# EDGAR Filing Document

**Accession Number:** 0001501825
**File Stem:** 0001752724-23-073981
**Filing Date:** 2023-3
**Character Count:** 312022
**Document Hash:** 65d910f255415c6902bf6e4822141a30
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-073981.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001752724-23-073981

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**PERIOD START**: 20230731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Hartford Funds Exchange-Traded Trust
- **CENTRAL INDEX KEY:** 0001501825
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23222
- **FILM NUMBER:** 23778830

**BUSINESS ADDRESS:**
- **STREET 1:** 690 LEE ROAD
- **CITY:** WAYNE
- **STATE:** PA
- **ZIP:** 19087
- **BUSINESS PHONE:** 610-386-4068

**MAIL ADDRESS:**
- **STREET 1:** 690 LEE ROAD
- **CITY:** WAYNE
- **STATE:** PA
- **ZIP:** 19087

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Hartford Active Exchange-Traded Fund Trust
- **DATE OF NAME CHANGE:** 20100921

## Series and Classes Contracts Data

### Hartford Core Bond ETF (Series ID: S000067959)

| Class ID   | Class Name             | Ticker Symbol   |
|:---|:---|:---|
| C000217911 | Hartford Core Bond ETF | HCRB            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Hartford Funds Exchange-Traded Trust

- **b. Investment Company Act file number:** 811-23222

- **c. CIK number of Registrant:** 0001501825

- **d. LEI of Registrant:** 549300IA3XO4BB2LUL19

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

  - **Street Address 1:** 690 LEE ROAD

  - **City:** WAYNE

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19087

  - **Telephone number:** 610-386-4068

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

- **a. Name of Series:** Hartford Core Bond ETF

- **b. EDGAR series identifier (if any):** S000067959

- **c. LEI of Series:** 54930082MBO8AM8BIK30

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

- **a. Date of fiscal year-end:** 2023-07-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $316472252.98

**Total Liabilities:** $70250839.58

**Net Assets:** $246221413.40

**Delayed Delivery Securities:** $45000.00

**Cash Not Reported:** $3406875.82

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -195.18000000 | **1-Year:** -5437.18000000 | **5-Year:** -22311.53000000 | **10-Year:** -27283.23000000 | **30-Year:** -11017.28000000

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

- **3-Month:** -34.12000000 | **1-Year:** -753.54000000 | **5-Year:** -3904.59000000 | **10-Year:** -783.06000000 | **30-Year:** -228.12000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000217911 | 3.54%                | -0.04%               | 3.28%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-496687.62              | $9336579.07                                |
| Month 2  | $1794187.30              | $-2967513.22                               |
| Month 3  | $-319031.34              | $8554843.91                                |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-6                                                                              | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153005 | PA      | $146149.51    | 0.06%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B22 Mortgage Trust                                                                             | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561567 | PA      | $48499.55     | 0.02%             | 2054-01-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2330000 | PA      | $2472348.44   | 1.00%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                           | KeyCorp                                                                                                       | CUSIP: 49326EEJ8<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     78000 | PA      | $67727.11     | 0.03%             | 2029-10-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64767.47     | 0.03%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                        | Evergy Inc                                                                                                    | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    314000 | PA      | $278583.59    | 0.11%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| New York State Thruway Authority                  | NEW YORK ST THRUWAY AUTH                                                                                      | CUSIP: 650009S53<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     85000 | PA      | $74562.13     | 0.03%             | 2035-01-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                  | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    328000 | PA      | $249855.87    | 0.10%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                           | Metropolitan Life Global Funding I                                                                            | CUSIP: 59217GET2<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    470000 | PA      | $394866.91    | 0.16%             | 2032-01-11      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                     | Sempra Energy                                                                                                 | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     47000 | PA      | $44481.21     | 0.02%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Trust                 | Bunker Hill Loan Depositary Trust 2019-2                                                                      | CUSIP: 12061RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28242 | PA      | $26466.58     | 0.01%             | 2049-07-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-R1                                                                              | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64855 | PA      | $59963.22     | 0.02%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43569.52     | 0.02%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1570000 | PA      | $914218.36    | 0.37%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM1                                                                     | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59979 | PA      | $52818.74     | 0.02%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: B9D0UTL09 IRS USD R V 12MSOFR 99D0UTL17 CCPOIS / Short: B9D0UTL09 IRS USD P F  2.88000 99D0UTL09 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    380000 | OU      | $7423.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2021-MH1                                                                               | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77068 | PA      | $64870.96     | 0.03%             | 2046-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-277P Mortgage Trust                                                                                 | CUSIP: 12592FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $199951.31    | 0.08%             | 2049-08-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    431008 | PA      | $296074.22    | 0.12%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Marshall University                               | MARSHALL UNIV WV                                                                                              | CUSIP: 572716KA5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10000 | PA      | $9470.26      | 0.00%             | 2026-05-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-4                                                                    | CUSIP: 85573PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423468 | PA      | $355170.37    | 0.14%             | 2056-08-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                      | NiSource Inc                                                                                                  | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    317000 | PA      | $303675.60    | 0.12%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                 | 245 Park Avenue Trust 2017-245P                                                                               | CUSIP: 90187LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $215001.10    | 0.09%             | 2037-06-05      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                             | Brooklyn Union Gas Co/The                                                                                     | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    325000 | PA      | $314371.91    | 0.13%             | 2032-08-05      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                          | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    255000 | PA      | $244771.43    | 0.10%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    455000 | PA      | $445277.93    | 0.18%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209000 | PA      | $198951.70    | 0.08%             | 2047-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ATQ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419326 | PA      | $385028.68    | 0.16%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                                                    | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    144000 | PA      | $128028.60    | 0.05%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3450000 | PA      | $3327228.51   | 1.35%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                          | Anheuser-Busch InBev Worldwide Inc                                                                            | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     31000 | PA      | $28744.62     | 0.01%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                      | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    101000 | PA      | $76163.86     | 0.03%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                | Regal Rexnord Corp                                                                                            | CUSIP: 758750AD5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    365000 | PA      | $369925.49    | 0.15%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                         | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    350000 | PA      | $278417.70    | 0.11%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust I LLC 2018-3                                                                         | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1246 | PA      | $1241.45      | 0.00%             | 2048-09-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    399517 | PA      | $287648.26    | 0.12%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                                                 | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39504.58     | 0.02%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63770.11     | 0.03%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 55 CLO Ltd                                                                                             | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $267752.25    | 0.11%             | 2031-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-NET                                                                                                 | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97732 | PA      | $88770.85     | 0.04%             | 2037-08-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136BPRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735000 | PA      | $743814.12    | 0.30%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     55000 | PA      | $50467.39     | 0.02%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400GS6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     72000 | PA      | $64146.66     | 0.03%             | 2029-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4565000 | PA      | $4283253.91   | 1.74%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-1                                                                               | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101795 | PA      | $86829.25     | 0.04%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                    | Halliburton Co                                                                                                | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87838.90     | 0.04%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AX5Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15460 | PA      | $14510.94     | 0.01%             | 2027-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-5                                                                             | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439446 | PA      | $367830.06    | 0.15%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                 | L3Harris Technologies Inc                                                                                     | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98602.77     | 0.04%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2021-NQM4                                                                        | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593688 | PA      | $484973.35    | 0.20%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                        | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    815000 | PA      | $779199.10    | 0.32%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    196000 | PA      | $180498.96    | 0.07%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-6 LLC                                                                                               | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243716 | PA      | $225754.45    | 0.09%             | 2026-07-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-1                                                                             | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379944 | PA      | $341038.81    | 0.14%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS4                                                               | CUSIP: 94989XBD6<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |     55759 | PA      | $54231.06     | 0.02%             | 2048-12-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229149 | PA      | $12004.59     | 0.00%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-3                                                                               | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52524 | PA      | $48430.54     | 0.02%             | 2065-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                             | Northrop Grumman Corp                                                                                         | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    270000 | PA      | $275005.69    | 0.11%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2020-RPL1 Trust                                                                                          | CUSIP: 19687YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257256 | PA      | $224312.03    | 0.09%             | 2065-01-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                      | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    660000 | PA      | $545445.34    | 0.22%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2240527 | PA      | $2095855.24   | 0.85%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2022-6                                                                    | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87000 | PA      | $88253.17     | 0.04%             | 2027-08-16      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    200000 | PA      | $162811.64    | 0.07%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority Sales Tax Receipts Fund | CHICAGO IL TRANSIT AUTH SALES TAX RECPTS REVENUE                                                              | CUSIP: 16772PCX2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     40000 | PA      | $35404.32     | 0.01%             | 2040-12-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2019-1                                                                                  | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28608 | PA      | $26783.69     | 0.01%             | 2049-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust        | JPMDB Commercial Mortgage Securities Trust 2017-C7                                                            | CUSIP: 46648KAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142704 | PA      | $136888.76    | 0.06%             | 2050-10-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| County of Riverside CA                            | RIVERSIDE CNTY CA PENSN OBLG                                                                                  | CUSIP: 76913CBB4<br>LEI: 254900CB5HEOBAVTY629 | Long             | DBT              | MUN               | US        |     55000 | PA      | $51686.28     | 0.02%             | 2027-02-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    317000 | PA      | $274487.26    | 0.11%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                                                           | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102615.27    | 0.04%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    312000 | PA      | $282369.36    | 0.11%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-2                                                                             | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69846 | PA      | $60529.34     | 0.02%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                  | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     97000 | PA      | $74992.60     | 0.03%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                                                           | CUSIP: 20268JAA1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    117000 | PA      | $113006.45    | 0.05%             | 2024-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                    | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16797.39     | 0.01%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-2                                                                    | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47704 | PA      | $44404.34     | 0.02%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK31                                                                                               | CUSIP: 06541ABG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $140103.78    | 0.06%             | 2054-02-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2300000 | PA      | $1986625.00   | 0.81%             | 2053-02-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2018-BNK15                                                                                               | CUSIP: 06036FBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $142789.52    | 0.06%             | 2061-11-15      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-HX1 Mortgage Loan Trust                                                                             | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502786 | PA      | $417919.00    | 0.17%             | 2066-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST                                        | MFA 2021-NQM2 Trust                                                                                           | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147599 | PA      | $122648.77    | 0.05%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1435838.47   | 0.58%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                                                         | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45451.39     | 0.02%             | 2034-01-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    230000 | PA      | $194702.34    | 0.08%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond - WI Reopening                                                               | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2285000 | PA      | $2352121.88   | 0.96%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                                                | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    132000 | PA      | $125308.38    | 0.05%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                          | International Business Machines Corp                                                                          | CUSIP: 459200KN0<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    125000 | PA      | $108278.44    | 0.04%             | 2032-02-09      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                        | NMLT 2021-INV1 Trust                                                                                          | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248565 | PA      | $198567.95    | 0.08%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                           | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    215000 | PA      | $218762.50    | 0.09%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                   | DAE Funding LLC                                                                                               | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    455000 | PA      | $429541.90    | 0.17%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-NQM1                                                                 | CUSIP: 64830JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554108 | PA      | $489688.94    | 0.20%             | 2061-04-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    277000 | PA      | $290865.85    | 0.12%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3218326 | PA      | $3171747.87   | 1.29%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    220000 | PA      | $182620.67    | 0.07%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCIV LLC                                                                                                 | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160442 | PA      | $150198.08    | 0.06%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2019-NQM2 Trust                                                                                          | CUSIP: 36167FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10702 | PA      | $10127.82     | 0.00%             | 2060-01-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $143589.81    | 0.06%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    120000 | PA      | $94854.12     | 0.04%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                                                                            | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    400000 | PA      | $356362.06    | 0.14%             | 2029-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                                  | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    130000 | PA      | $114549.64    | 0.05%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C18                                                                                 | CUSIP: 054975AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $185401.04    | 0.08%             | 2055-12-15      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418EE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983807 | PA      | $859969.85    | 0.35%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $176977.68    | 0.07%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                                                                            | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    230000 | PA      | $220018.00    | 0.09%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM5 Trust                                                                                          | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206056 | PA      | $165897.90    | 0.07%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3375000 | PA      | $3189704.60   | 1.30%             | 2053-02-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2021-RN3 LLC                                                                                             | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534886 | PA      | $485719.38    | 0.20%             | 2051-09-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-LC19 Mortgage Trust                                                                                 | CUSIP: 200474BC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $33673.47     | 0.01%             | 2048-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                                                       | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    415000 | PA      | $355689.56    | 0.14%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2014-K39 Mortgage Trust                                                                                 | CUSIP: 30292GAN8<br>LEI: 549300XDUXW4MOV3QH87 | Long             | ABS-MBS          | USGSE             | US        |    315000 | PA      | $308181.70    | 0.13%             | 2047-08-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-8 LLC                                                                                               | CUSIP: 69360MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241236 | PA      | $222206.91    | 0.09%             | 2026-09-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2017-1                                                                     | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36885 | PA      | $30706.86     | 0.01%             | 2066-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    630000 | PA      | $446266.41    | 0.18%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-4                                                                              | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164872 | PA      | $157240.99    | 0.06%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                   | Residential Mortgage Loan Trust 2021-1R                                                                       | CUSIP: 76090NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62210 | PA      | $57412.31     | 0.02%             | 2065-01-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                                                | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    195000 | PA      | $201623.69    | 0.08%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QPCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    981110 | PA      | $858218.04    | 0.35%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                              | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     96000 | PA      | $88493.32     | 0.04%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2020-1 LLC                                                                              | CUSIP: 784054AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59692 | PA      | $58559.45     | 0.02%             | 2027-10-20      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust           | DBJPM 16-C1 Mortgage Trust                                                                                    | CUSIP: 23312LAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32202 | PA      | $31103.80     | 0.01%             | 2049-05-10      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                 | State Street Corp                                                                                             | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    110000 | PA      | $115348.72    | 0.05%             | 2028-11-04      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2017-2 Ltd                                                                            | CUSIP: 05683HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    380000 | PA      | $374395.00    | 0.15%             | 2034-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-8                                                                             | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267133 | PA      | $232196.68    | 0.09%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM7 Trust                                                                                          | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187959 | PA      | $168310.60    | 0.07%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| United Mexican States                             | Mexico Government International Bond                                                                          | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    230000 | PA      | $196206.10    | 0.08%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2021-E                                                              | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172498 | PA      | $149282.19    | 0.06%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC            | Amur Equipment Finance Receivables XI LLC                                                                     | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $129237.41    | 0.05%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $357890.62    | 0.15%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                          | Aon Corp / Aon Global Holdings PLC                                                                            | CUSIP: 03740LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $81969.63     | 0.03%             | 2052-02-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                                                          | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99000 | PA      | $87521.35     | 0.04%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2022-NQM1 Trust                                                                                           | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496275 | PA      | $436694.86    | 0.18%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK28                                                                                               | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1253812 | PA      | $124332.01    | 0.05%             | 2063-03-15      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                          | Vantage Data Centers Issuer LLC                                                                               | CUSIP: 92212KAB2<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $210713.17    | 0.09%             | 2045-09-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                                                 | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29418.66     | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XDWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504289 | PA      | $424744.95    | 0.17%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98452 | PA      | $5981.82      | 0.00%             | 2030-01-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                    | Barings Clo Ltd 2015-II                                                                                       | CUSIP: 06759FAB2<br>LEI: 549300Y5E22C3P2S6J52 | Long             | ABS-CBDO         | CORP              | KY        |    563475 | PA      | $558911.75    | 0.23%             | 2030-10-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO XXXIII Ltd                                                                                   | CUSIP: 09630MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $452065.00    | 0.18%             | 2034-11-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    205000 | PA      | $201218.55    | 0.08%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2019-1                                                                           | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40094 | PA      | $39032.19     | 0.02%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                                                   | CUSIP: 61764PBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $203465.41    | 0.08%             | 2047-12-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                              | Lockheed Martin Corp                                                                                          | CUSIP: 539830BU2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    155000 | PA      | $157310.00    | 0.06%             | 2025-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5875972 | PA      | $4942973.05   | 2.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    455000 | PA      | $432641.02    | 0.18%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     55000 | PA      | $45249.43     | 0.02%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-7                                                                             | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532241 | PA      | $460520.23    | 0.19%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                          | Rogers Communications Inc                                                                                     | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     72000 | PA      | $60154.41     | 0.02%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                                | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $372728.77    | 0.15%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                                                                    | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $110000.00    | 0.04%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2022-1                                                                     | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281445 | PA      | $242510.03    | 0.10%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                | Panama Government International Bond                                                                          | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    650000 | PA      | $508858.21    | 0.21%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2017-K729 Mortgage Trust                                                                                | CUSIP: 30306HAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90000 | PA      | $86680.01     | 0.04%             | 2049-11-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR2 Trust                                                                                | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586682 | PA      | $565449.27    | 0.23%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM3                                                                 | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404213 | PA      | $339382.63    | 0.14%             | 2056-11-27      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F012429<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2600000 | PA      | $2301406.25   | 0.93%             | 2038-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                         | ONEOK Inc                                                                                                     | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77906.43     | 0.03%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                 | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    346000 | PA      | $348896.75    | 0.14%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2016-3 Ltd                                                                                           | CUSIP: 92915HAL7<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248486.75    | 0.10%             | 2031-10-18      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                   | CVS Health Corp                                                                                               | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    124000 | PA      | $118821.38    | 0.05%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                                                             | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172176 | PA      | $141238.15    | 0.06%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                                                           | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    504000 | PA      | $425757.35    | 0.17%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2021-NPL5 LLC                                                                                            | CUSIP: 74143KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546567 | PA      | $499352.77    | 0.20%             | 2051-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2022-SFR2 Trust                                                                            | CUSIP: 89616QAA9<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $624864.17    | 0.25%             | 2039-04-17      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR5 Trust                                                                          | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107485 | PA      | $104363.96    | 0.04%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    205000 | PA      | $192564.58    | 0.08%             | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R2                                                                            | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80520 | PA      | $71392.15     | 0.03%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2015-GC35                                                                 | CUSIP: 17324KAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59908 | PA      | $58499.42     | 0.02%             | 2048-11-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2022-4 Mortgage Loan Trust                                                                               | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97254 | PA      | $92616.83     | 0.04%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                  | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     92000 | PA      | $76105.48     | 0.03%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                                               | CUSIP: 94989HAQ3<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $344497.57    | 0.14%             | 2048-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -64 | NC      | $-144194.20   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| TRANSCANADA PIPELINES                             | TransCanada PipeLines Ltd                                                                                     | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    123000 | PA      | $116937.70    | 0.05%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                    | Amazon.com Inc                                                                                                | CUSIP: 023135CK0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    425000 | PA      | $370243.03    | 0.15%             | 2062-04-13      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust               | STAR 2021-1 Trust                                                                                             | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137389 | PA      | $122266.53    | 0.05%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-5 LLC                                                                                               | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159075 | PA      | $146368.66    | 0.06%             | 2026-06-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     55000 | PA      | $48345.34     | 0.02%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | NRZ Advance Receivables Trust 2015-ON1                                                                        | CUSIP: 62942QCW1<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $295231.80    | 0.12%             | 2053-09-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                                               | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    713000 | PA      | $665543.62    | 0.27%             | 2030-04-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4545000 | PA      | $4101507.44   | 1.67%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2016-1                                                                    | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16069 | PA      | $14879.76     | 0.01%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: B9D0UXBE1 IRS USD R V 12MSOFR 99D0UXBF8 CCPOIS / Short: B9D0UXBE1 IRS USD P F  2.97000 99D0UXBE1 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2145000 | OU      | $4570.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                                                | CUSIP: 10373QBQ2<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    130000 | PA      | $96687.12     | 0.04%             | 2061-02-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                     | Sempra Energy                                                                                                 | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    162000 | PA      | $135257.42    | 0.05%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                          | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $163925.56    | 0.07%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1975000 | PA      | $1791499.31   | 0.73%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    159000 | PA      | $114373.34    | 0.05%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                                                    | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $241636.04    | 0.10%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM2 Trust                                                                                          | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118363 | PA      | $100930.52    | 0.04%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                            | Credit Suisse AG/New York NY                                                                                  | CUSIP: 22550L2M2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $262101.72    | 0.11%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK24                                                                                               | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3996435 | PA      | $140149.37    | 0.06%             | 2062-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                    | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42301.44     | 0.02%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C18                                                                                 | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55000 | PA      | $59452.89     | 0.02%             | 2055-12-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| District of Columbia                              | DIST OF COLUMBIA REVENUE                                                                                      | CUSIP: 25483VXM1<br>LEI: 549300HWFOZXPKGOX654 | Long             | DBT              | MUN               | US        |     65000 | PA      | $51347.09     | 0.02%             | 2042-04-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 16 Ltd                                                                                                     | CUSIP: 74971CAA1<br>LEI: 549300FLUOZC8QYYKL96 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $335136.98    | 0.14%             | 2036-07-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     65000 | PA      | $73960.28     | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133ARGZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    989997 | PA      | $869002.23    | 0.35%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    275000 | PA      | $282057.62    | 0.11%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    295000 | PA      | $293905.61    | 0.12%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO XXIX Ltd                                                                                      | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $380528.85    | 0.15%             | 2034-04-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                      | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    495000 | PA      | $438778.56    | 0.18%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                                                           | CUSIP: 036752AL7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    107000 | PA      | $96410.54     | 0.04%             | 2029-09-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                           | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    305000 | PA      | $315854.11    | 0.13%             | 2029-01-10      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -73 | NC      | $-117208.49   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     42000 | PA      | $44527.47     | 0.02%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C16                                                                                 | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $119335.63    | 0.05%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300040.75    | 0.12%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ASJH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282000 | PA      | $244722.19    | 0.10%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4700000 | PA      | $4313986.70   | 1.75%             | 2053-02-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-2R Mortgage Loan Trust                                                                              | CUSIP: 12656YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42241 | PA      | $36468.31     | 0.01%             | 2054-07-27      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-NQM1 Trust                                                                                          | CUSIP: 126401AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92055 | PA      | $84288.58     | 0.03%             | 2065-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                             | Finance Department Government of Sharjah                                                                      | CUSIP: 000000000<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |    390000 | PA      | $326461.20    | 0.13%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2023-1                                                                 | CUSIP: 80287GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $159612.53    | 0.06%             | 2028-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                                                  | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     55000 | PA      | $43619.46     | 0.02%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL3 LLC                                                                                            | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134083 | PA      | $119325.20    | 0.05%             | 2051-05-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                                                           | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    201925 | PA      | $170900.64    | 0.07%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    175000 | PA      | $174550.82    | 0.07%             | 2033-07-22      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    175000 | PA      | $148214.39    | 0.06%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                        | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    145000 | PA      | $153961.54    | 0.06%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                          | Sabine Pass Liquefaction LLC                                                                                  | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43405.07     | 0.02%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1345000 | PA      | $1218275.78   | 0.49%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL2 LLC                                                                                            | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54425 | PA      | $51567.59     | 0.02%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                             | TransCanada PipeLines Ltd                                                                                     | CUSIP: 89352HAX7<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |      2000 | PA      | $1892.96      | 0.00%             | 2038-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Marshall University                               | MARSHALL UNIV WV                                                                                              | CUSIP: 572716KH0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10000 | PA      | $8867.94      | 0.00%             | 2034-05-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                                               | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6091.26      | 0.00%             | 2040-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F022428<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1214738.28   | 0.49%             | 2038-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     95000 | PA      | $88382.27     | 0.04%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-C33                                                                | CUSIP: 95000LAZ6<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    719000 | PA      | $686374.08    | 0.28%             | 2059-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     25000 | PA      | $17202.77     | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2016-C1                                                            | CUSIP: 46645LAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635000 | PA      | $609417.18    | 0.25%             | 2049-03-17      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83918.74     | 0.03%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A8ZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14136 | PA      | $13322.63     | 0.01%             | 2027-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13515000 | PA      | $12235298.44  | 4.97%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2021-3                                                                     | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349979 | PA      | $284519.49    | 0.12%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-C                                                                        | CUSIP: 105692AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413346 | PA      | $373824.75    | 0.15%             | 2061-03-01      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                                                | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    195000 | PA      | $206527.66    | 0.08%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7425000 | PA      | $6677859.38   | 2.71%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68346.29     | 0.03%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                                                  | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    132000 | PA      | $121801.62    | 0.05%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2020-2R Mortgage Loan Trust                                                                              | CUSIP: 12656GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55921 | PA      | $50539.06     | 0.02%             | 2065-10-26      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418EHV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822513 | PA      | $718974.93    | 0.29%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2023-1                                                                                    | CUSIP: 23346KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $139877.88    | 0.06%             | 2028-10-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                                                          | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    404035 | PA      | $357111.36    | 0.15%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-1 Mortgage Loan Trust                                                                               | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133975 | PA      | $108987.59    | 0.04%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140XF4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971012 | PA      | $849730.75    | 0.35%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                                                          | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84428.26     | 0.03%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    495000 | PA      | $479847.49    | 0.19%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | Toorak Mortgage Corp 2021-1 Ltd                                                                               | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $180637.69    | 0.07%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM6                                                                                                | CUSIP: 12662KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503113 | PA      | $410443.51    | 0.17%             | 2066-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM4 Trust                                                                                          | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348612 | PA      | $285005.38    | 0.12%             | 2066-08-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84393.60     | 0.03%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| RR 1 Ltd                                          | RR 1 LLC                                                                                                      | CUSIP: 78108YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    395000 | PA      | $389916.35    | 0.16%             | 2035-07-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     35000 | PA      | $30829.48     | 0.01%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                      | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68844 | PA      | $69532.86     | 0.03%             | 2042-07-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                       | NVIDIA Corp                                                                                                   | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    215000 | PA      | $186145.80    | 0.08%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140QL6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145659 | PA      | $122816.96    | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-5                                                                 | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $118396.18    | 0.05%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                                                | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     95000 | PA      | $82801.60     | 0.03%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                           | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    610000 | PA      | $604190.86    | 0.25%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2015-K45 Mortgage Trust                                                                                 | CUSIP: 30292PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    295000 | PA      | $285047.23    | 0.12%             | 2048-04-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                                                           | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41249 | PA      | $39128.00     | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                    | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     85000 | PA      | $81029.82     | 0.03%             | 2032-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    489000 | PA      | $466640.43    | 0.19%             | 2025-10-30      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                              | FS Rialto 2021-FL3                                                                                            | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $612577.92    | 0.25%             | 2036-11-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                               | Dominion Energy Inc                                                                                           | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     49000 | PA      | $44557.27     | 0.02%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2020-3                                                                    | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21183 | PA      | $19902.46     | 0.01%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1891766 | PA      | $1832814.29   | 0.74%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2019-INV3                                                                          | CUSIP: 92537MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37504 | PA      | $35795.86     | 0.01%             | 2059-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    165000 | PA      | $121125.52    | 0.05%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM1 Trust                                                                                           | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167735 | PA      | $140301.99    | 0.06%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $213595.42    | 0.09%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                               | DBGS 2018-C1 Mortgage Trust                                                                                   | CUSIP: 23307DBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $271939.84    | 0.11%             | 2051-10-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-4                                                                 | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $374383.71    | 0.15%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                             | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     95000 | PA      | $80703.23     | 0.03%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXII Ltd                                                                                 | CUSIP: 55819XAY8<br>LEI: 254900YXXBTCF4NGD347 | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $268016.58    | 0.11%             | 2033-01-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2911523.43   | 1.18%             | 2053-02-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS4                                                                          | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95966 | PA      | $81044.74     | 0.03%             | 2060-11-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                           | Exxon Mobil Corp                                                                                              | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1870.95      | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                    | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5875000 | PA      | $5234716.83   | 2.13%             | 2053-02-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                     | Sutter Health                                                                                                 | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    105000 | PA      | $78310.37     | 0.03%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    816000 | PA      | $708222.65    | 0.29%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2020-3                                                                  | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $99994.19     | 0.04%             | 2026-02-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-3 LLC                                                                                               | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116296 | PA      | $109030.78    | 0.04%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                                                    | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $96582.20     | 0.04%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                          | Willis North America Inc                                                                                      | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    309000 | PA      | $272055.44    | 0.11%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2020-2                                                                     | CUSIP: 31573WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27182 | PA      | $24609.11     | 0.01%             | 2065-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F012627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $239496.09    | 0.10%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                                              | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    102000 | PA      | $93884.70     | 0.04%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Trust 2020-1          | Bunker Hill Loan Depositary Trust 2020-1                                                                      | CUSIP: 12062RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59690 | PA      | $57038.24     | 0.02%             | 2055-02-25      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | TRK 2021-INV1 Trust                                                                                           | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167660 | PA      | $145489.95    | 0.06%             | 2056-07-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                | Regal Rexnord Corp                                                                                            | CUSIP: 758750AE3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    165000 | PA      | $167885.71    | 0.07%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2017-RB1                                                                | CUSIP: 95000TBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $397413.11    | 0.16%             | 2050-03-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1780000 | PA      | $1676259.38   | 0.68%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pretium Mortgage Credit Partners LLC                                                                          | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248057 | PA      | $228334.44    | 0.09%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     39000 | PA      | $37755.79     | 0.02%             | 2027-03-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                                                        | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $134957.05    | 0.05%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2022-4                                                                    | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $152654.91    | 0.06%             | 2027-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-1                                                                               | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625496 | PA      | $570837.25    | 0.23%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122098.69    | 0.05%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                                  | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    362000 | PA      | $300839.52    | 0.12%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey           | PORT AUTH OF NEW YORK & NEW JERSEY NY                                                                         | CUSIP: 73358W4V3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    205000 | PA      | $201891.91    | 0.08%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                                                  | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |    557836 | PA      | $557836.00    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL FUND LLC                                 | Imperial Fund Mortgage Trust 2021-NQM2                                                                        | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194289 | PA      | $159338.49    | 0.06%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                | Diageo Capital PLC                                                                                            | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $170138.29    | 0.07%             | 2030-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     87000 | PA      | $86876.69     | 0.04%             | 2045-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXXVIII Ltd                                                                              | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    385000 | PA      | $379553.02    | 0.15%             | 2034-07-17      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1408839 | PA      | $91233.72     | 0.04%             | 2030-06-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Ovintiv Inc                                       | Ovintiv Inc                                                                                                   | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $66435.48     | 0.03%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                          | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4519.13      | 0.00%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                        | BINOM Securitization Trust 2021-INV1                                                                          | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165012 | PA      | $147315.77    | 0.06%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    800000 | PA      | $643943.24    | 0.26%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-9 LLC                                                                                               | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476023 | PA      | $442124.96    | 0.18%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                             | CUSIP: 442851AY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $54153.55     | 0.02%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO XXIV Ltd                                                                                     | CUSIP: 09609NAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246198.25    | 0.10%             | 2034-04-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-1                                                                              | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191452 | PA      | $184284.75    | 0.07%             | 2058-03-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493623 | PA      | $466430.13    | 0.19%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1                                  | CUSIP: 62942QCR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329937 | PA      | $319869.89    | 0.13%             | 2053-08-15      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ACFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15759 | PA      | $14746.94     | 0.01%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Puget Energy Inc                                  | Puget Energy Inc                                                                                              | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    324000 | PA      | $310337.46    | 0.13%             | 2025-05-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-1                                                                   | CUSIP: 24380VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30073 | PA      | $27103.94     | 0.01%             | 2065-05-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59084 | PA      | $51658.76     | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corp          | NEW YORK TRANSPRTN DEV CORP LEASE REVENUE                                                                     | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    390000 | PA      | $381499.09    | 0.15%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-3                                                                           | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44820 | PA      | $43945.70     | 0.02%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                                              | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    100000 | PA      | $76518.94     | 0.03%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                          | OBX 2021-NQM3 Trust                                                                                           | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249851 | PA      | $198606.50    | 0.08%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                    | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    530000 | PA      | $520009.95    | 0.21%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                 | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $189869.29    | 0.08%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                    | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     45000 | PA      | $48031.54     | 0.02%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-CCRE22 Mortgage Trust                                                                               | CUSIP: 12592XBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $144115.88    | 0.06%             | 2048-03-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust        | JPMDB Commercial Mortgage Securities Trust 2016-C2                                                            | CUSIP: 46590LAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99333 | PA      | $95483.14     | 0.04%             | 2049-06-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8545000 | PA      | $8704217.36   | 3.54%             | 2027-09-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 37 CLO Ltd                                                                                            | CUSIP: 92333BAQ3<br>LEI: 549300IW5Q3C6JHMIU22 | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $648615.00    | 0.26%             | 2032-07-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14785000 | PA      | $14226519.69  | 5.78%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-3                                                                               | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169181 | PA      | $143709.03    | 0.06%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                        | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $241418.42    | 0.10%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 86 CLO Ltd                                                                                             | CUSIP: 26245XAL1<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $403387.52    | 0.16%             | 2034-07-17      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                   | Stack Infrastructure Issuer LLC                                                                               | CUSIP: 85236KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $54563.96     | 0.02%             | 2045-08-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     75000 | PA      | $78826.52     | 0.03%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM1 Trust                                                                                          | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116095 | PA      | $105475.37    | 0.04%             | 2066-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM2                                                                        | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660700 | PA      | $617096.60    | 0.25%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137FRK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22016 | PA      | $20242.41     | 0.01%             | 2042-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    445000 | PA      | $446442.49    | 0.18%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS4                                                                         | CUSIP: 36251XAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $354462.30    | 0.14%             | 2049-11-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                    | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    300000 | PA      | $246381.29    | 0.10%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2022-NQM1                                                                                                | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605619 | PA      | $536064.06    | 0.22%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2022-3                                                           | CUSIP: 02528GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30000 | PA      | $29633.45     | 0.01%             | 2026-10-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    280000 | PA      | $271562.39    | 0.11%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-2                                                                   | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60001 | PA      | $52008.91     | 0.02%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                                                      | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    180000 | PA      | $176324.69    | 0.07%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Summit Issuer, LLC                                | Summit Issuer LLC                                                                                             | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $66961.61     | 0.03%             | 2050-12-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                              | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    125000 | PA      | $92749.95     | 0.04%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State of California                               | CALIFORNIA ST                                                                                                 | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    180000 | PA      | $229372.38    | 0.09%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                           | Regatta VI Funding Ltd                                                                                        | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |    345000 | PA      | $340139.30    | 0.14%             | 2034-04-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM8                                                                                                | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252077 | PA      | $207133.20    | 0.08%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4310972.66   | 1.75%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     35000 | PA      | $31307.69     | 0.01%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                  | SoFi Consumer Loan Program 2021-1 Trust                                                                       | CUSIP: 83407CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27815 | PA      | $27183.72     | 0.01%             | 2030-09-25      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-8                                                                               | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244574 | PA      | $207824.91    | 0.08%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    475000 | PA      | $432442.40    | 0.18%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    173000 | PA      | $142429.90    | 0.06%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44220.57     | 0.02%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                     | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    170000 | PA      | $149181.74    | 0.06%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                      | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    225000 | PA      | $180039.23    | 0.07%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XXI Ltd               | Octagon Investment Partners XXI Ltd                                                                           | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |    785000 | PA      | $775383.75    | 0.31%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                   | McDonald's Corp                                                                                               | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    302000 | PA      | $246021.02    | 0.10%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS3                                                                          | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114385 | PA      | $106502.40    | 0.04%             | 2061-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                   | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    419000 | PA      | $330860.51    | 0.13%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                              | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54488.13     | 0.02%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    190000 | PA      | $201765.39    | 0.08%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-7                                                                 | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $357185.01    | 0.15%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust        | JPMDB Commercial Mortgage Securities Trust 2016-C4                                                            | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    632000 | PA      | $591359.75    | 0.24%             | 2049-12-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-4                                                                               | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33172 | PA      | $30068.81     | 0.01%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 3140MAVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    989107 | PA      | $864603.93    | 0.35%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2022-3                                                                      | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000 | PA      | $44594.27     | 0.02%             | 2027-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                                  | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     59000 | PA      | $39951.75     | 0.02%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-5                                                                               | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343140 | PA      | $296971.91    | 0.12%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                      | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     55000 | PA      | $49964.07     | 0.02%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    245000 | PA      | $193334.02    | 0.08%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                                                 | CUSIP: 59261AG76<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     40000 | PA      | $36896.43     | 0.01%             | 2049-11-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL              | BX Commercial Mortgage Trust 2019-XL                                                                          | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180638 | PA      | $179849.73    | 0.07%             | 2036-10-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                                                        | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    195000 | PA      | $144166.78    | 0.06%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                 | Affirm Asset Securitization Trust 2020-Z1                                                                     | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9633 | PA      | $9561.88      | 0.00%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust           | SG Commercial Mortgage Securities Trust 2020-COVE                                                             | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $46644.20     | 0.02%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                             | CUSIP: 442851AV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $83911.23     | 0.03%             | 2031-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                        | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $220822.90    | 0.09%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| 510 Assets Backed Trust                           | 510 Asset Backed 2021-NPL2 Trust                                                                              | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339718 | PA      | $309020.30    | 0.13%             | 2061-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         8 | NC      | $-9639.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                                  | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     23000 | PA      | $21079.91     | 0.01%             | 2029-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294785 | PA      | $257857.22    | 0.10%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                                                 | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097000 | PA      | $1020968.14   | 0.41%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                                               | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3799.57      | 0.00%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                             | DB Master Finance LLC                                                                                         | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    711112 | PA      | $678843.64    | 0.28%             | 2049-05-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1668.11      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-7 LLC                                                                                               | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373586 | PA      | $344117.00    | 0.14%             | 2026-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    466000 | PA      | $383084.62    | 0.16%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                                                      | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    366000 | PA      | $370212.26    | 0.15%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                   | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     67000 | PA      | $56100.38     | 0.02%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                                                 | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73877.84     | 0.03%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                      | Comcast Corp                                                                                                  | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    434000 | PA      | $370369.96    | 0.15%             | 2036-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NQM1 Trust                                                                                           | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74723 | PA      | $70182.73     | 0.03%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $882861.33    | 0.36%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2021-RN2 LLC                                                                                             | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194153 | PA      | $177554.53    | 0.07%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2021-R1                                                                             | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    358855 | PA      | $290460.79    | 0.12%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                | Regional Management Issuance Trust 2020-1                                                                     | CUSIP: 75907QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $93657.01     | 0.04%             | 2030-10-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM1R                                                                | CUSIP: 64828BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84824 | PA      | $73228.50     | 0.03%             | 2055-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT CIII LLC                                                                                                 | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272821 | PA      | $254932.49    | 0.10%             | 2051-08-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                               | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    315000 | PA      | $321398.79    | 0.13%             | 2027-11-17      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                            | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177840.25    | 0.07%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    232000 | PA      | $197815.01    | 0.08%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    528000 | PA      | $407178.75    | 0.17%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                                              | CUSIP: 06406RBP1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54622.42     | 0.02%             | 2034-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp                             | Oglethorpe Power Corp                                                                                         | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    254000 | PA      | $232239.97    | 0.09%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                                                | CUSIP: 61744YAL2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     91000 | PA      | $81116.73     | 0.03%             | 2038-07-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133B1RZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7946299 | PA      | $6696428.39   | 2.72%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM2R                                                                | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59339 | PA      | $53757.46     | 0.02%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                                                             | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    295000 | PA      | $297225.36    | 0.12%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7170000 | PA      | $6263387.13   | 2.54%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    310000 | PA      | $272860.55    | 0.11%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1464000 | PA      | $1451190.00   | 0.59%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-1                                                                    | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206004 | PA      | $196641.77    | 0.08%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2022-3                                                                             | CUSIP: 33845PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259000 | PA      | $254566.39    | 0.10%             | 2028-07-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2016-K56 Mortgage Trust                                                                                 | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $215379.32    | 0.09%             | 2049-06-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34576.39     | 0.01%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B18 Mortgage Trust                                                                             | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617315 | PA      | $48246.04     | 0.02%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $27604.52     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    180000 | PA      | $176757.24    | 0.07%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2021-3                                                                                 | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40763 | PA      | $40299.56     | 0.02%             | 2031-12-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK16                                                                                               | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958118 | PA      | $40407.29     | 0.02%             | 2052-02-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2020-II Ltd                                                                                      | CUSIP: 12547LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $295918.80    | 0.12%             | 2034-10-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34936.30     | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-2                                                                    | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190691 | PA      | $180274.13    | 0.07%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM2                                                                     | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83655 | PA      | $79402.80     | 0.03%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                          | Berkshire Hathaway Energy Co                                                                                  | CUSIP: 084659AM3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    417000 | PA      | $395223.18    | 0.16%             | 2028-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ACAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15955 | PA      | $14946.10     | 0.01%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                 | ITC Holdings Corp                                                                                             | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    297000 | PA      | $260094.87    | 0.11%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2015-C33                                                           | CUSIP: 46645JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56544 | PA      | $54993.49     | 0.02%             | 2048-12-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                              | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $998427.06    | 0.41%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                  | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    360000 | PA      | $301130.03    | 0.12%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-1                                                                              | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62525 | PA      | $61592.82     | 0.03%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| County of Riverside CA                            | RIVERSIDE CNTY CA PENSN OBLG                                                                                  | CUSIP: 76913CBC2<br>LEI: 254900CB5HEOBAVTY629 | Long             | DBT              | MUN               | US        |     55000 | PA      | $51127.62     | 0.02%             | 2028-02-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    390000 | PA      | $389416.35    | 0.16%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                                                    | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    227000 | PA      | $210346.95    | 0.09%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                             | KKR CLO 21 Ltd                                                                                                | CUSIP: 48252KAA7<br>LEI: 5493008X0MRR4A6VYF15 | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $267718.50    | 0.11%             | 2031-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    480000 | PA      | $397176.12    | 0.16%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                       | Cargill Inc                                                                                                   | CUSIP: 141781BW3<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    170000 | PA      | $163171.66    | 0.07%             | 2032-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                      | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    325000 | PA      | $248380.53    | 0.10%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                             | TransCanada PipeLines Ltd                                                                                     | CUSIP: 89352HBC2<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    185000 | PA      | $153467.59    | 0.06%             | 2031-10-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-6                                                                    | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384676 | PA      | $328432.73    | 0.13%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    667000 | PA      | $633391.25    | 0.26%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                            | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    187000 | PA      | $171049.86    | 0.07%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-6                                                                               | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485429 | PA      | $401021.36    | 0.16%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                           | GSK Consumer Healthcare Capital US LLC                                                                        | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    370000 | PA      | $340515.01    | 0.14%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    610000 | PA      | $607626.32    | 0.25%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     57000 | PA      | $50572.24     | 0.02%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                                                             | CUSIP: 637432NZ4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    235000 | PA      | $224523.86    | 0.09%             | 2032-12-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                                                | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    130000 | PA      | $92499.74     | 0.04%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                                                        | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    220000 | PA      | $182072.73    | 0.07%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                | Boston Gas Co                                                                                                 | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     65000 | PA      | $58964.03     | 0.02%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     77000 | PA      | $75010.54     | 0.03%             | 2031-03-24      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2013-C14                                                                      | CUSIP: 92890PAF1<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |      5230 | PA      | $5201.28      | 0.00%             | 2046-06-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                          | Sabine Pass Liquefaction LLC                                                                                  | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    117000 | PA      | $113307.66    | 0.05%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-4                                                                              | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119873 | PA      | $107390.48    | 0.04%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL5 LLC                                                                                            | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409976 | PA      | $376298.47    | 0.15%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     55000 | PA      | $43912.26     | 0.02%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust           | DBJPM 20-C9 Mortgage Trust                                                                                    | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467890 | PA      | $32288.44     | 0.01%             | 2053-09-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK29                                                                                               | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484283 | PA      | $110327.37    | 0.04%             | 2053-11-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL6 LLC                                                                                            | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515632 | PA      | $478715.28    | 0.19%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-P2                                                                 | CUSIP: 95000AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $227326.52    | 0.09%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                    | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45208.63     | 0.02%             | 2029-02-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1840000 | PA      | $1790765.63   | 0.73%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite XVII Ltd                                                                                            | CUSIP: 55954EAQ2<br>LEI: 5493003SVWF9GG13MZ22 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247989.25    | 0.10%             | 2031-07-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    735000 | PA      | $730344.83    | 0.30%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 45, Ltd.              | Octagon Investment Partners 45 Ltd                                                                            | CUSIP: 67577MAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    255000 | PA      | $245959.49    | 0.10%             | 2035-04-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    255000 | PA      | $257359.99    | 0.10%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -59 | NC      | $-25433.96    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SHERWIN-WILLIAMS CO                               | Sherwin-Williams Co/The                                                                                       | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    302000 | PA      | $257551.85    | 0.10%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2020-1                                                             | CUSIP: 35563PNP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19693 | PA      | $18214.94     | 0.01%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-3 Mortgage Loan Trust                                                                               | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403883 | PA      | $326792.36    | 0.13%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                                                   | CUSIP: 12659DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $94191.45     | 0.04%             | 2039-01-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2018-C14 Commercial Mortgage Trust                                                                      | CUSIP: 12596GBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $29431.82     | 0.01%             | 2051-11-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                      | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    165000 | PA      | $153671.77    | 0.06%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                               | Otis Worldwide Corp                                                                                           | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    630000 | PA      | $548429.27    | 0.22%             | 2030-02-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2020-NQM2 Trust                                                                                          | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23930 | PA      | $21622.92     | 0.01%             | 2065-04-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2725000 | PA      | $2380649.41   | 0.97%             | 2028-08-31      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCV LLC                                                                                                  | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111095 | PA      | $102508.74    | 0.04%             | 2051-03-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174324 | PA      | $16056.83     | 0.01%             | 2030-04-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                                               | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98752.41     | 0.04%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PBF2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1178000 | PA      | $1120912.82   | 0.46%             | 2025-10-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                               | Sherwin-Williams Co/The                                                                                       | CUSIP: 824348BJ4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1794.08      | 0.00%             | 2029-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                           | Shell International Finance BV                                                                                | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    175000 | PA      | $135635.16    | 0.06%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-4                                                                              | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49634 | PA      | $46228.10     | 0.02%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                                  | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $77718.13     | 0.03%             | 2050-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                                                        | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $98198.40     | 0.04%             | 2036-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2022-1 Mortgage Loan Trust                                                                               | CUSIP: 19688HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563251 | PA      | $503630.31    | 0.20%             | 2066-12-27      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                               | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $264817.21    | 0.11%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCIII LLC                                                                                                | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213230 | PA      | $191358.63    | 0.08%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                    | Lowe's Cos Inc                                                                                                | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112865.87    | 0.05%             | 2053-04-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR1 Trust                                                                                | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154128 | PA      | $149120.93    | 0.06%             | 2039-05-17      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1935000 | PA      | $1654425.00   | 0.67%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    405000 | PA      | $391672.03    | 0.16%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR4 Trust                                                                          | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    399297 | PA      | $384177.84    | 0.16%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR7 Trust                                                                          | CUSIP: 74333CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $177156.40    | 0.07%             | 2039-10-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1335000 | PA      | $1172088.28   | 0.48%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1840000 | PA      | $1787818.74   | 0.73%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Massachusetts                     | MASSACHUSETTS ST SPL OBLG REVENUE                                                                             | CUSIP: 576004HG3<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |    340000 | PA      | $335956.86    | 0.14%             | 2031-07-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55553.67     | 0.02%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                       | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     62000 | PA      | $56300.88     | 0.02%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-R6                                                                                             | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438850 | PA      | $391855.56    | 0.16%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL4 LLC                                                                                            | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325700 | PA      | $298594.82    | 0.12%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                      | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     29000 | PA      | $21107.82     | 0.01%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                                                   | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $87691.25     | 0.04%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Dallas Fort Worth International Airport           | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE                                                               | CUSIP: 23503CAN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    205000 | PA      | $195376.11    | 0.08%             | 2051-11-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                   | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    281000 | PA      | $299963.55    | 0.12%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co                                  | Georgia Power Co                                                                                              | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     71000 | PA      | $63671.79     | 0.03%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                   | CSL Finance PLC                                                                                               | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    230000 | PA      | $223888.68    | 0.09%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-RPL1 LLC                                                                                            | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93371 | PA      | $84235.49     | 0.03%             | 2051-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                           | O'Reilly Automotive Inc                                                                                       | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    240000 | PA      | $238872.94    | 0.10%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                | Royalty Pharma PLC                                                                                            | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    280000 | PA      | $222152.19    | 0.09%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                | Conagra Brands Inc                                                                                            | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    337000 | PA      | $336448.63    | 0.14%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                                                          | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    671000 | PA      | $632803.59    | 0.26%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1452000 | PA      | $959511.09    | 0.39%             | 2040-08-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -299 | NC      | $-307539.62   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2023-1                                                                  | CUSIP: 96042XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90000 | PA      | $90055.27     | 0.04%             | 2028-01-18      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2021-B                                                                               | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64699 | PA      | $61209.92     | 0.02%             | 2034-10-17      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pretium Mortgage Credit Partners I 2021-NPL4 LLC                                                              | CUSIP: 741391AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451121 | PA      | $420454.14    | 0.17%             | 2060-10-27      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                    | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    105000 | PA      | $75541.07     | 0.03%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2020-4                                                                             | CUSIP: 92538LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36176 | PA      | $33353.13     | 0.01%             | 2065-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-AFC1 Trust                                                                                          | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100841 | PA      | $85171.53     | 0.03%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1096253 | PA      | $89572.84     | 0.04%             | 2030-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                                                           | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21279.39     | 0.01%             | 2030-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ACFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17082 | PA      | $15978.96     | 0.01%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2020-NQM                                                                  | CUSIP: 64830UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20559 | PA      | $18889.90     | 0.01%             | 2060-05-24      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    161000 | PA      | $157766.50    | 0.06%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-4                                                                           | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129700 | PA      | $126056.15    | 0.05%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2020-NQM3 Trust                                                                                           | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25253 | PA      | $23330.73     | 0.01%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                   | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    575000 | PA      | $560201.40    | 0.23%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                                                      | CUSIP: 718286CW5<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $203217.77    | 0.08%             | 2033-07-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                               | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204664 | PA      | $187816.62    | 0.08%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6172000 | PA      | $5393749.38   | 2.19%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                   | CVS Health Corp                                                                                               | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107852.70    | 0.04%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                                                                            | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    180000 | PA      | $173947.79    | 0.07%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-3                                                                              | CUSIP: 89169DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87098 | PA      | $84800.00     | 0.03%             | 2057-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                            | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $53723.59     | 0.02%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                           | Brighthouse Financial Global Funding                                                                          | CUSIP: 10921U2H0<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    290000 | PA      | $269228.53    | 0.11%             | 2025-01-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40717.08     | 0.02%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                  | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    255000 | PA      | $276132.49    | 0.11%             | 2028-11-02      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                    | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     35000 | PA      | $25813.52     | 0.01%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                  | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $157595.15    | 0.06%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5260000 | PA      | $4602500.00   | 1.87%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                         | CUSIP: 000000000<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    400000 | PA      | $342000.00    | 0.14%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-4                                                                               | CUSIP: 03464EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217824 | PA      | $178896.02    | 0.07%             | 2065-01-20      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-EBO1                                                                           | CUSIP: 89180EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177803 | PA      | $173918.91    | 0.07%             | 2052-01-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-RPL4 Trust                                                                                          | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170650 | PA      | $151250.39    | 0.06%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                          | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124853.79    | 0.05%             | 2033-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                                                    | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $71856.80     | 0.03%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM2                                                                                                | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178047 | PA      | $148158.07    | 0.06%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                    | Galaxy Xxiv Clo Ltd                                                                                           | CUSIP: 36321BAA9<br>LEI: 6354006LLTU5DRVJLQ86 | Long             | ABS-CBDO         | CORP              | KY        |    785000 | PA      | $778523.75    | 0.32%             | 2031-01-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1227535 | PA      | $109092.55    | 0.04%             | 2030-05-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                        | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     65000 | PA      | $75519.48     | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136ABSM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13219 | PA      | $12368.65     | 0.01%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                                                        | CUSIP: 62954HAV0<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    264000 | PA      | $253375.54    | 0.10%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    155000 | PA      | $127993.88    | 0.05%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                | Panama Government International Bond                                                                          | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    400000 | PA      | $267380.72    | 0.11%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2095000 | PA      | $1892783.39   | 0.77%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                         | Avant Loans Funding Trust 2021-REV1                                                                           | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $144595.08    | 0.06%             | 2030-07-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-2 Mortgage Loan Trust                                                                               | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213372 | PA      | $174059.35    | 0.07%             | 2066-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2020-Z2                                                                     | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25447 | PA      | $24963.40     | 0.01%             | 2025-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                            | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $95182.37     | 0.04%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                                 | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    166000 | PA      | $129514.58    | 0.05%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-2                                                                               | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83159 | PA      | $69526.49     | 0.03%             | 2066-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                         | Hess Corp                                                                                                     | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    196000 | PA      | $219001.95    | 0.09%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $184083.01    | 0.07%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                             | Reynolds American Inc                                                                                         | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    155000 | PA      | $147836.19    | 0.06%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                                                           | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10154.33     | 0.00%             | 2025-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                          | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                           | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $296801.93    | 0.12%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F030421<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $718623.05    | 0.29%             | 2038-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1010000 | PA      | $606907.42    | 0.25%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                     | Life 2021-BMR Mortgage Trust                                                                                  | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486570 | PA      | $474942.16    | 0.19%             | 2038-03-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                        | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31192.49     | 0.01%             | 2053-03-15      | Fixed         | 6.25%                 | 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        |     92339 | PA      | $88455.63     | 0.04%             | 2069-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                              | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    230000 | PA      | $197709.96    | 0.08%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Venture CLO 43 Limited                            | Venture 43 CLO Ltd                                                                                            | CUSIP: 92290CAB5<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $145886.40    | 0.06%             | 2034-04-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                             | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $164182.80    | 0.07%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133B0QP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2363647 | PA      | $1992629.79   | 0.81%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1835000 | PA      | $1742676.56   | 0.71%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2019-K736 Mortgage Trust                                                                                | CUSIP: 30298MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $218494.69    | 0.09%             | 2026-07-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152288 | PA      | $132713.84    | 0.05%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | SOUND POINT CLO XIX Ltd                                                                                       | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | KY        |    785000 | PA      | $771435.20    | 0.31%             | 2031-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3314872 | PA      | $3128022.12   | 1.27%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                    | Lowe's Cos Inc                                                                                                | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37000.86     | 0.02%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2021-NPL3 LLC                                                                                            | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129192 | PA      | $114302.34    | 0.05%             | 2051-07-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497341 | PA      | $433581.42    | 0.18%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-4 LLC                                                                                               | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156679 | PA      | $142855.09    | 0.06%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                  | CUSIP: 3137FV5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1537074 | PA      | $120752.40    | 0.05%             | 2030-06-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                       | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $220903.62    | 0.09%             | 2027-10-19      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                                                           | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    195000 | PA      | $184972.10    | 0.08%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                             | CUSIP: 3136AVZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313000 | PA      | $270841.47    | 0.11%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                                                         | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    160000 | PA      | $138118.69    | 0.06%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                                                          | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    220000 | PA      | $214120.64    | 0.09%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                         | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24847000 | PA      | $24514111.32  | 9.96%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46134.73     | 0.02%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-3                                                                    | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44327 | PA      | $41766.28     | 0.02%             | 2058-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                          | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    170000 | PA      | $170670.50    | 0.07%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2020-5                                                                             | CUSIP: 92538CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54002 | PA      | $49563.46     | 0.02%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM5 Trust                                                                                          | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493195 | PA      | $397902.15    | 0.16%             | 2066-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                             | Quest Diagnostics Inc                                                                                         | CUSIP: 74834LBC3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     92000 | PA      | $79680.39     | 0.03%             | 2031-06-30      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                                                            | CUSIP: 22534PAC7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $407615.39    | 0.17%             | 2028-07-12      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                      | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     49000 | PA      | $35661.76     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1525000 | PA      | $1333004.88   | 0.54%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2022-2                                                                  | CUSIP: 96042VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $274287.78    | 0.11%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | CARLYLE US CLO 2018-1 LTD                                                                                     | CUSIP: 14311XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $267001.65    | 0.11%             | 2031-04-20      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2018-2                                                                          | CUSIP: 59980MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29987 | PA      | $29319.97     | 0.01%             | 2058-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                                              | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $314392.65    | 0.13%             | 2037-02-19      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                               | Gilead Sciences Inc                                                                                           | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    250000 | PA      | $205720.12    | 0.08%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                                                 | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    115000 | PA      | $126836.39    | 0.05%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR3 Trust                                                                          | CUSIP: 74331UAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $134751.94    | 0.05%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2021-2                                                                     | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63221 | PA      | $51687.63     | 0.02%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                          | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    435000 | PA      | $349084.92    | 0.14%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                                                    | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $60126.50     | 0.02%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                                                         | CUSIP: 445545AP1<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    255000 | PA      | $250920.00    | 0.10%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                   | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    470000 | PA      | $392094.53    | 0.16%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                                                 | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    205000 | PA      | $195145.10    | 0.08%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                            | CUSIP: 3137AXEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13440 | PA      | $12597.48     | 0.01%             | 2027-12-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VCD3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    214000 | PA      | $221919.24    | 0.09%             | 2033-01-31      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    160000 | PA      | $131791.09    | 0.05%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                                                 | CUSIP: 59261AG35<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     15000 | PA      | $14959.63     | 0.01%             | 2045-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                                | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    225000 | PA      | $226532.63    | 0.09%             | 2029-01-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2042000 | PA      | $1872577.81   | 0.76%             | 2027-01-31      | Fixed         | 1.50%                 | 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        |    190000 | PA      | $149211.19    | 0.06%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                                                           | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    445000 | PA      | $445018.29    | 0.18%             | 2027-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2020-6 LLC                                                                                               | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54093 | PA      | $52156.67     | 0.02%             | 2025-11-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1495000 | PA      | $1030498.84   | 0.42%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                            | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    135000 | PA      | $138623.40    | 0.06%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO X LTD                                                                                           | CUSIP: 94949WAM8<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $293026.80    | 0.12%             | 2032-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     95000 | PA      | $75270.37     | 0.03%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-2 LLC                                                                                               | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64167 | PA      | $60730.61     | 0.02%             | 2026-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2020-3 Mortgage Loan Trust                                                                               | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36018 | PA      | $33810.62     | 0.01%             | 2065-04-27      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: S9D0TKWI9 CDS USD R F  1.00000 1 CCPCDX / Short: S9D0TKWI9 CDS USD P V 03MEVENT 2 CCPCDX                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   5415000 | OU      | $66983.66     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-2                                                                              | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37969 | PA      | $36582.74     | 0.01%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                           | Shell International Finance BV                                                                                | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    190000 | PA      | $138650.10    | 0.06%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2022-SHIP                                                                   | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $44699.31     | 0.02%             | 2036-08-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                                                         | CUSIP: 89788MAL6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150630.83    | 0.06%             | 2029-01-26      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                           | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    825000 | PA      | $692655.86    | 0.28%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-RPL1                                                                 | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97768 | PA      | $93340.53     | 0.04%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                              | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230090 | PA      | $193972.42    | 0.08%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                       | Equinor ASA                                                                                                   | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     21000 | PA      | $17765.60     | 0.01%             | 2050-04-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                       | Equinor ASA                                                                                                   | CUSIP: 29446MAG7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    222000 | PA      | $193428.13    | 0.08%             | 2040-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                | Royalty Pharma PLC                                                                                            | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    440000 | PA      | $357765.17    | 0.15%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL4 Trust                                                                                          | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82872 | PA      | $74596.58     | 0.03%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCIX LLC                                                                                                 | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194980 | PA      | $177102.74    | 0.07%             | 2051-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                  | Alabama Power Co                                                                                              | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     42000 | PA      | $36897.20     | 0.01%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52083.71     | 0.02%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                   | CSL Finance PLC                                                                                               | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    230000 | PA      | $222367.03    | 0.09%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                           | Transcontinental Gas Pipe Line Co LLC                                                                         | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $85428.25     | 0.03%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                             | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    153000 | PA      | $140950.91    | 0.06%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                           | Exxon Mobil Corp                                                                                              | CUSIP: 30231GBF8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    202000 | PA      | $192342.71    | 0.08%             | 2040-03-19      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2014-2R Ltd                                                              | CUSIP: 14314LAC9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |    246409 | PA      | $244166.57    | 0.10%             | 2031-05-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -23 | NC      | $-145049.11   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CARGILL INC                                       | Cargill Inc                                                                                                   | CUSIP: 141781BS2<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    255000 | PA      | $208619.39    | 0.08%             | 2031-11-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                                  | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59015.32     | 0.02%             | 2049-05-15      | Fixed         | 5.30%                 | 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        |     85158 | PA      | $72604.87     | 0.03%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                   | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    480000 | PA      | $481167.74    | 0.20%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp        | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                                                      | CUSIP: 341271AD6<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    230000 | PA      | $212306.88    | 0.09%             | 2025-07-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                | Royalty Pharma PLC                                                                                            | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    180000 | PA      | $156204.92    | 0.06%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                               | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114633.75    | 0.05%             | 2029-11-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-6                                                                 | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $84403.08     | 0.03%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                   | Prestige Auto Receivables Trust 2020-1                                                                        | CUSIP: 74114BAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $102716.39    | 0.04%             | 2026-11-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                          | Kaiser Foundation Hospitals                                                                                   | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    225000 | PA      | $173053.10    | 0.07%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                              | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436500 | PA      | $392997.97    | 0.16%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL SPECIALTY F                          | Bain Capital Specialty Finance Inc                                                                            | CUSIP: 05684BAC1<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |    525000 | PA      | $456733.61    | 0.19%             | 2026-10-13      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                           | Duke Energy Indiana LLC                                                                                       | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    162000 | PA      | $119517.51    | 0.05%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO XXXI Ltd                                                                                     | CUSIP: 09631BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $463473.58    | 0.19%             | 2034-04-19      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                              | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    253000 | PA      | $281393.25    | 0.11%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2455000 | PA      | $1574460.53   | 0.64%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                      | Hawaii Hotel Trust 2019-MAUI                                                                                  | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $196491.46    | 0.08%             | 2038-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                              | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    265000 | PA      | $258773.48    | 0.11%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 42 CLO Ltd                                                                                            | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $377684.97    | 0.15%             | 2034-04-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                           | Schlumberger Holdings Corp                                                                                    | CUSIP: 806851AH4<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     81000 | PA      | $77961.47     | 0.03%             | 2029-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-26

**Name of Applicant:** Hartford Funds Exchange-Traded Trust

**Signature:** John Stanziani

**Name of Signer:** John Stanziani

**Title:** Assistant Treasurer