# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0001752724-23-010115
**Filing Date:** 2023-1
**Character Count:** 428662
**Document Hash:** 6dd85e04e602ecbaf0cb7e6ada98dc68
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-010115.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001752724-23-010115

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** WESTERN ASSET FUNDS INC
- **CENTRAL INDEX KEY:** 0000863520
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 23549129

**BUSINESS ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-454-2760

**MAIL ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **STREET 2:** 7TH FLOOR
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LM INSTITUTIONAL FUND ADVISORS I INC
- **DATE OF NAME CHANGE:** 19980818

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Western Asset Intermediate Bond Fund (Series ID: S000000711)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002076 | Class I      | WATIX           |
| C000066986 | Class IS     | WABSX           |
| C000113698 | CLASS A      | WATAX           |
| C000113699 | CLASS C      | WATCX           |
| C000113700 | CLASS R      | WATRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Western Asset Funds Inc

- **b. Investment Company Act file number:** 811-06110

- **c. CIK number of Registrant:** 0000863520

- **d. LEI of Registrant:** 5493004NC00X8WKL1P34

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-721-1926

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

- **a. Name of Series:** Western Asset Intermediate Bond Fund

- **b. EDGAR series identifier (if any):** S000000711

- **c. LEI of Series:** 549300NZV8UE1KQUNO03

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $805833047.86

**Total Liabilities:** $51800096.37

**Net Assets:** $754032951.49

**Delayed Delivery Securities:** $2771296.31

**Stand-by Commitments:** $33505255.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2741.45000000 | **1-Year:** 55297.14000000 | **5-Year:** 145028.26000000 | **10-Year:** 12884.20000000 | **30-Year:** -24570.27000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000066986 | -3.36%               | -0.59%               | 2.73%                |
| Class ID C000002076 | -3.37%               | -0.60%               | 2.73%                |
| Class ID C000113699 | -3.55%               | -0.58%               | 2.64%                |
| Class ID C000113700 | -3.52%               | -0.55%               | 2.67%                |
| Class ID C000113698 | -3.39%               | -0.63%               | 2.81%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1559438.17             | $-29838464.74                              |
| Month 2  | $-2583356.54             | $-8980188.12                               |
| Month 3  | $-1921243.09             | $23299266.21                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| TSMC ARIZONA CORP                                       | TSMC Arizona Corp                                                               | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1037853.00   | 0.14%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1160000 | PA      | $1062413.57   | 0.14%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $710181.45    | 0.09%             | 2034-09-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369099 | PA      | $321123.86    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1220000 | PA      | $1182875.78   | 0.16%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS CAPITAL II                                | Goldman Sachs Capital II                                                        | CUSIP: 381427AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     71000 | PA      | $54137.50     | 0.01%             | N/A             | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                          | Salesforce Inc                                                                  | CUSIP: 79466LAF1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $241800.78    | 0.03%             | 2028-04-11      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                        | ABN AMRO Bank NV                                                                | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    310000 | PA      | $297880.71    | 0.04%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                    | Colombia Government International Bond                                          | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    920000 | PA      | $659391.60    | 0.09%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378KTM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4139613 | PA      | $44129.93     | 0.01%             | 2047-04-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     70000 | PA      | $65295.41     | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $292468.88    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                               | Apple Inc                                                                       | CUSIP: 037833DB3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    850000 | PA      | $804164.91    | 0.11%             | 2027-09-12      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    720000 | PA      | $641160.57    | 0.09%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                | Constellation Brands Inc                                                        | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48907.82     | 0.01%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                   | Republic Services Inc                                                           | CUSIP: 760759AQ3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    750000 | PA      | $721071.43    | 0.10%             | 2025-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B57A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414650 | PA      | $373315.71    | 0.05%             | 2029-09-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                         | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    979207 | PA      | $938328.86    | 0.12%             | 2037-01-16      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1430000 | PA      | $1377283.59   | 0.18%             | 2025-03-28      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99575 | PA      | $97076.37     | 0.01%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                                  | Credit Agricole SA/London                                                       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $362685.65    | 0.05%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 9128286X3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1190000 | PA      | $1117158.98   | 0.15%             | 2026-05-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Private Education Loan Trust 2010-C                                         | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |    389197 | PA      | $416191.17    | 0.06%             | 2041-10-15      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                      | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    790000 | PA      | $733918.37    | 0.10%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193345 | PA      | $187257.07    | 0.02%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $799580.34    | 0.11%             | 2023-04-12      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ING BANK NV                                             | ING Bank NV                                                                     | CUSIP: 44986L2A6<br>LEI: 3TK20IVIUJ8J3ZU0QE75 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $999844.12    | 0.13%             | 2022-12-05      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96097 | PA      | $88914.50     | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   1070000 | PA      | $962435.35    | 0.13%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    484000 | PA      | $470962.55    | 0.06%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1230000 | PA      | $1152212.22   | 0.15%             | 2041-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    270000 | PA      | $250907.54    | 0.03%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $909619.29    | 0.12%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2017-4                                                | CUSIP: 89173UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $796318.34    | 0.11%             | 2057-06-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94966 | PA      | $85640.29     | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Student Loan Trust 2016-3                                               | CUSIP: 63940HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1481084 | PA      | $1460044.72   | 0.19%             | 2065-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                          | Golub Capital Partners Clo 25M Ltd                                              | CUSIP: 38175NAA6<br>LEI: 254900XWTZJ46JGSP919 | Long             | ABS-CBDO         | CORP              | KY        |    899671 | PA      | $886723.76    | 0.12%             | 2030-05-05      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1400000 | PA      | $1392998.87   | 0.18%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1379555 | PA      | $1364501.28   | 0.18%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AE3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1727871.25   | 0.23%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                          | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065191 | PA      | $833500.09    | 0.11%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                     | Otis Worldwide Corp                                                             | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    220000 | PA      | $206246.16    | 0.03%             | 2025-04-05      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1400000 | PA      | $1316690.51   | 0.17%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $836296.88    | 0.11%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ELCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377464 | PA      | $372821.21    | 0.05%             | 2043-05-01      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16905000 | PA      | $12213202.19  | 1.62%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    750000 | PA      | $705673.72    | 0.09%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note                          | Toyota Auto Loan Extended Note Trust 2021-1                                     | CUSIP: 89237MAA7<br>LEI: 54930055QDKD6LCRW256 | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $473828.35    | 0.06%             | 2034-02-27      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     40000 | PA      | $34369.19     | 0.00%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912828YG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    220000 | PA      | $202026.17    | 0.03%             | 2026-09-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2180000 | PA      | $2126819.25   | 0.28%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                             | PepsiCo Inc                                                                     | CUSIP: 713448EY0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    560000 | PA      | $551195.74    | 0.07%             | 2023-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -22 | NC      | $-3437.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Equity Loan T                          | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                            | CUSIP: 12668FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377840 | PA      | $345974.53    | 0.05%             | 2037-01-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    250000 | PA      | $199230.24    | 0.03%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Zais CLO 13, Limited                                    | Zais Clo 13 Ltd                                                                 | CUSIP: 98876NAA2<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |    602500 | PA      | $579906.25    | 0.08%             | 2032-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    690000 | PA      | $644259.00    | 0.09%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    720000 | PA      | $672812.30    | 0.09%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $910006.01    | 0.12%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                 | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   1120000 | PA      | $761935.61    | 0.10%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95861 | PA      | $91382.53     | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                          | Countrywide Home Equity Loan Trust                                              | CUSIP: 126686AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371169 | PA      | $325574.24    | 0.04%             | 2036-11-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1048627.25   | 0.14%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    911000 | PA      | $886209.89    | 0.12%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                     | Carrier Global Corp                                                             | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    240000 | PA      | $204978.92    | 0.03%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                          | WFRBS Commercial Mortgage Trust 2014-C23                                        | CUSIP: 92939HBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4578217 | PA      | $34892.43     | 0.00%             | 2057-10-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BXRT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590000 | PA      | $563727.54    | 0.07%             | 2027-03-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4260000 | PA      | $2802780.48   | 0.37%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                          | Microsoft Corp                                                                  | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1180820.52   | 0.16%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386872 | PA      | $357959.03    | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94115 | PA      | $82283.15     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $973671.87    | 0.13%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $194425.12    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDJ8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149151.57    | 0.02%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AH6<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    260000 | PA      | $249169.71    | 0.03%             | 2025-03-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                                               | CUSIP: 26875PAP6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    740000 | PA      | $730110.88    | 0.10%             | 2026-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137B2DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241321 | PA      | $18155.23     | 0.00%             | 2042-09-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95763.72     | 0.01%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                         | Chevron USA Inc                                                                 | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    490000 | PA      | $455598.80    | 0.06%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257675 | PA      | $224348.72    | 0.03%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98955 | PA      | $77499.99     | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $37133.97     | 0.00%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1106473.26   | 0.15%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523BX7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    820000 | PA      | $802719.82    | 0.11%             | 2024-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95335 | PA      | $79361.29     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    370000 | PA      | $295966.49    | 0.04%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                             | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1073299.81   | 0.14%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2101558.78   | 0.28%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    240000 | PA      | $228468.44    | 0.03%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                              | KeyCorp Student Loan Trust 2006-A                                               | CUSIP: 49327HAH8<br>LEI: 254900QO9Y4JHZFBGC87 | Long             | ABS-O            | CORP              | US        |    322084 | PA      | $319487.02    | 0.04%             | 2041-12-27      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   2160000 | PA      | $2005532.61   | 0.27%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2019-BPR                                         | CUSIP: 61769GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1692198 | PA      | $1615496.28   | 0.21%             | 2036-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $320646.53    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2021-FL7 Ltd                                                                | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $2008930.56   | 0.27%             | 2036-10-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    530000 | PA      | $464154.46    | 0.06%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    380000 | PA      | $298885.60    | 0.04%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                            | Ares LXIII CLO Ltd                                                              | CUSIP: 039937AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1340000 | PA      | $1300281.02   | 0.17%             | 2035-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    370000 | PA      | $351110.40    | 0.05%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $809237.98    | 0.11%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                          | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $952615.85    | 0.13%             | 2049-05-10      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -840 | NC      | $1063253.52   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    740000 | PA      | $728231.83    | 0.10%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                | Constellation Brands Inc                                                        | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    420000 | PA      | $411915.67    | 0.05%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                 | HalseyPoint CLO 3 Ltd                                                           | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    560000 | PA      | $551309.40    | 0.07%             | 2032-11-30      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163064 | PA      | $144618.71    | 0.02%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                  | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    480000 | PA      | $469520.31    | 0.06%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                | OCP SA                                                                          | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    550000 | PA      | $538758.00    | 0.07%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                             | Walmart Inc                                                                     | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    140000 | PA      | $121134.72    | 0.02%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                 | Procter & Gamble Co/The                                                         | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |    260000 | PA      | $239060.17    | 0.03%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    750000 | PA      | $690638.55    | 0.09%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92595 | PA      | $84989.68     | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617YQ2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86529 | PA      | $80359.57     | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    116000 | PA      | $107945.08    | 0.01%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                        | Coca-Cola Co/The                                                                | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    520000 | PA      | $462768.10    | 0.06%             | 2027-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1207993.02   | 0.16%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87165 | PA      | $75932.16     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2018-2                                                  | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4309 | PA      | $4228.50      | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                          | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1                      | CUSIP: 59020UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95677 | PA      | $87427.88     | 0.01%             | 2034-02-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -400000 | PA      | $-404275.24   | -0.05%            | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                          | Bear Stearns Asset Backed Securities Trust 2004-SD2                             | CUSIP: 07384YTK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241536 | PA      | $233632.05    | 0.03%             | 2044-03-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    290000 | PA      | $240743.24    | 0.03%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168862 | PA      | $152158.89    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    870000 | PA      | $883666.53    | 0.12%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                   | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18609.92     | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    115000 | PA      | $108293.21    | 0.01%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92036 | PA      | $79700.89     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        13 | NC      | $-47639.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BD5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3470000 | PA      | $3399298.99   | 0.45%             | 2024-03-07      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                               | Apple Inc                                                                       | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1097197.83   | 0.15%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MJ7H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189923 | PA      | $176124.85    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $400325.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    790000 | PA      | $711624.18    | 0.09%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -166 | NC      | $-1037.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    360000 | PA      | $337647.84    | 0.04%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                         | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    350000 | PA      | $299395.48    | 0.04%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -600000 | PA      | $-597093.75   | -0.08%            | 2050-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                             | United States Treasury Strip Principal                                          | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5220000 | PA      | $1901260.14   | 0.25%             | 2049-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1600221.15   | 0.21%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                    | Colombia Government International Bond                                          | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   2200000 | PA      | $1463710.95   | 0.19%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    210000 | PA      | $166441.65    | 0.02%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2455762 | PA      | $72643.89     | 0.01%             | 2029-03-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $500276.56    | 0.07%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                            | Point Au Roche Park CLO Ltd                                                     | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1593994.02   | 0.21%             | 2034-07-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19532 | PA      | $2242.31      | 0.00%             | 2043-06-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94700 | PA      | $81839.07     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHR3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    660000 | PA      | $642703.80    | 0.09%             | 2025-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                               | Amgen Inc                                                                       | CUSIP: 031162BV1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    120000 | PA      | $118138.02    | 0.02%             | 2024-05-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    160000 | PA      | $130268.02    | 0.02%             | 2030-06-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                             | Apache Corp                                                                     | CUSIP: 037411BF1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |    180000 | PA      | $162000.00    | 0.02%             | 2030-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    700000 | PA      | $579756.55    | 0.08%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                                  | Export-Import Bank of India                                                     | CUSIP: 30216JAA3<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    660000 | PA      | $615303.14    | 0.08%             | 2026-08-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    840000 | PA      | $701231.34    | 0.09%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                      | Diageo Capital PLC                                                              | CUSIP: 25243YAY5<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $218132.93    | 0.03%             | 2023-09-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHEY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48296 | PA      | $45740.44     | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mortgage Repurchase Agreement                           | Mortgage Repurchase Agreement Financing Trust II Series 2022-1                  | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1152592.10   | 0.15%             | 2025-03-30      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                          | Microsoft Corp                                                                  | CUSIP: 594918BR4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   3060000 | PA      | $2879872.46   | 0.38%             | 2026-08-08      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1842566 | PA      | $1626132.70   | 0.22%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     84000 | PA      | $74701.44     | 0.01%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GRMT Mortgage Loan Trust                                | GRMT Mortgage Loan Trust 2001-1                                                 | CUSIP: 36226MAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14488 | PA      | $14366.41     | 0.00%             | 2031-07-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    600000 | PA      | $551271.31    | 0.07%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98266 | PA      | $93675.00     | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RUSSIAN FEDERATION                                      | Russian Foreign Bond - Eurobond                                                 | CUSIP: 78307ADG5<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    800000 | PA      | $587200.00    | 0.08%             | 2023-09-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97283 | PA      | $87075.78     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93480 | PA      | $78999.21     | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2770000 | PA      | $2489779.04   | 0.33%             | 2027-02-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    420000 | PA      | $377198.79    | 0.05%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1533846 | PA      | $1505844.25   | 0.20%             | 2042-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -181 | NC      | $378655.62    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190000 | PA      | $192441.80    | 0.03%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108607.17    | 0.01%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                                  | CUSIP: 36255TAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2772602 | PA      | $2325191.59   | 0.31%             | 2031-09-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LFY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $93404.97     | 0.01%             | 2032-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $110094.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378BQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1167503 | PA      | $4142.88      | 0.00%             | 2053-04-16      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                     | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245000 | PA      | $1178986.61   | 0.16%             | 2048-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                               | Aetna Inc                                                                       | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1057177.34   | 0.14%             | 2023-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Oasis Securitisation                                    | Oasis Securitization Funding LLC                                                | CUSIP: 67422AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178777 | PA      | $175825.95    | 0.02%             | 2033-02-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -158 | NC      | $-17281.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    130000 | PA      | $104406.05    | 0.01%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        13 | NC      | $2843.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Myers Park CLO LTD                                      | Myers Park CLO Ltd                                                              | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $528482.47    | 0.07%             | 2030-10-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617YKYS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91160 | PA      | $84659.61     | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                                 | Guardian Life Global Funding                                                    | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |    180000 | PA      | $163337.58    | 0.02%             | 2025-06-23      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                | Telefonica Emisiones SA                                                         | CUSIP: 87938WAW3<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    870000 | PA      | $681485.57    | 0.09%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7                   | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    586094 | PA      | $541579.21    | 0.07%             | 2028-05-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58784 | PA      | $50830.11     | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    370000 | PA      | $354302.79    | 0.05%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                              | 3M Co                                                                           | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86130.22     | 0.01%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                | Mill City Mortgage Loan Trust 2019-1                                            | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743509 | PA      | $700324.58    | 0.09%             | 2069-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                       | Chile Government International Bond                                             | CUSIP: 168863DS4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    630000 | PA      | $460904.23    | 0.06%             | 2041-05-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132308 | PA      | $122941.75    | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127520.03    | 0.02%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614583 | PA      | $574378.52    | 0.08%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107404 | PA      | $106549.23    | 0.01%             | 2061-03-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1118163.22   | 0.15%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    620000 | PA      | $591702.60    | 0.08%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    160000 | PA      | $153164.20    | 0.02%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM5 Trust                                                            | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571612 | PA      | $434996.72    | 0.06%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14291 | PA      | $13884.15     | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                         | CLI Funding VIII LLC                                                            | CUSIP: 12565KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1331712 | PA      | $1122212.79   | 0.15%             | 2047-01-18      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                    | MAD Mortgage Trust 2017-330M                                                    | CUSIP: 55282MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $587107.40    | 0.08%             | 2034-08-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                            | Hardee's Funding LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523375 | PA      | $416322.67    | 0.06%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617F4R88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96420 | PA      | $89545.58     | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310573 | PA      | $270655.78    | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6450000 | PA      | $6193889.66   | 0.82%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1383656.83   | 0.18%             | 2024-06-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1140000 | PA      | $1033940.74   | 0.14%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                         | Deere & Co                                                                      | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    240000 | PA      | $208078.86    | 0.03%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                                               | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    210000 | PA      | $206547.05    | 0.03%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45287 | PA      | $42500.82     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912828Y95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2960000 | PA      | $2748984.38   | 0.36%             | 2026-07-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                     | Eaton Vance CLO 2020-2 Ltd                                                      | CUSIP: 27829PAL0<br>LEI: 549300FU3GAH1NNHOO94 | Long             | ABS-CBDO         | CORP              | KY        |    930000 | PA      | $903869.73    | 0.12%             | 2035-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    460000 | PA      | $436712.50    | 0.06%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                               | Adobe Inc                                                                       | CUSIP: 00724PAD1<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |    380000 | PA      | $327328.55    | 0.04%             | 2030-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1340746.56   | 0.18%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CORP                                       | Toyota Motor Corp                                                               | CUSIP: 892331AM1<br>LEI: 5493006W3QUS5LMH6R84 | Long             | DBT              | CORP              | JP        |   1150000 | PA      | $1037076.11   | 0.14%             | 2026-03-25      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $204178.53    | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                       | Johnson & Johnson                                                               | CUSIP: 478160BY9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1319650.02   | 0.18%             | 2026-03-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXE9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $983409.49    | 0.13%             | 2024-02-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1332365.09   | 0.18%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| METLIFE CAPITAL TRUST IV                                | MetLife Capital Trust IV                                                        | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $420225.00    | 0.06%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78696 | PA      | $11660.65     | 0.00%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337672 | PA      | $261777.05    | 0.03%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B7GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173675 | PA      | $161267.28    | 0.02%             | 2027-02-25      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                             | PepsiCo Inc                                                                     | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    300000 | PA      | $248215.85    | 0.03%             | 2030-05-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-CCRE12 Mortgage Trust                                                 | CUSIP: 12591KAH8<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $65617.74     | 0.01%             | 2046-10-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T                          | STWD 2022-FL3 Ltd                                                               | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    690000 | PA      | $666666.41    | 0.09%             | 2038-11-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    320000 | PA      | $311490.18    | 0.04%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                              | 3M Co                                                                           | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80446.79     | 0.01%             | 2030-04-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912828YQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    570000 | PA      | $522217.97    | 0.07%             | 2026-10-31      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    860000 | PA      | $784163.80    | 0.10%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    180000 | PA      | $182207.02    | 0.02%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1200000 | PA      | $-1135546.87  | -0.15%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    120000 | PA      | $94733.51     | 0.01%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    400000 | PA      | $323310.70    | 0.04%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    660000 | PA      | $611755.10    | 0.08%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| VASA Trust                                              | VASA Trust 2021-VASA                                                            | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880000 | PA      | $814357.54    | 0.11%             | 2039-07-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $52819.22     | 0.01%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    840000 | PA      | $670655.54    | 0.09%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1560000 | PA      | $1204125.00   | 0.16%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                    | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $939079.96    | 0.12%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    920000 | PA      | $870734.75    | 0.12%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1000000 | PA      | $-973671.87   | -0.13%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BJ0<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1798823.41   | 0.24%             | 2022-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1540000 | PA      | $1280606.25   | 0.17%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $472060.94    | 0.06%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1882956.00   | 0.25%             | 2042-02-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477890 | PA      | $397245.21    | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                      | Panama Government International Bond                                            | CUSIP: 698299AW4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    530000 | PA      | $562123.19    | 0.07%             | 2036-01-26      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    190000 | PA      | $158790.87    | 0.02%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                   | Vale Overseas Ltd                                                               | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    690000 | PA      | $713632.50    | 0.09%             | 2026-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1715914 | PA      | $1446151.57   | 0.19%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                              | Blackbird Capital Aircraft                                                      | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457594 | PA      | $376019.88    | 0.05%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $518783.20    | 0.07%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFE9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    800000 | PA      | $796284.94    | 0.11%             | 2023-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $134800.78    | 0.02%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2253086.26   | 0.30%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1521573.41   | 0.20%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1684345.20   | 0.22%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185365 | PA      | $166926.77    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90625 | PA      | $83262.64     | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AH6<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    570000 | PA      | $543390.41    | 0.07%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95549 | PA      | $94665.20     | 0.01%             | 2061-02-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R03                                    | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140000 | PA      | $1979156.96   | 0.26%             | 2041-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| THE VANGUARD GROUP INC                                  | THE VANGUARD GROUP INC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    660000 | PA      | $436227.89    | 0.06%             | 2050-08-22      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XCY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252825 | PA      | $3642.07      | 0.00%             | 2054-06-16      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                     | Kimberly-Clark Corp                                                             | CUSIP: 494368CB7<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    130000 | PA      | $117523.24    | 0.02%             | 2030-03-26      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    660000 | PA      | $500250.96    | 0.07%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                 | Becton Dickinson and Co                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    848000 | PA      | $828613.97    | 0.11%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $393049.66    | 0.05%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2021-C LLC                                            | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $877335.36    | 0.12%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                                            | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2440000 | PA      | $2059276.58   | 0.27%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2022-NQM1                                                                  | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1515133 | PA      | $1233297.24   | 0.16%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294379 | PA      | $279535.20    | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40217 | PA      | $39585.51     | 0.01%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2980000 | PA      | $2898187.35   | 0.38%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1284840.98   | 0.17%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $1294204.25   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2120379.38   | 0.28%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1465358.12   | 0.19%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC                                         | WEA Finance LLC                                                                 | CUSIP: 92928QAE8<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |    500000 | PA      | $436490.78    | 0.06%             | 2028-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3210000 | PA      | $2182800.00   | 0.29%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1135546.87   | 0.15%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1033123 | PA      | $913749.33    | 0.12%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                           | First Franklin Mortgage Loan Trust 2003-FF1                                     | CUSIP: 32027NBX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278542 | PA      | $270200.74    | 0.04%             | 2033-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2019-B10 Mortgage Trust                                               | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2760000 | PA      | $2551806.30   | 0.34%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                 | Becton Dickinson and Co                                                         | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22454.24     | 0.00%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7030000 | PA      | $6164293.95   | 0.82%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153781 | PA      | $132702.94    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |  12099436 | NS      | $12099436.50  | 1.60%             |  |  |  | No            |                  1 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    500000 | PA      | $526714.30    | 0.07%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93559 | PA      | $86654.10     | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32428 | PA      | $31086.08     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                    | Colombia Government International Bond                                          | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    410000 | PA      | $358972.45    | 0.05%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    360000 | PA      | $340767.61    | 0.05%             | 2029-02-08      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1112617.19   | 0.15%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Reese Park CLO, Ltd.                                    | REESE PARK CLO LTD                                                              | CUSIP: 758465BA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1840000 | PA      | $1778901.58   | 0.24%             | 2034-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80679.51     | 0.01%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    510000 | PA      | $496335.54    | 0.07%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249157 | PA      | $247346.45    | 0.03%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $929115.81    | 0.12%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43418 | PA      | $42105.76     | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFB5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    560000 | PA      | $538976.18    | 0.07%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1430000 | PA      | $1324760.94   | 0.18%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                 | Shell International Finance BV                                                  | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    490000 | PA      | $365149.43    | 0.05%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9302.24      | 0.00%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    110000 | PA      | $99293.35     | 0.01%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    230000 | PA      | $220754.00    | 0.03%             | 2025-02-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    550000 | PA      | $490093.60    | 0.06%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    128000 | PA      | $120226.49    | 0.02%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cerberus                                                | Cerberus Loan Funding XXVIII LP                                                 | CUSIP: 15673EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    362099 | PA      | $360588.26    | 0.05%             | 2031-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                        | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1888480.00   | 0.25%             | 2027-07-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                       | Johnson & Johnson                                                               | CUSIP: 478160CN2<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    290000 | PA      | $263807.06    | 0.03%             | 2025-09-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| HERSHEY COMPANY                                         | Hershey Co/The                                                                  | CUSIP: 427866BF4<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |    140000 | PA      | $128073.18    | 0.02%             | 2025-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    423422 | PA      | $385590.71    | 0.05%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978640 | PA      | $902214.47    | 0.12%             | 2049-07-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO                           | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $474930.00    | 0.06%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    570000 | PA      | $551879.20    | 0.07%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                  | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    300000 | PA      | $281924.30    | 0.04%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBH9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1399535.54   | 0.19%             | 2033-06-13      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-144923.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                     | LCM XVIII LP                                                                    | CUSIP: 50188QAJ0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |     58211 | PA      | $57971.19     | 0.01%             | 2027-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL3 Trust                                                            | CUSIP: 12651YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581208 | PA      | $525780.83    | 0.07%             | 2057-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2019-LTV3                                              | CUSIP: 46651HBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493741 | PA      | $423952.87    | 0.06%             | 2050-03-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    400000 | PA      | $389192.14    | 0.05%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197772 | PA      | $181750.66    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-300P Mortgage Trust                                                   | CUSIP: 12625XAG2<br>LEI: 549300NMFC2YLCA2NF13 | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $542504.20    | 0.07%             | 2030-08-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                    | CUSIP: 22546QAP2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   2550000 | PA      | $2347251.92   | 0.31%             | 2024-09-09      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    868000 | PA      | $853599.06    | 0.11%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25400.75     | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-R6                                                               | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364032 | PA      | $321414.96    | 0.04%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd                                    | Whitebox CLO III Ltd                                                            | CUSIP: 96467HAA4<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1013579.83   | 0.13%             | 2034-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97068 | PA      | $89366.85     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $597093.75    | 0.08%             | 2050-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $404337.74    | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    330000 | PA      | $312297.29    | 0.04%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                           | Citigroup Commercial Mortgage Trust 2014-GC25                                   | CUSIP: 17322YAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $606451.90    | 0.08%             | 2047-10-10      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        65 | NC      | $59921.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PEPSICO INC                                             | PepsiCo Inc                                                                     | CUSIP: 713448EQ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47729.57     | 0.01%             | 2025-03-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O                          | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   2220000 | PA      | $2091935.08   | 0.28%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40133 | PA      | $38816.49     | 0.01%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       285 | NC      | $62343.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLE INC                                               | Apple Inc                                                                       | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1054162.86   | 0.14%             | 2025-05-11      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     90000 | PA      | $79659.38     | 0.01%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                          | Mastercard Inc                                                                  | CUSIP: 57636QAB0<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    230000 | PA      | $226462.46    | 0.03%             | 2024-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                                | Principal Life Global Funding II                                                | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $145549.52    | 0.02%             | 2025-06-23      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                            | GSMSC Resecuritization Trust 2015-7R                                            | CUSIP: 36254RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91009 | PA      | $90258.02     | 0.01%             | 2037-09-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                          | Benefit Street Partners CLO IV Ltd                                              | CUSIP: 08180FBG5<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $735813.73    | 0.10%             | 2032-01-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM2                                                                  | CUSIP: 12662EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247616 | PA      | $197287.26    | 0.03%             | 2066-02-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                  | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    740000 | PA      | $646138.40    | 0.09%             | 2026-05-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                 | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    750000 | PA      | $700543.05    | 0.09%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        71 | NC      | $9318.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KCAP Senior Funding I LLC                               | Great Lakes Kcap F3c Senior LLC                                                 | CUSIP: 48669RAA9<br>LEI: 5493006EPGSPYDWRRN21 | Long             | ABS-CBDO         | CORP              | US        |   1469201 | PA      | $1466238.57   | 0.19%             | 2029-12-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91624 | PA      | $80839.42     | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    719144 | PA      | $627983.35    | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1507809 | PA      | $1302866.77   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2285000 | PA      | $1836131.42   | 0.24%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54742 | PA      | $50353.36     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    210000 | PA      | $195860.08    | 0.03%             | 2025-12-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                                | OHA Credit Funding 7 Ltd                                                        | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    870000 | PA      | $837606.66    | 0.11%             | 2037-02-24      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        93 | NC      | $-53570.41    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308994 | PA      | $273410.14    | 0.04%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                          | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461559 | PA      | $383649.27    | 0.05%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -62 | NC      | $-22281.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3617299.44   | 0.48%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    300000 | PA      | $251243.51    | 0.03%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                | New York Life Global Funding                                                    | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    340000 | PA      | $308033.71    | 0.04%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    800000 | PA      | $767776.89    | 0.10%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    210000 | PA      | $170576.54    | 0.02%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253488 | PA      | $223151.47    | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ST HSG DEV AUTH CMWLT                          | Virginia Housing Development Authority                                          | CUSIP: 92812ULT3<br>LEI: 549300LW3QBOVLQBP895 | Long             | ABS-MBS          | MUN               | US        |    304135 | PA      | $304423.19    | 0.04%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Student Loan Trust 2020-1                                               | CUSIP: 63942FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231884 | PA      | $227140.03    | 0.03%             | 2069-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                      | Panama Government International Bond                                            | CUSIP: 698299BB9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1370000 | PA      | $1015092.99   | 0.13%             | 2053-04-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    670000 | PA      | $659284.96    | 0.09%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    730000 | PA      | $689944.90    | 0.09%             | 2027-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                      | Raytheon Technologies Corp                                                      | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87297.43     | 0.01%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QN4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163980 | PA      | $155354.33    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6800000 | PA      | $5609468.72   | 0.74%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RUSSIAN FEDERATION                                      | Russian Foreign Bond - Eurobond                                                 | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    200000 | PA      | $122500.00    | 0.02%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49421.33     | 0.01%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                     | Abbott Laboratories                                                             | CUSIP: 002824BE9<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    700000 | PA      | $689998.77    | 0.09%             | 2023-11-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                             | Balboa Bay Loan Funding 2021-2 Ltd                                              | CUSIP: 05766GAA5<br>LEI: 549300N3EVICXRV85R74 | Long             | ABS-CBDO         | CORP              | KY        |    630000 | PA      | $610742.47    | 0.08%             | 2035-01-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                                  | CUSIP: 36255TAJ1<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2159518 | PA      | $1552461.10   | 0.21%             | 2031-09-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                 | Becton Dickinson and Co                                                         | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183683.92    | 0.02%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $185625.86    | 0.02%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                        | Peruvian Government International Bond                                          | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     40000 | PA      | $29181.83     | 0.00%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1451746.65   | 0.19%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                               | Apple Inc                                                                       | CUSIP: 037833CJ7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77462.12     | 0.01%             | 2027-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    290000 | PA      | $281563.06    | 0.04%             | 2025-09-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                              | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    430000 | PA      | $356363.39    | 0.05%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1351795 | PA      | $1253592.75   | 0.17%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AYE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94874 | PA      | $84247.47     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                          | SOFI PROFESSIONAL LOAN PROGRAM 2021-A TRUST                                     | CUSIP: 83405YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458196 | PA      | $364725.38    | 0.05%             | 2043-08-17      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                          | Structured Asset Investment Loan Trust 2004-7                                   | CUSIP: 86358EKJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474780 | PA      | $457095.25    | 0.06%             | 2034-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    954000 | PA      | $749789.33    | 0.10%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19566 | PA      | $19076.50     | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342959 | PA      | $339376.27    | 0.05%             | 2062-12-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    250000 | PA      | $172332.58    | 0.02%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1572000 | PA      | $1434500.15   | 0.19%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                                            | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1325000 | PA      | $1098625.25   | 0.15%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                             | CUSIP: 71654QBV3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    760000 | PA      | $715380.40    | 0.09%             | 2025-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JP7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1810000 | PA      | $1755507.20   | 0.23%             | 2025-04-27      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                          | Adjustable Rate Mortgage Trust 2004-5                                           | CUSIP: 007036ER3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39079 | PA      | $38927.24     | 0.01%             | 2035-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383187 | PA      | $314698.73    | 0.04%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                       | TSMC Arizona Corp                                                               | CUSIP: 872898AA9<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1031237.73   | 0.14%             | 2026-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1235291.54   | 0.16%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                | Visa Inc                                                                        | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    320000 | PA      | $299983.44    | 0.04%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XQX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1099541 | PA      | $10948.57     | 0.00%             | 2054-08-16      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9370000 | PA      | $6972414.61   | 0.92%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CH6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    910000 | PA      | $847774.20    | 0.11%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232819 | PA      | $202827.03    | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                | Comision Federal de Electricidad                                                | CUSIP: 200447AF7<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    690000 | PA      | $640692.60    | 0.08%             | 2027-02-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90410 | PA      | $78665.63     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2015-1                                      | CUSIP: 64829CAB4<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |    337634 | PA      | $313335.84    | 0.04%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    140000 | PA      | $131384.87    | 0.02%             | 2027-03-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599020.87    | 0.08%             | 2023-01-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $114538.22    | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR8                         | CUSIP: 92922FS25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1467679 | PA      | $1331335.49   | 0.18%             | 2045-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    350000 | PA      | $305843.56    | 0.04%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                   | Texas Instruments Inc                                                           | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    290000 | PA      | $240874.48    | 0.03%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617F4WW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97012 | PA      | $90426.06     | 0.01%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS LP/REG FIN                                  | Energy Transfer LP / Regency Energy Finance Corp                                | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $495058.89    | 0.07%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                | Constellation Brands Inc                                                        | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     90000 | PA      | $72093.30     | 0.01%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     32000 | PA      | $35883.25     | 0.00%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAE5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | PA      | $994582.74    | 0.13%             | 2023-02-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                         | Chevron USA Inc                                                                 | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    620000 | PA      | $603082.72    | 0.08%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    190000 | PA      | $180490.78    | 0.02%             | 2027-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KM3V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79636 | PA      | $75509.38     | 0.01%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382044 | PA      | $319944.51    | 0.04%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3470000 | PA      | $3344298.10   | 0.44%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        79 | NC      | $122341.80    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    330000 | PA      | $264049.72    | 0.04%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage                           | Waterfall Commercial Mortgage Trust 2015-SBC5                                   | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99658 | PA      | $97980.09     | 0.01%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    340000 | PA      | $321637.96    | 0.04%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $197938.47    | 0.03%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    494122 | PA      | $509804.89    | 0.07%             | 2028-09-25      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XUN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    875685 | PA      | $7465.65      | 0.00%             | 2055-05-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     80000 | PA      | $73955.49     | 0.01%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                | Visa Inc                                                                        | CUSIP: 92826CAL6<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    400000 | PA      | $363923.03    | 0.05%             | 2027-04-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2019-AFC1 Trust                                                            | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445085 | PA      | $410872.54    | 0.05%             | 2049-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1729894.23   | 0.23%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                             | PepsiCo Inc                                                                     | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55966.00     | 0.01%             | 2027-03-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280AP4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $423056.91    | 0.06%             | 2024-03-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BGDX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198879 | PA      | $188530.80    | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2650000 | PA      | $2287524.52   | 0.30%             | 2027-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                    | Southern Copper Corp                                                            | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1070049.60   | 0.14%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    530000 | PA      | $471966.91    | 0.06%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532286 | PA      | $402083.82    | 0.05%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    630000 | PA      | $613688.22    | 0.08%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27090.47     | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -500000 | PA      | $-428378.91   | -0.06%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                        | Peruvian Government International Bond                                          | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    440000 | PA      | $439657.63    | 0.06%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                     | PayPal Holdings Inc                                                             | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    220000 | PA      | $209711.57    | 0.03%             | 2032-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2021-TY                                                               | CUSIP: 05592AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140000 | PA      | $1998997.75   | 0.27%             | 2038-09-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1550000 | PA      | $1293203.19   | 0.17%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    360000 | PA      | $344861.88    | 0.05%             | 2025-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       481 | NC      | $-2575166.35  | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2149368.95   | 0.29%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $477617.19    | 0.06%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     60000 | PA      | $46646.90     | 0.01%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2500000 | PA      | $-2260812.15  | -0.30%            | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $993677.94    | 0.13%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CINTAS CORPORATION NO. 2                                | Cintas Corp No 2                                                                | CUSIP: 17252MAN0<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1007985.66   | 0.13%             | 2027-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                   | Costco Wholesale Corp                                                           | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    170000 | PA      | $140738.82    | 0.02%             | 2030-04-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| LUKOIL CAPITAL DAC                                      | Lukoil Capital DAC                                                              | CUSIP: 549875AB8<br>LEI: 984500BEC55D7EHC4M56 | Long             | DBT              | CORP              | IE        |   1170000 | PA      | $899730.00    | 0.12%             | 2031-10-26      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | Onslow Bay Mortgage Loan Trust                                                  | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436745 | PA      | $350391.24    | 0.05%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    160000 | PA      | $138715.46    | 0.02%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-271564.04   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                            | Ecopetrol SA                                                                    | CUSIP: 279158AL3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   2440000 | PA      | $2281888.00   | 0.30%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                          | AmeriCredit Automobile Receivables Trust 2022-2                                 | CUSIP: 03065WAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $410989.66    | 0.05%             | 2028-04-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $93632.70     | 0.01%             | 2032-07-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62184 | PA      | $57780.69     | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                         | Deere & Co                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18119.47     | 0.00%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1893499 | PA      | $1621533.03   | 0.22%             | 2053-01-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1867334.06   | 0.25%             | 2033-08-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36965.21     | 0.00%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    660000 | PA      | $634633.43    | 0.08%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                                 | Metropolitan Life Global Funding I                                              | CUSIP: 59217GEH8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    970000 | PA      | $949202.92    | 0.13%             | 2023-06-08      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                     | American International Group Inc                                                | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    186000 | PA      | $175767.13    | 0.02%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                  | Mondelez International Inc                                                      | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    900000 | PA      | $835886.66    | 0.11%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                            | Chevron Corp                                                                    | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $235634.63    | 0.03%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272009 | PA      | $241788.16    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    240000 | PA      | $224624.47    | 0.03%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    350000 | PA      | $313594.78    | 0.04%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    640000 | PA      | $614062.44    | 0.08%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $2030179.11   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91329 | PA      | $82053.01     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41907.28     | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38190000 | PA      | $25198686.96  | 3.34%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679218 | PA      | $647482.96    | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        45 | NC      | $120234.38    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Golub Capital Partners CLO Ltd                          | Golub Capital Partners Clo 57M Ltd                                              | CUSIP: 38179AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1730000 | PA      | $1655815.62   | 0.22%             | 2034-10-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    410000 | PA      | $369008.81    | 0.05%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    240000 | PA      | $157106.84    | 0.02%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                                | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAD4<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    710000 | PA      | $701766.77    | 0.09%             | 2023-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                      | Raytheon Technologies Corp                                                      | CUSIP: 913017DD8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    280000 | PA      | $275583.82    | 0.04%             | 2025-08-16      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Student Loan Trust 2003-4                                                   | CUSIP: 78442GGD2<br>LEI: 549300JLVVUXV7DNSJ85 | Long             | ABS-O            | CORP              | US        |    359349 | PA      | $355529.30    | 0.05%             | 2033-03-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128361 | PA      | $135194.90    | 0.02%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39041 | PA      | $35865.25     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2018-B7 Mortgage Trust                                                | CUSIP: 08162TBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $759576.05    | 0.10%             | 2053-05-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    240000 | PA      | $197675.02    | 0.03%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                    | Colombia Government International Bond                                          | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    620000 | PA      | $453173.53    | 0.06%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193020.68    | 0.03%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79170.04     | 0.01%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187794 | PA      | $181777.93    | 0.02%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                          | Halliburton Co                                                                  | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16645.15     | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    880000 | PA      | $820018.46    | 0.11%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -142 | NC      | $-1775.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $1212079.89   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| WORKDAY INC                                             | Workday Inc                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1225885.79   | 0.16%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391020 | PA      | $371304.06    | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1210639.05   | 0.16%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $558240.90    | 0.07%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1057673.26   | 0.14%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                   | Palmer Square CLO 2019-1 Ltd                                                    | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $727543.88    | 0.10%             | 2034-11-14      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                          | Lowe's Cos Inc                                                                  | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    210000 | PA      | $204659.14    | 0.03%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     60000 | PA      | $53557.73     | 0.01%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2820000 | PA      | $2436237.20   | 0.32%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    580000 | PA      | $569862.97    | 0.08%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $5451948.42   | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| CIGNA CORP                                              | Cigna Corp                                                                      | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    114000 | PA      | $113226.36    | 0.02%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                                     | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    470000 | PA      | $473673.05    | 0.06%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1484107.78   | 0.20%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                                   | Cayuga Park CLO Ltd                                                             | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |   1020000 | PA      | $987759.76    | 0.13%             | 2034-07-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MSCG Trust                                              | MSCG Trust 2015-ALDR                                                            | CUSIP: 55352NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1309775.04   | 0.17%             | 2035-06-07      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                          | Salesforce Inc                                                                  | CUSIP: 79466LAE4<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    370000 | PA      | $368137.85    | 0.05%             | 2023-04-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                     | Carrier Global Corp                                                             | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50201.22     | 0.01%             | 2031-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90128.47     | 0.01%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BP0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1017220.07   | 0.13%             | 2023-06-03      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $197115.59    | 0.03%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                          | WFRBS Commercial Mortgage Trust 2013-C14                                        | CUSIP: 92890PAH7<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1000167.13   | 0.13%             | 2046-06-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                     | PayPal Holdings Inc                                                             | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    420000 | PA      | $390914.80    | 0.05%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336081 | PA      | $233484.45    | 0.03%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378291 | PA      | $339629.21    | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    770000 | PA      | $655652.20    | 0.09%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                       | Newell Brands Inc                                                               | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9446.20      | 0.00%             | 2026-04-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                          | BRAVO Residential Funding Trust 2022-NQM3                                       | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386073 | PA      | $377386.62    | 0.05%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                  | Canyon CLO 2020-1 Ltd                                                           | CUSIP: 13876LAJ6<br>LEI: 549300IVUME0ILZ1W208 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1323238.27   | 0.18%             | 2034-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    160000 | PA      | $153836.30    | 0.02%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    130000 | PA      | $122051.63    | 0.02%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    380000 | PA      | $359135.29    | 0.05%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1957154.96   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1514943.68   | 0.20%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4930000 | PA      | $4855141.70   | 0.64%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        44 | NC      | $137500.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL                                        | Bank of Montreal                                                                | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    920000 | PA      | $860456.46    | 0.11%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2022-4                                                | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1609849 | PA      | $1511017.59   | 0.20%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475AV7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2420000 | PA      | $2383517.14   | 0.32%             | 2024-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                | Uruguay Government International Bond                                           | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   1520000 | PA      | $1654635.82   | 0.22%             | 2034-10-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1878966.78   | 0.25%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1006162.32   | 0.13%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464869 | PA      | $385765.21    | 0.05%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                              | Apidos CLO XII                                                                  | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $739875.00    | 0.10%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| ABPCI Direct Lending Fund CLO                           | ABPCI Direct Lending Fund CLO X LP                                              | CUSIP: 000848AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1300041.16   | 0.17%             | 2032-01-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                   | General Dynamics Corp                                                           | CUSIP: 369550BC1<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    340000 | PA      | $326946.66    | 0.04%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                 | Shell International Finance BV                                                  | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $381159.23    | 0.05%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46625HMN7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2172601.22   | 0.29%             | 2025-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1300000 | PA      | $-1112617.19  | -0.15%            | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $127793.32    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     90000 | PA      | $81575.82     | 0.01%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                             | CUSIP: 71654QBH4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    300000 | PA      | $293905.50    | 0.04%             | 2024-01-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    310000 | PA      | $296392.44    | 0.04%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                 | Honeywell International Inc                                                     | CUSIP: 438516CB0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    330000 | PA      | $306172.82    | 0.04%             | 2025-06-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06053FAA7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    930000 | PA      | $926409.24    | 0.12%             | 2023-07-24      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $2835714.56   | 0.38%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust                  | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266512 | PA      | $239158.79    | 0.03%             | 2034-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                                            | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1780000 | PA      | $1373586.29   | 0.18%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                             | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    170000 | PA      | $160803.74    | 0.02%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                  | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    740000 | PA      | $627408.90    | 0.08%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82316.18     | 0.01%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85309.42     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                      | Wendy's Funding LLC                                                             | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   2093500 | PA      | $1689058.41   | 0.22%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| KREF 2022-Fl3 Ltd                                       | KREF 2022-FL3 Ltd                                                               | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |   2020000 | PA      | $1954413.63   | 0.26%             | 2039-02-17      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    270000 | PA      | $251073.73    | 0.03%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6840000 | PA      | $6747391.53   | 0.89%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    180000 | PA      | $175719.11    | 0.02%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    550000 | PA      | $454544.33    | 0.06%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                | Fox Corp                                                                        | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    170000 | PA      | $167782.42    | 0.02%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                                    | Pertamina Persero PT                                                            | CUSIP: 69369EAD1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    580000 | PA      | $565703.01    | 0.08%             | 2042-05-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $438760.08    | 0.06%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    400000 | PA      | $377580.04    | 0.05%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -102 | NC      | $-41925.27    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91894 | PA      | $84429.05     | 0.01%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                          | Merck & Co Inc                                                                  | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    290000 | PA      | $234258.02    | 0.03%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        49 | NC      | $-500215.40   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CN0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    800000 | PA      | $751378.70    | 0.10%             | 2027-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                             | NVIDIA Corp                                                                     | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     60000 | PA      | $46613.55     | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $641930.10    | 0.09%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                | Visa Inc                                                                        | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1348891.32   | 0.18%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23272 | PA      | $2265.11      | 0.00%             | 2043-12-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    790000 | PA      | $774692.22    | 0.10%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137405.42    | 0.02%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHC6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    570000 | PA      | $569339.97    | 0.08%             | 2023-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       118 | NC      | $-511276.30   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    190000 | PA      | $162674.13    | 0.02%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24303.44     | 0.00%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-CCRE12 Mortgage Trust                                                 | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $77058.31     | 0.01%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567584 | PA      | $523374.05    | 0.07%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    520000 | PA      | $500401.15    | 0.07%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    120000 | PA      | $112177.27    | 0.01%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    330000 | PA      | $290451.34    | 0.04%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -3 | NC      | $-18.75       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145310 | PA      | $143966.40    | 0.02%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    220000 | PA      | $212848.62    | 0.03%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1305647 | PA      | $1297339.91   | 0.17%             | 2042-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                          | Lowe's Cos Inc                                                                  | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    460000 | PA      | $391638.97    | 0.05%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $839131.95    | 0.11%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    970000 | PA      | $935707.26    | 0.12%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129742.27    | 0.02%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                          | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    260000 | PA      | $264207.86    | 0.04%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                              | 3M Co                                                                           | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     80000 | PA      | $63903.46     | 0.01%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1760013.79   | 0.23%             | 2024-09-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    780000 | PA      | $744851.76    | 0.10%             | 2027-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    881000 | PA      | $857237.75    | 0.11%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BA9<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110000.00    | 0.01%             | 2022-12-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17999.67     | 0.00%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $672825.66    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    580000 | PA      | $565464.54    | 0.07%             | 2026-05-12      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816BD0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1500000.00   | 0.20%             | 2022-12-02      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38869.83     | 0.01%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79756.11     | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                  | Chubb INA Holdings Inc                                                          | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96737.78     | 0.01%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90926 | PA      | $78926.01     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    877796 | PA      | $843714.68    | 0.11%             | 2039-02-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                                 | TRTX 2022-FL5 Issuer Ltd                                                        | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1975195.00   | 0.26%             | 2039-02-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                             | Walmart Inc                                                                     | CUSIP: 931142EQ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44542.58     | 0.01%             | 2029-09-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93090 | PA      | $83817.45     | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                      | Raytheon Technologies Corp                                                      | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    440000 | PA      | $369883.04    | 0.05%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -21 | NC      | $-4593.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44332 | PA      | $42877.26     | 0.01%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $194262.88    | 0.03%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    860000 | PA      | $799350.09    | 0.11%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    320000 | PA      | $297800.75    | 0.04%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                                     | CUSIP: 71647NAN9<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    390000 | PA      | $323268.86    | 0.04%             | 2115-06-05      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $570975.90    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    260000 | PA      | $250036.71    | 0.03%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                             | NVIDIA Corp                                                                     | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    650000 | PA      | $542930.71    | 0.07%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1491364.93   | 0.20%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       134 | NC      | $160986.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 75 CLO Ltd                                                               | CUSIP: 26252JAS7<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $771396.48    | 0.10%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                   | MidAmerican Energy Co                                                           | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    810000 | PA      | $764673.23    | 0.10%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                | Ford Motor Credit Co LLC                                                        | CUSIP: 345397WW9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192257.00    | 0.03%             | 2024-09-08      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                     | Charles Schwab Corp/The                                                         | CUSIP: 808513AX3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    600000 | PA      | $590208.71    | 0.08%             | 2025-05-21      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                    | Lockheed Martin Corp                                                            | CUSIP: 539830BH1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    226000 | PA      | $221009.31    | 0.03%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -44 | NC      | $-7562.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $216189.57    | 0.03%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96243 | PA      | $88607.28     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NBL4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    280000 | PA      | $272668.68    | 0.04%             | 2025-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816CG2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    420000 | PA      | $405211.05    | 0.05%             | 2024-07-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $214169.92    | 0.03%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                         | Impac CMB Trust Series 2007-A                                                   | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575878 | PA      | $534899.73    | 0.07%             | 2037-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                 | Shell International Finance BV                                                  | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    230000 | PA      | $204341.24    | 0.03%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    460000 | PA      | $421691.80    | 0.06%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $1978379.92   | 0.26%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457578 | PA      | $420775.41    | 0.06%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19758.28     | 0.00%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1609250.20   | 0.21%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86543 | PA      | $75584.50     | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    790000 | PA      | $780683.05    | 0.10%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1498373.22   | 0.20%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1101422.41   | 0.15%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $397171.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    570000 | PA      | $558036.99    | 0.07%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                         | Recette Clo Ltd                                                                 | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $494382.15    | 0.07%             | 2034-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    580322 | PA      | $579127.67    | 0.08%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2021-AFC1 Trust                                                           | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1123937 | PA      | $900026.99    | 0.12%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                   | Costco Wholesale Corp                                                           | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    830000 | PA      | $735883.75    | 0.10%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    170000 | PA      | $154056.53    | 0.02%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                              | Pfizer Inc                                                                      | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    450000 | PA      | $399889.32    | 0.05%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    180000 | PA      | $168632.87    | 0.02%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust                   | CUSIP: 92922FWL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802113 | PA      | $746451.84    | 0.10%             | 2034-08-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1793109.97   | 0.24%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -359 | NC      | $-2243.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SILVER ROCK CLO LTD                                     | Silver Rock CLO I Ltd                                                           | CUSIP: 82811RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1410000 | PA      | $1389513.77   | 0.18%             | 2031-10-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96654 | PA      | $81672.77     | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                          | Mastercard Inc                                                                  | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35030.46     | 0.00%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | Comm 2014-UBS2 Mortgage Trust                                                   | CUSIP: 12591UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2424364 | PA      | $20562.00     | 0.00%             | 2047-03-10      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    220000 | PA      | $220086.32    | 0.03%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75690 | PA      | $67831.25     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                            | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $44871.95     | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1369322.61   | 0.18%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    500000 | PA      | $454787.50    | 0.06%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        33 | NC      | $39703.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1392129.14   | 0.18%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-RPL6 Trust                                                            | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603236 | PA      | $529675.83    | 0.07%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -503 | NC      | $181205.11    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $681624.99    | 0.09%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352005 | PA      | $275518.74    | 0.04%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169722 | PA      | $26502.37     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                               | Apple Inc                                                                       | CUSIP: 037833AK6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1762473.98   | 0.23%             | 2023-05-03      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                   | Indonesia Government International Bond                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    540000 | PA      | $522296.47    | 0.07%             | 2045-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BCRED MML CLO 2021-1 LLC                                | BCRED MML CLO 2021-1 LLC                                                        | CUSIP: 05554LAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    740000 | PA      | $711510.00    | 0.09%             | 2035-01-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61802.87     | 0.01%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79868.92     | 0.01%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275192 | PA      | $228679.38    | 0.03%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1777502.76   | 0.24%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1460000 | PA      | $1397863.32   | 0.19%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                          | HPS Loan Management 2021-16 Ltd                                                 | CUSIP: 40440XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $862182.41    | 0.11%             | 2035-01-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617XSQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370129 | PA      | $335596.71    | 0.04%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HHV5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4921774.70   | 0.65%             | 2024-02-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159960 | PA      | $25287.77     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1099406.26   | 0.15%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30156 | PA      | $29667.33     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                          | BCAP LLC 2015-RR6 Trust                                                         | CUSIP: 05490QAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093675 | PA      | $1084133.05   | 0.14%             | 2037-05-26      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2021-NQM3                                   | CUSIP: 64831TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324432 | PA      | $263456.03    | 0.03%             | 2056-11-27      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99954 | PA      | $90054.40     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $2032298.90   | 0.27%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2016-GS3                                           | CUSIP: 36251PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570000 | PA      | $497584.29    | 0.07%             | 2049-10-10      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -329 | NC      | $-2056.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PFIZER INC                                              | Pfizer Inc                                                                      | CUSIP: 717081EX7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    700000 | PA      | $646137.84    | 0.09%             | 2025-05-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                       | Johnson & Johnson                                                               | CUSIP: 478160CP7<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    600000 | PA      | $522361.83    | 0.07%             | 2027-09-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67794.90     | 0.01%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3100000 | PA      | $-2728363.32  | -0.36%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1078831.71   | 0.14%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust 2021-A                                                       | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $884174.87    | 0.12%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    740000 | PA      | $699136.33    | 0.09%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                          | JPMBB Commercial Mortgage Securities Trust 2014-C22                             | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $268967.97    | 0.04%             | 2047-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91704 | PA      | $80097.08     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                        | Coca-Cola Co/The                                                                | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1056169.19   | 0.14%             | 2027-03-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                | Uruguay Government International Bond                                           | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   1240000 | PA      | $1225743.97   | 0.16%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137ARFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864529 | PA      | $41853.39     | 0.01%             | 2031-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2010000 | PA      | $1987181.52   | 0.26%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    410000 | PA      | $408548.49    | 0.05%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                              | Nuveen LLC                                                                      | CUSIP: 67080LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $941862.99    | 0.12%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Student Loan Trust 2003-4                                                   | CUSIP: 78442GGN0<br>LEI: 549300JLVVUXV7DNSJ85 | Long             | ABS-O            | CORP              | US        |    731234 | PA      | $723460.78    | 0.10%             | 2033-03-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                 | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1602993.12   | 0.21%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1016283.19   | 0.13%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2012-2                                                | CUSIP: 64031CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540780 | PA      | $531679.29    | 0.07%             | 2033-12-26      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  96660000 | PA      | $90195862.50  | 11.96%            | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10020000 | PA      | $6193416.81   | 0.82%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    460000 | PA      | $419021.00    | 0.06%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 87 CLO Ltd                                                               | CUSIP: 26246GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2020000 | PA      | $1955039.39   | 0.26%             | 2034-05-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86118 | PA      | $75285.65     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                  | Kazakhstan Government International Bond                                        | CUSIP: 486661AF8<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |   1270000 | PA      | $1136650.00   | 0.15%             | 2044-10-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                      | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    990000 | PA      | $959423.78    | 0.13%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7430000 | PA      | $6364259.38   | 0.84%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    120000 | PA      | $113809.92    | 0.02%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378266 | PA      | $314244.57    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        82 | NC      | $98656.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                      | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    690000 | PA      | $663800.92    | 0.09%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                          | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    928996 | PA      | $811115.49    | 0.11%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    420000 | PA      | $395158.64    | 0.05%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                          | Merck & Co Inc                                                                  | CUSIP: 58933YAY1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    530000 | PA      | $474775.03    | 0.06%             | 2026-02-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd                                     | 522 Funding CLO 2020-6 Ltd                                                      | CUSIP: 33835AAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $744956.11    | 0.10%             | 2034-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL BV                                 | Equate Petrochemical BV                                                         | CUSIP: 29441WAD7<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |   1200000 | PA      | $1030652.40   | 0.14%             | 2028-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $984817.71    | 0.13%             | 2025-05-12      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    470000 | PA      | $451575.79    | 0.06%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46041 | PA      | $45299.14     | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38378XW72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    859490 | PA      | $9470.81      | 0.00%             | 2054-08-16      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ADXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4173 | PA      | $116.31       | 0.00%             | 2032-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31820 | PA      | $2902.03      | 0.00%             | 2047-11-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    380000 | PA      | $358395.91    | 0.05%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortga                          | UBS-Barclays Commercial Mortgage Trust 2012-C4                                  | CUSIP: 90270RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431426 | PA      | $421526.28    | 0.06%             | 2045-12-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    240000 | PA      | $191188.39    | 0.03%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHD61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188934 | PA      | $162659.43    | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1580000 | PA      | $1522801.28   | 0.20%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       614 | NC      | $260292.72    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Access Group Inc                                        | Access Group Inc 2005-A                                                         | CUSIP: 00432CCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356265 | PA      | $347260.19    | 0.05%             | 2034-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94898 | PA      | $81812.01     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1066 | NC      | $602460.65    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81545 | PA      | $73477.97     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46914.86     | 0.01%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -900000 | PA      | $-910006.01   | -0.12%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVM3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1463408.87   | 0.19%             | 2024-03-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596596 | PA      | $483091.06    | 0.06%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2194244 | PA      | $1837589.08   | 0.24%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                  | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    710000 | PA      | $560314.25    | 0.07%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    870000 | PA      | $760293.91    | 0.10%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                 | BDS 2021-FL10 Ltd                                                               | CUSIP: 07335YAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2140000 | PA      | $1970934.65   | 0.26%             | 2036-12-16      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                      | Province of Quebec Canada                                                       | CUSIP: 748149AG6<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   1400000 | PA      | $1394802.47   | 0.18%             | 2023-02-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1135828.13   | 0.15%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    280000 | PA      | $245404.47    | 0.03%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4480000 | PA      | $4400690.25   | 0.58%             | 2025-06-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BQ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    240000 | PA      | $220486.85    | 0.03%             | 2025-06-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-AFC1 Trust                                                            | CUSIP: 12597MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701117 | PA      | $646488.02    | 0.09%             | 2050-02-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                          | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7433.86      | 0.00%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88127 | PA      | $76967.33     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                             | CUSIP: 71654QBX9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1100000 | PA      | $642933.50    | 0.09%             | 2046-01-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAH0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90360.00     | 0.01%             | 2025-08-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                 | Reliance Industries Ltd                                                         | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    640000 | PA      | $533684.12    | 0.07%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    380000 | PA      | $375289.90    | 0.05%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                          | Residential Mortgage Loan Trust 2020-2                                          | CUSIP: 76123MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628543 | PA      | $616807.98    | 0.08%             | 2060-05-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384523 | PA      | $321523.87    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    420000 | PA      | $406364.94    | 0.05%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                     | Suzano Austria GmbH                                                             | CUSIP: 86964WAF9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |   1690000 | PA      | $1679192.45   | 0.22%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                        | Owl Rock CLO III Ltd                                                            | CUSIP: 691204AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1040000 | PA      | $1016988.41   | 0.13%             | 2032-04-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                    | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    150000 | PA      | $140214.75    | 0.02%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                          | JPMBB Commercial Mortgage Securities Trust 2013-C17                             | CUSIP: 46640UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $87390.84     | 0.01%             | 2047-01-15      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2550000 | PA      | $2330207.09   | 0.31%             | 2036-08-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-1                                      | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405895 | PA      | $383763.27    | 0.05%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                     | Gilead Sciences Inc                                                             | CUSIP: 375558BL6<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    700000 | PA      | $687291.35    | 0.09%             | 2023-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                   | KKR Clo 32 Ltd                                                                  | CUSIP: 48254HAA2<br>LEI: 5493004Y6G18HN4CQ515 | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $483049.98    | 0.06%             | 2032-01-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $95721.11     | 0.01%             | 2032-08-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    250000 | PA      | $215809.96    | 0.03%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                             | Target Corp                                                                     | CUSIP: 87612EBL9<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |    450000 | PA      | $428308.06    | 0.06%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                          | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    859868 | PA      | $635051.54    | 0.08%             | 2049-01-20      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                 | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    390000 | PA      | $353561.92    | 0.05%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    410000 | PA      | $404229.61    | 0.05%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    340000 | PA      | $327250.70    | 0.04%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                             | Walmart Inc                                                                     | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    110000 | PA      | $90928.90     | 0.01%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    330000 | PA      | $315919.20    | 0.04%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292482 | PA      | $277919.66    | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPG Trust                                               | OPG Trust 2021-PORT                                                             | CUSIP: 67118AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459847 | PA      | $1387200.68   | 0.18%             | 2036-10-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    320000 | PA      | $319727.67    | 0.04%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    486000 | PA      | $467214.62    | 0.06%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    780000 | PA      | $640124.05    | 0.08%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1360000 | PA      | $1280153.12   | 0.17%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090000 | PA      | $887949.21    | 0.12%             | 2027-12-27      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    660000 | PA      | $614266.56    | 0.08%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $649150.16    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $211338.69    | 0.03%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58587.45     | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139598.35    | 0.02%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BQ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    170000 | PA      | $165533.59    | 0.02%             | 2027-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                          | JPMDB Commercial Mortgage Securities Trust 2017-C5                              | CUSIP: 46590TAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030000 | PA      | $881231.74    | 0.12%             | 2050-03-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    460000 | PA      | $441294.39    | 0.06%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SACO I Trust                                            | SACO I Trust 2007-VA1                                                           | CUSIP: 78386KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8619 | PA      | $7058.85      | 0.00%             | 2021-06-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M5AJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87750 | PA      | $77921.50     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88546 | PA      | $9881.29      | 0.00%             | 2044-08-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    650000 | PA      | $627784.65    | 0.08%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AFRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510876 | PA      | $32605.82     | 0.00%             | 2032-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2210000 | PA      | $2039130.23   | 0.27%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | Credit Suisse Mortgage Capital Certificates 2019-ICE4                           | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $187669.23    | 0.02%             | 2036-05-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    710000 | PA      | $700319.93    | 0.09%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA                                   | Petroleos del Peru SA                                                           | CUSIP: 716564AA7<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |   2040000 | PA      | $1607285.40   | 0.21%             | 2032-06-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123905 | PA      | $123930.72    | 0.02%             | 2070-04-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    430000 | PA      | $372174.37    | 0.05%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Catskill Park CLO, LTD.                                 | Catskill Park CLO Ltd                                                           | CUSIP: 149420AE1<br>LEI: 549300QY7L9WFVGWC115 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1217245.93   | 0.16%             | 2029-04-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                      | Union Pacific Corp                                                              | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    340000 | PA      | $275042.31    | 0.04%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                         | Nordea Bank Abp                                                                 | CUSIP: 65557CBE2<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    860000 | PA      | $841984.18    | 0.11%             | 2023-06-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                          | JPMBB Commercial Mortgage Securities Trust 2015-C30                             | CUSIP: 46644UBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654000 | PA      | $601937.81    | 0.08%             | 2048-07-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                | Uruguay Government International Bond                                           | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    410000 | PA      | $410453.74    | 0.05%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BGM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99346 | PA      | $97375.18     | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    910000 | PA      | $769507.30    | 0.10%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                     | Abbott Laboratories                                                             | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    430000 | PA      | $424229.01    | 0.06%             | 2026-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    690000 | PA      | $549956.26    | 0.07%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94336 | PA      | $81635.04     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381159 | PA      | $346941.03    | 0.05%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    230000 | PA      | $200934.49    | 0.03%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139485 | PA      | $20790.43     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16886 | PA      | $2855.81      | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    300000 | PA      | $267909.89    | 0.04%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1298937.44   | 0.17%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    280000 | PA      | $264647.42    | 0.04%             | 2028-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                             | Corp Nacional del Cobre de Chile                                                | CUSIP: 21987BAW8<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |   1110000 | PA      | $1054421.55   | 0.14%             | 2027-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                            | Chevron Corp                                                                    | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    470000 | PA      | $439711.22    | 0.06%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2018-J1 Trust                                                        | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1417017 | PA      | $1242944.94   | 0.16%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    310000 | PA      | $251190.13    | 0.03%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319318 | PA      | $316096.07    | 0.04%             | 2058-08-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1281002.32   | 0.17%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1094628.91   | 0.15%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    360000 | PA      | $316624.86    | 0.04%             | 2033-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173565 | PA      | $163807.07    | 0.02%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     59000 | PA      | $56709.30     | 0.01%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GFF1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1548600.02   | 0.21%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                 | Shell International Finance BV                                                  | CUSIP: 822582BD3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   2550000 | PA      | $2479624.92   | 0.33%             | 2025-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    590000 | PA      | $574333.85    | 0.08%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1984678 | PA      | $96371.97     | 0.01%             | 2029-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143302.67    | 0.02%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                   | Vale Overseas Ltd                                                               | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |   1258000 | PA      | $1301642.54   | 0.17%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11538 | PA      | $11185.98     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                              | Applebee's Funding LLC / IHOP Funding LLC                                       | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    990000 | PA      | $940336.55    | 0.12%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     34000 | PA      | $42790.31     | 0.01%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    910000 | PA      | $890618.57    | 0.12%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDD3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    300000 | PA      | $279333.39    | 0.04%             | 2026-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        91 | NC      | $325609.38    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2013-GC16                                          | CUSIP: 36248GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $233575.66    | 0.03%             | 2046-11-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72424 | PA      | $71065.07     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2990000 | PA      | $2749007.35   | 0.36%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    120000 | PA      | $107097.00    | 0.01%             | 2030-02-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1834403 | PA      | $1622065.54   | 0.22%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                             | Cargill Inc                                                                     | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    470000 | PA      | $459103.09    | 0.06%             | 2023-07-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    160000 | PA      | $134794.14    | 0.02%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98178 | PA      | $86864.99     | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    560000 | PA      | $444260.86    | 0.06%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD                                    | Grippen Park CLO Ltd                                                            | CUSIP: 39862EAA2<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |    454336 | PA      | $448939.20    | 0.06%             | 2030-01-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617FACH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95484 | PA      | $89003.31     | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7540000 | PA      | $7195103.89   | 0.95%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-ACB                 | CUSIP: 46593EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $599570.32    | 0.08%             | 2039-03-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                      | Union Pacific Corp                                                              | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    600000 | PA      | $590231.27    | 0.08%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301206 | PA      | $296351.10    | 0.04%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5400000 | PA      | $4626492.23   | 0.61%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141EC23<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    280000 | PA      | $275352.54    | 0.04%             | 2024-07-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160598 | PA      | $139634.15    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2018-3 Ltd                                                             | CUSIP: 92917KAA2<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |   1090000 | PA      | $1075477.91   | 0.14%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                      | Whitebox Clo II Ltd                                                             | CUSIP: 96466CAL2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |   1110000 | PA      | $1071549.60   | 0.14%             | 2034-10-24      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGGA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286165 | PA      | $263582.12    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1879290 | PA      | $1681345.95   | 0.22%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                          | BRAVO Residential Funding Trust 2021-NQM2                                       | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188893 | PA      | $177560.94    | 0.02%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53884 | PA      | $50068.33     | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3550000 | PA      | $3268411.20   | 0.43%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68915.56     | 0.01%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2018-2-GS                                               | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1241688 | PA      | $1129422.73   | 0.15%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-3                                      | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618869 | PA      | $589373.83    | 0.08%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XX                          | Octagon Investment Partners XXI Ltd                                             | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $706624.72    | 0.09%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $1338304.28   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183292 | PA      | $152762.56    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                           | SBA Small Business Investment Cos                                               | CUSIP: 831641FR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2966868 | PA      | $2541270.28   | 0.34%             | 2031-03-10      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1394520.83   | 0.18%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                      | Raytheon Technologies Corp                                                      | CUSIP: 75513EBX8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    210000 | PA      | $203006.15    | 0.03%             | 2024-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72610 | PA      | $71281.80     | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                 | Nationwide Building Society                                                     | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    940000 | PA      | $926462.91    | 0.12%             | 2024-08-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101784 | PA      | $100932.72    | 0.01%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                                 | Halsey Point CLO I Ltd                                                          | CUSIP: 406375AA3<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243743.50    | 0.03%             | 2033-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85387.93     | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                             | Swedbank AB                                                                     | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    610000 | PA      | $597616.02    | 0.08%             | 2023-06-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38375BJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    926738 | PA      | $918799.79    | 0.12%             | 2060-11-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust 2021-GS2                                            | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418381 | PA      | $377974.62    | 0.05%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    290000 | PA      | $265433.88    | 0.04%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1300000 | PA      | $1298882.81   | 0.17%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     58726 | PA      | $59312.65     | 0.01%             | 2024-11-25      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    490000 | PA      | $474658.30    | 0.06%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-172855.90   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    240000 | PA      | $204730.78    | 0.03%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                     | Midocean Credit Clo VII                                                         | CUSIP: 59801WAR7<br>LEI: 5493004MLF21SFT7F415 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $710680.07    | 0.09%             | 2029-07-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1216849.76   | 0.16%             | 2027-06-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    580000 | PA      | $534021.96    | 0.07%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-7R 1A1                                        | CSMC 2022-7R 1A1                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1150828 | PA      | $1153644.79   | 0.15%             | 2066-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -62 | NC      | $-122062.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AR4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91845 | PA      | $76404.45     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -88 | NC      | $-44000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64191 | PA      | $59022.39     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                  | National Securities Clearing Corp                                               | CUSIP: 637639AB1<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |    600000 | PA      | $555892.76    | 0.07%             | 2025-04-23      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                     | Gilead Sciences Inc                                                             | CUSIP: 375558AW3<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88580.22     | 0.01%             | 2024-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                        | FirstEnergy Corp                                                                | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    190000 | PA      | $168308.91    | 0.02%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                                  | National Securities Clearing Corp                                               | CUSIP: 637639AA3<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |    420000 | PA      | $414102.45    | 0.05%             | 2023-04-23      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    930000 | PA      | $912850.24    | 0.12%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    310000 | PA      | $292770.22    | 0.04%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUT FIN BV                                  | Teva Pharmaceutical Finance Co BV                                               | CUSIP: 88165FAG7<br>LEI: 549300Q840R30TDKVK53 | Long             | DBT              | CORP              | CW        |    230000 | PA      | $229685.85    | 0.03%             | 2022-12-18      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    940000 | PA      | $826987.92    | 0.11%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    280000 | PA      | $275697.20    | 0.04%             | 2023-05-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1222319.88   | 0.16%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61255 | PA      | $58573.86     | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        78 | NC      | $-361476.30   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| EQUATE PETROCHEMICAL BV                                 | Equate Petrochemical BV                                                         | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |    880000 | PA      | $835304.80    | 0.11%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        33 | NC      | $50015.63     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87108 | PA      | $11907.02     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1447485 | PA      | $1286244.07   | 0.17%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1214765 | PA      | $1175136.02   | 0.16%             | 2042-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $91878.66     | 0.01%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2018-C11                                          | CUSIP: 90276XAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $930387.54    | 0.12%             | 2051-06-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35666.27     | 0.00%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X83X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85788 | PA      | $74350.62     | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    390000 | PA      | $388872.26    | 0.05%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-CCRE12 Mortgage Trust                                                 | CUSIP: 12591KAK1<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $27600.00     | 0.00%             | 2046-10-10      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1684027.77   | 0.22%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                  | Asian Development Bank                                                          | CUSIP: 045167FH1<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | N/A       |   1280000 | PA      | $1159435.25   | 0.15%             | 2027-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87179.09     | 0.01%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                                                | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6220000 | PA      | $6315243.75   | 0.84%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                            | Alphabet Inc                                                                    | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    150000 | PA      | $94535.46     | 0.01%             | 2050-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99557 | PA      | $95756.56     | 0.01%             | 2032-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    356000 | PA      | $357423.36    | 0.05%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $189882.42    | 0.03%             | 2032-09-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                         | AREIT 2022-CRE7 LLC                                                             | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1810000 | PA      | $1781648.16   | 0.24%             | 2039-06-17      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3200000 | PA      | $2816375.04   | 0.37%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260000 | PA      | $244689.56    | 0.03%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    610000 | PA      | $499127.35    | 0.07%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    954517 | PA      | $911918.54    | 0.12%             | 2038-10-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AM5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15957.83     | 0.00%             | 2050-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SINOPEC GRP OVERSEA 2014                                | Sinopec Group Overseas Development 2014 Ltd                                     | CUSIP: 82937WAE5<br>LEI: 549300ZIMV82UUECOQ45 | Long             | DBT              | CORP              | VG        |   1620000 | PA      | $1607334.39   | 0.21%             | 2024-04-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    770000 | PA      | $709657.61    | 0.09%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                                | MassMutual Global Funding II                                                    | CUSIP: 57629WCU2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1370034.02   | 0.18%             | 2023-06-09      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                          | Carlyle Global Market Strategies CLO 2014-3-R Ltd                               | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    545508 | PA      | $535277.58    | 0.07%             | 2031-07-27      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                 | Procter & Gamble Co/The                                                         | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75469.85     | 0.01%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389735 | PA      | $346424.97    | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $647040.90    | 0.09%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                | Fox Corp                                                                        | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    210000 | PA      | $203138.31    | 0.03%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ARAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93395 | PA      | $77694.14     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo                          | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    924000 | PA      | $898590.00    | 0.12%             | 2037-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78077 | PA      | $75225.15     | 0.01%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QAZ3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    970000 | PA      | $934652.75    | 0.12%             | 2027-04-14      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     56000 | PA      | $56840.56     | 0.01%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       584 | NC      | $140427.47    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    870000 | PA      | $830744.18    | 0.11%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94825 | PA      | $84279.80     | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                     | Bank of Nova Scotia/The                                                         | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    480000 | PA      | $439147.22    | 0.06%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1508221 | PA      | $1301346.01   | 0.17%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1732300.90   | 0.23%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                    | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1160652.27   | 0.15%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        31 | NC      | $110921.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    320000 | PA      | $313879.47    | 0.04%             | 2025-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    530000 | PA      | $521046.11    | 0.07%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   2850000 | PA      | $2735723.24   | 0.36%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                    | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    810000 | PA      | $799935.82    | 0.11%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAH6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2040000 | PA      | $2002424.97   | 0.27%             | 2024-03-12      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                          | Microsoft Corp                                                                  | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9124.66      | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330918 | PA      | $51502.00     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-24

**Name of Applicant:** Western Asset Funds Inc

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer