AX7<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |     52000 | PA      | $35072.25      | 0.00%             | 2050-03-12      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                               | RTX Corp.                                                                                  | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     80000 | PA      | $61037.61      | 0.00%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653857 | PA      | $532611.81     | 0.02%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-H14, Class YD                                                            | CUSIP: 38382YFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201506 | PA      | $170643.33     | 0.01%             | 2071-06-20      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                    | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $256890.33     | 0.01%             | 2029-05-30      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF Mortgage Trust, Series 2017-KGX1, Class BFX                                          | CUSIP: 30305QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $117367.13     | 0.00%             | 2027-10-25      | Variable      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                               | KLA Corp.                                                                                  | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    130000 | PA      | $90065.85      | 0.00%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2017-M11, Class A2                                                       | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127663 | PA      | $121932.30     | 0.00%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust        | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class A                   | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $273398.06     | 0.01%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UA5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252362 | PA      | $232283.45     | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                 | MVW LLC, Series 2024-1A, Class B                                                           | CUSIP: 62847RAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102304 | PA      | $103339.38     | 0.00%             | 2043-02-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                | PNC Financial Services Group, Inc. (The)                                                   | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116460.65     | 0.00%             | 2031-05-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520000 | PA      | $513102.14     | 0.02%             | 2032-10-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                           | Comcast Corp.                                                                              | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    180000 | PA      | $166789.72     | 0.01%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A1                                  | CUSIP: 31392B6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12610 | PA      | $12978.45      | 0.00%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533434 | PA      | $447868.09     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                             | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    280000 | PA      | $285337.00     | 0.01%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140XCEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152953 | PA      | $128555.56     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HY4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152063 | PA      | $124141.05     | 0.00%             | 2035-06-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617XRCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206047 | PA      | $187413.49     | 0.01%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                             | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    140000 | PA      | $145419.50     | 0.00%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UGL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365401 | PA      | $325887.85     | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                            | Canadian Pacific Railway Co.                                                               | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |     37000 | PA      | $32634.86      | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                      | Regional Management Issuance Trust, Series 2021-1, Class A                                 | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7956 | PA      | $7939.03       | 0.00%             | 2031-03-17      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-151, Class B                                                             | CUSIP: 38383YP22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150226 | PA      | $117655.35     | 0.00%             | 2052-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                             | Diamond Resorts Owner Trust, Series 2021-1A, Class C                                       | CUSIP: 25273CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28125 | PA      | $27973.00      | 0.00%             | 2033-11-21      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                        | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $205990.81     | 0.01%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QUHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884547 | PA      | $886954.86     | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4065, Class QB                                                        | CUSIP: 3137ARAZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $174061.82     | 0.01%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                               | RTX Corp.                                                                                  | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     70000 | PA      | $43245.95      | 0.00%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    210000 | PA      | $99526.03      | 0.00%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                          | NiSource, Inc.                                                                             | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102658.14     | 0.00%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                      | Union Electric Co.                                                                         | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    163000 | PA      | $124193.24     | 0.00%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust            | American Credit Acceptance Receivables Trust, Series 2024-1, Class D                       | CUSIP: 02531AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $206877.21     | 0.01%             | 2030-05-13      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3622AAAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67093 | PA      | $65764.02      | 0.00%             | 2038-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LGZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345000 | PA      | $343433.80     | 0.01%             | 2029-01-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                  | TotalEnergies Capital International SA                                                     | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     96000 | PA      | $70766.74      | 0.00%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                            | Mizuho Financial Group, Inc.                                                               | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    250000 | PA      | $261182.25     | 0.01%             | 2031-05-27      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                | Tricon Residential Trust, Series 2024-SFR2, Class A                                        | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379265 | PA      | $380242.46     | 0.01%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                                     | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $61420.45      | 0.00%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                          | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74701 | PA      | $75233.00      | 0.00%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QPAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637219 | PA      | $575763.96     | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                 | Pfizer Investment Enterprises Pte. Ltd.                                                    | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    110000 | PA      | $103841.02     | 0.00%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2011-126, Class JB                                                     | CUSIP: 3136A2WH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446104 | PA      | $416253.75     | 0.01%             | 2041-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K140, Class A2            | CUSIP: 3137H6LZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262000 | PA      | $231207.38     | 0.01%             | 2032-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                        | Amazon.com, Inc.                                                                           | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    150000 | PA      | $118369.37     | 0.00%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                            | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    155000 | PA      | $156738.64     | 0.00%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220000 | PA      | $211148.94     | 0.01%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Northern Natural Gas Co.                                | Northern Natural Gas Co.                                                                   | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19240.08      | 0.00%             | 2054-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                        | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351905 | PA      | $306397.82     | 0.01%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5174, Class IG                                                        | CUSIP: 3137H4QT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1768611 | PA      | $227686.44     | 0.01%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LF5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169000 | PA      | $156268.04     | 0.00%             | 2033-03-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| EIDP, Inc.                                              | EIDP, Inc.                                                                                 | CUSIP: 263534CR8<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74644.60      | 0.00%             | 2033-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-61, Class A                                                              | CUSIP: 38379WH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344546 | PA      | $290142.68     | 0.01%             | 2042-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                             | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    170000 | PA      | $172973.83     | 0.01%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 31346Y2X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425738 | PA      | $357706.45     | 0.01%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    304000 | PA      | $312290.84     | 0.01%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                                 | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     76000 | PA      | $51280.84      | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Texas Instruments, Inc.                                 | Texas Instruments, Inc.                                                                    | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    249000 | PA      | $228325.77     | 0.01%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     65000 | PA      | $70309.67      | 0.00%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health, Inc.                          | Beth Israel Lahey Health, Inc., Series L                                                   | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     25000 | PA      | $15384.96      | 0.00%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618BJF98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122626 | PA      | $123896.13     | 0.00%             | 2063-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust, Series 2023-2A, Class A                                          | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156466 | PA      | $163083.97     | 0.01%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Cherry Securitization Trust                             | Cherry Securitization Trust, Series 2024-1A, Class A                                       | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $231453.69     | 0.01%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4950000 | PA      | $3980689.47    | 0.12%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                             | Apple, Inc.                                                                                | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    120000 | PA      | $75059.59      | 0.00%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust, Series 2023-1, Class C                             | CUSIP: 80287GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $120673.18     | 0.00%             | 2030-05-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                            | San Diego Gas & Electric Co.                                                               | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $44044.75      | 0.00%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America Trust, Series 2021-3, Class D                                     | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139718 | PA      | $128462.84     | 0.00%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                 | Hyundai Capital America                                                                    | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99108.09      | 0.00%             | 2029-09-26      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| AHS Hospital Corp.                                      | AHS Hospital Corp.                                                                         | CUSIP: 001306AB5<br>LEI: 549300D7W3C9Z4RGJG34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37139.55      | 0.00%             | 2045-07-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175258 | PA      | $147061.65     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133WCG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    667904 | PA      | $696146.05     | 0.02%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders Emerging Markets Equity ETF       | JPMorgan BetaBuilders Emerging Markets Equity ETF                                          | CUSIP: 46654Q807<br>LEI: 549300WEJ5UQZ8KRFS08 | Long             |  | RF                | US        |   1829957 | NS      | $106448598.69  | 3.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                             | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    125000 | PA      | $111966.45     | 0.00%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust, Series 2021-A, Class A                                                 | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404100 | PA      | $371851.23     | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                            | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $654987.39     | 0.02%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| PPL Capital Funding, Inc.                               | PPL Capital Funding, Inc.                                                                  | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70562.85      | 0.00%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund              | JPMorgan U.S. Government Money Market Fund, Class IM                                       | CUSIP: 4812C2270<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | STIV             | RF                | US        |  51786371 | NS      | $51786371.47   | 1.59%             |  |  |  | No            |                  1 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2019-2, Class B                                 | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39348 | PA      | $37837.52      | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                               | PG&E Recovery Funding LLC, Series A-2                                                      | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1031228.42    | 0.03%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                          | Hewlett Packard Enterprise Co.                                                             | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194003.68     | 0.01%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.          | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-2 | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     55000 | PA      | $55555.78      | 0.00%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49716 | PA      | $47698.34      | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2022-M3, Class A2                                                        | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185000 | PA      | $157617.06     | 0.00%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding LLC                            | Purchasing Power Funding LLC, Series 2024-A, Class B                                       | CUSIP: 745935AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $196349.11     | 0.01%             | 2028-08-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust, Series 2024-2A, Class B                                          | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97321 | PA      | $97106.65      | 0.00%             | 2050-03-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust, Series 2021-AA, Class A                                    | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195000 | PA      | $188839.64     | 0.01%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVII LLC                                          | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                 | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38577 | PA      | $38539.24      | 0.00%             | 2051-04-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HSTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $789253.52     | 0.02%             | 2029-02-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                    | Charter Communications Operating LLC                                                       | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $24956.70      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                    | Coterra Energy, Inc.                                                                       | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    115000 | PA      | $113835.41     | 0.00%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103694 | PA      | $100126.05     | 0.00%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132DSJL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476851 | PA      | $400639.25     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                | Sierra Timeshare Receivables Funding LLC, Series 2021-2A, Class B                          | CUSIP: 82652RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15487 | PA      | $15176.08      | 0.00%             | 2038-09-20      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                 | DuPont de Nemours, Inc.                                                                    | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    304000 | PA      | $314682.72     | 0.01%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                        | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2599000 | PA      | $1369246.61    | 0.04%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617F2PL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130196 | PA      | $128110.85     | 0.00%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                             | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $205363.42     | 0.01%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3133BAZA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57656 | PA      | $54119.31      | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                               | FHF Trust, Series 2023-1A, Class A2                                                        | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65201 | PA      | $65746.41      | 0.00%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138L3KY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101049 | PA      | $103111.73     | 0.00%             | 2028-03-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KT3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352491 | PA      | $332349.94     | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                            | CaixaBank SA                                                                               | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $204823.58     | 0.01%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $308798.00     | 0.01%             | 2029-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                             | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    148000 | PA      | $122690.59     | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                      | F&G Global Funding                                                                         | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204414.01     | 0.01%             | 2027-06-10      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                  | Northrop Grumman Corp.                                                                     | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     90000 | PA      | $70991.51      | 0.00%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                            | Kenvue, Inc.                                                                               | CUSIP: 49177JAR3<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64760.23      | 0.00%             | 2063-03-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust               | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C                         | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $331956.43     | 0.01%             | 2032-01-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2021-SFR2, Class E2                                                     | CUSIP: 00179VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $96510.06      | 0.00%             | 2038-08-17      | Fixed         | 2.58%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                         | NYMT Loan Trust, Series 2024-BPL3, Class A1                                                | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $184345.06     | 0.01%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2025-3A, Class C                               | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    535000 | PA      | $540555.28     | 0.02%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2024-SFR2, Class D                                                      | CUSIP: 00179UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240000 | PA      | $226142.86     | 0.01%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                               | HINNT LLC, Series 2022-A, Class B                                                          | CUSIP: 40486JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193044 | PA      | $191624.78     | 0.01%             | 2041-05-15      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR4, Class C                                      | CUSIP: 74334JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $525913.81     | 0.02%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                         | Republic Finance Issuance Trust, Series 2024-A, Class A                                    | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $608766.30     | 0.02%             | 2032-08-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HXJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363443 | PA      | $323278.83     | 0.01%             | 2032-03-01      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR5, Class D                                      | CUSIP: 74332HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $206796.92     | 0.01%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                          | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $307655.35     | 0.01%             | 2035-01-23      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2016-3, Class AA                              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72393 | PA      | $68475.78      | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJVF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205751 | PA      | $210250.35     | 0.01%             | 2031-06-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                              | DOC DR LLC                                                                                 | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22056.23      | 0.00%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                         | Eastern Energy Gas Holdings LLC                                                            | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62003.05      | 0.00%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Ultra Note                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        77 | NC      | $216937.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Lendmark Funding Trust                                  | Lendmark Funding Trust, Series 2024-1A, Class B                                            | CUSIP: 52603DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $203469.92     | 0.01%             | 2032-06-21      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Darden Restaurants, Inc.                                | Darden Restaurants, Inc.                                                                   | CUSIP: 237194AQ8<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149566.38     | 0.00%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                         | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75810 | PA      | $67720.41      | 0.00%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LJM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265883 | PA      | $269749.58     | 0.01%             | 2027-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    310000 | PA      | $317175.68     | 0.01%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2024-57, Class PT                                                             | CUSIP: 38384NCN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    661790 | PA      | $646228.51     | 0.02%             | 2064-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                       | Duke Energy Corp.                                                                          | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71196.05      | 0.00%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UHAE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336115 | PA      | $306982.64     | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                        | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74522 | PA      | $64100.69      | 0.00%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                             | Ocwen Loan Investment Trust, Series 2024-HB1, Class M2                                     | CUSIP: 675952AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $338329.48     | 0.01%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Southern California Gas Co.                             | Southern California Gas Co.                                                                | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    125000 | PA      | $133934.36     | 0.00%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UXC59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30161 | PA      | $28345.57      | 0.00%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                    | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $256172.02     | 0.01%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Massachusetts Electric Co.                              | Massachusetts Electric Co.                                                                 | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     13000 | PA      | $10284.10      | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                          | Enterprise Fleet Financing LLC, Series 2024-1, Class A3                                    | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101879.88     | 0.00%             | 2030-09-20      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                      | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    130000 | PA      | $135423.32     | 0.00%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $269032.61     | 0.01%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                   | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                          | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $129997.39     | 0.00%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  3 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                      | Columbia Pipelines Holding Co. LLC                                                         | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     44000 | PA      | $44190.81      | 0.00%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617W0AP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67572 | PA      | $59797.65      | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders International Equity ETF          | JPMorgan BetaBuilders International Equity ETF                                             | CUSIP: 46641Q373<br>LEI: 549300BU8GZGI7U5FB20 | Long             |  | RF                | US        |   8359799 | NS      | $564286432.50  | 17.37%            |  |  |  | No            |                  1 | On Loan: No      |
| VOLT XCIX LLC                                           | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                                  | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19928 | PA      | $19916.95      | 0.00%             | 2051-04-25      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                    | Otis Worldwide Corp.                                                                       | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     86000 | PA      | $66047.56      | 0.00%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    205000 | PA      | $197616.80     | 0.01%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581310 | PA      | $490968.48     | 0.02%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                           | AIB Group plc                                                                              | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $203508.25     | 0.01%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                             | Business Jet Securities LLC, Series 2022-1A, Class A                                       | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85233 | PA      | $83777.84      | 0.00%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2012-H31, Class FD                                                            | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37576 | PA      | $37559.18      | 0.00%             | 2062-12-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238111 | PA      | $200415.30     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                  | Oportun Issuance Trust, Series 2025-A, Class B                                             | CUSIP: 68377TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $104906.85     | 0.00%             | 2033-02-08      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC               | Consumers 2023 Securitization Funding LLC, Series A2                                       | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    217000 | PA      | $222735.85     | 0.01%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                    | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                           | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99253.84      | 0.00%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     95000 | PA      | $95356.25      | 0.00%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                       | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    305945 | PA      | $285548.39     | 0.01%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138LJTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96916 | PA      | $89692.52      | 0.00%             | 2032-07-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR Trust, Series 2020-SFR2, Class E1                                                     | CUSIP: 00178UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202000 | PA      | $201520.82     | 0.01%             | 2037-07-17      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Sierra Pacific Power Co.                                | Sierra Pacific Power Co.                                                                   | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60069.96      | 0.00%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC, Series 2024-2A, Class B                          | CUSIP: 05377RJH8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $289240.26     | 0.01%             | 2028-10-20      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust, Series 2024-2A, Class B                                      | CUSIP: 43283JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307719 | PA      | $312300.32     | 0.01%             | 2038-03-25      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7V96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202046 | PA      | $178793.76     | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                     | Emera US Finance LP                                                                        | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    172000 | PA      | $143001.31     | 0.00%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                       | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    215710 | PA      | $201987.41     | 0.01%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130000 | PA      | $119765.43     | 0.00%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140X6PC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127328 | PA      | $112921.45     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                     | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73369 | PA      | $73363.80      | 0.00%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                        | FHF Issuer Trust, Series 2024-1A, Class B                                                  | CUSIP: 31568AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $242482.94     | 0.01%             | 2030-03-15      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UP4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412563 | PA      | $358969.98     | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital Services, Inc.                          | Hyundai Capital Services, Inc.                                                             | CUSIP: 44920UAV0<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |    200000 | PA      | $201976.00     | 0.01%             | 2029-02-05      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Plains All American Pipeline LP                         | Plains All American Pipeline LP                                                            | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128504.80     | 0.00%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FREMF 2017-K67 Mortgage Trust                           | FREMF Mortgage Trust, Series 2017-K67, Class C                                             | CUSIP: 30300YAU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $366841.54     | 0.01%             | 2049-09-25      | Variable      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| Biogen, Inc.                                            | Biogen, Inc.                                                                               | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82385.46      | 0.00%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    961531 | PA      | $763266.63     | 0.02%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                          | DTE Energy Co.                                                                             | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203939.44     | 0.01%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140NUG37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345714 | PA      | $355903.16     | 0.01%             | 2035-08-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223798 | PA      | $201051.31     | 0.01%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LEXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $454316.57     | 0.01%             | 2029-10-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     50000 | PA      | $34967.13      | 0.00%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                 | Uber Technologies, Inc.                                                                    | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63845.37      | 0.00%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                             | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $208060.79     | 0.01%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                               | Williams Cos., Inc. (The)                                                                  | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     85000 | PA      | $87375.21      | 0.00%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617V7VT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51612 | PA      | $45672.20      | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                          | Baltimore Gas and Electric Co.                                                             | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    185000 | PA      | $176424.28     | 0.01%             | 2053-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                  | NXP BV                                                                                     | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $29871.00      | 0.00%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                             | Cheniere Energy Partners LP                                                                | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55432.42      | 0.00%             | 2035-10-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America     | Teachers Insurance & Annuity Association of America                                        | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56827.01      | 0.00%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC Trust, Whole Loan, Series 2002-W3, Class A4                                    | CUSIP: 31392CT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119429 | PA      | $121641.14     | 0.00%             | 2041-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                          | Enbridge, Inc.                                                                             | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $154112.27     | 0.00%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust             | Seasoned Loans Structured Transaction Trust, Series 2025-1, Class A1                       | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    741493 | PA      | $678344.37     | 0.02%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                  | Home Depot, Inc. (The)                                                                     | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     45000 | PA      | $32754.47      | 0.00%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                | PNC Financial Services Group, Inc. (The)                                                   | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    266000 | PA      | $267323.78     | 0.01%             | 2034-01-24      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                              | Occidental Petroleum Corp.                                                                 | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50160.80      | 0.00%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2024-1A, Class D                               | CUSIP: 30167PAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254775.35     | 0.01%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                      | ConocoPhillips Co.                                                                         | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    170000 | PA      | $161299.22     | 0.00%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2024-SFR3, Class D                                      | CUSIP: 74331VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $603404.75     | 0.02%             | 2041-06-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140FXS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486871 | PA      | $411203.21     | 0.01%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA ACES, Series 2020-M50, Class A2                                                       | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122688 | PA      | $116190.95     | 0.00%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2050000 | PA      | $2052562.50    | 0.06%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                        | SLG Office Trust, Series 2021-OVA, Class A                                                 | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $171033.47     | 0.01%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                    | Entergy Arkansas LLC                                                                       | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69334.09      | 0.00%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC UMBS, 30 Year                                                                        | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    874969 | PA      | $734403.79     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140A0PK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158833 | PA      | $162679.73     | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     62000 | PA      | $64266.10      | 0.00%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                               | UDR, Inc.                                                                                  | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     88000 | PA      | $72885.93      | 0.00%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust, Series 2019-1A, Class B                             | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $223596.23     | 0.01%             | 2028-11-14      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                      | T-Mobile USA, Inc.                                                                         | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89522.70      | 0.00%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C                       | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    154074 | PA      | $141392.32     | 0.00%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                      | Crown Castle, Inc.                                                                         | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36238.37      | 0.00%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                               | PG&E Recovery Funding LLC, Series A-3                                                      | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $63054.55      | 0.00%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                     | Brown & Brown, Inc.                                                                        | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    292000 | PA      | $257034.30     | 0.01%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Reach Abs Trust                                         | Reach ABS Trust, Series 2024-1A, Class B                                                   | CUSIP: 75526PAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190000 | PA      | $192076.99     | 0.01%             | 2031-02-18      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221931 | PA      | $184956.72     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                     | Bank of New York Mellon Corp. (The)                                                        | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     60000 | PA      | $66070.33      | 0.00%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2019-85, Class QY                                                             | CUSIP: 38381XMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $214724.13     | 0.01%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M55D                       | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    227539 | PA      | $213018.85     | 0.01%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140J2H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108926 | PA      | $95878.13      | 0.00%             | 2030-03-01      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders U.S. Small Cap Equity ETF         | JPMorgan BetaBuilders U.S. Small Cap Equity ETF                                            | CUSIP: 46641Q290<br>LEI: 549300LKK9I7ORHNOS29 | Long             |  | RF                | US        |    952702 | NS      | $62859277.96   | 1.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust, Series 2024-2, Class C                             | CUSIP: 80286YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $490774.70     | 0.02%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                | Marvell Technology, Inc.                                                                   | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $200353.66     | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2024-1, Class AA                                | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335059 | PA      | $338147.76     | 0.01%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                            | CaixaBank SA                                                                               | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $202051.40     | 0.01%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2620000 | PA      | $2633509.38    | 0.08%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                               | HCA, Inc.                                                                                  | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23231.52      | 0.00%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                     | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    185000 | PA      | $185115.74     | 0.01%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                            | Oracle Corp.                                                                               | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    130000 | PA      | $102485.86     | 0.00%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Evergy Missouri West Storm Funding I LLC                | Evergy Missouri West Storm Funding I LLC, Series A-1                                       | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225849 | PA      | $225795.03     | 0.01%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2013-82, Class WI                                                             | CUSIP: 38378TEH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    994684 | PA      | $113644.09     | 0.00%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                        | Boeing Co. (The)                                                                           | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    664000 | PA      | $645369.83     | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2012-108, Class PL                                                     | CUSIP: 3136A8P53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121619 | PA      | $111515.40     | 0.00%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140LKK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165000 | PA      | $165686.40     | 0.01%             | 2033-05-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                               | BXP Trust, Series 2017-GM, Class A                                                         | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $164428.47     | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                              | TransCanada PipeLines Ltd.                                                                 | CUSIP: 89352HAB5<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $154671.70     | 0.00%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                     | Constellation Energy Generation LLC                                                        | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39997.55      | 0.00%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                               | Williams Cos., Inc. (The)                                                                  | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24964.42      | 0.00%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3618BQP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262306 | PA      | $268805.16     | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140A8TL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623910 | PA      | $639344.85     | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     13000 | PA      | $12682.67      | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                   | Public Service Enterprise Group, Inc.                                                      | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81752.42      | 0.00%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential Trust, Series 2025-SFR3, Class C                                      | CUSIP: 74334BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315000 | PA      | $286496.37     | 0.01%             | 2030-07-17      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                           | Duquesne Light Holdings, Inc.                                                              | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17245.61      | 0.00%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                              | COPT Defense Properties LP                                                                 | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     54000 | PA      | $47762.59      | 0.00%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                  | Dell International LLC                                                                     | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $286189.85     | 0.01%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                            | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    268000 | PA      | $239514.61     | 0.01%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust               | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class MT                         | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    211973 | PA      | $180626.85     | 0.01%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Other                                                                             | CUSIP: 3618BB6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204990 | PA      | $182340.74     | 0.01%             | 2062-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, 30 Year                                                                           | CUSIP: 3617UXCF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41845 | PA      | $37856.15      | 0.00%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                  | Crossroads Asset Trust, Series 2025-A, Class A2                                            | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185000 | PA      | $185440.78     | 0.01%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                      | Northwestern Mutual Global Funding                                                         | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37339.27      | 0.00%             | 2028-06-01      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| Synopsys, Inc.                                          | Synopsys, Inc.                                                                             | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124282.30     | 0.00%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335000 | PA      | $310772.47     | 0.01%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    385000 | PA      | $388347.29     | 0.01%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Corebridge Global Funding                               | Corebridge Global Funding                                                                  | CUSIP: 00138CAV0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62688.89      | 0.00%             | 2028-09-19      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                                | CUSIP: 3140HVFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $92112.74      | 0.00%             | 2031-08-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                         | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153673.50     | 0.00%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                             | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64005.43      | 0.00%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan BetaBuilders MSCI US REIT ETF                  | JPMorgan BetaBuilders MSCI US REIT ETF                                                     | CUSIP: 46641Q738<br>LEI: 549300UDD0DL9T2E4I67 | Long             |  | RF                | US        |    469267 | NS      | $43224183.37   | 1.33%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3645000 | PA      | $3626490.25    | 0.11%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                        | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1930000 | PA      | $1884388.68    | 0.06%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** JPMorgan Trust I

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer