# EDGAR Filing Document

**Accession Number:** 0000711080
**File Stem:** 0001193125-26-246874
**Filing Date:** 2026-5
**Character Count:** 207995
**Document Hash:** bc73ba9b3d082520692f67c21a81afab
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-246874.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001193125-26-246874

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TOUCHSTONE STRATEGIC TRUST
- **CENTRAL INDEX KEY:** 0000711080

**ORGANIZATION NAME:**
- **EIN:** 311276717
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03651
- **FILM NUMBER:** 261040288

**BUSINESS ADDRESS:**
- **STREET 1:** 303 BROADWAY
- **STREET 2:** SUITE 1100
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45202-4203
- **BUSINESS PHONE:** 5133628000

**MAIL ADDRESS:**
- **STREET 1:** 303 BROADWAY
- **STREET 2:** SUITE 1100
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45202-4203

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COUNTRYWIDE STRATEGIC TRUST
- **DATE OF NAME CHANGE:** 19970303

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MIDWEST STRATEGIC TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FINANCIAL INDEPENDENCE TRUST
- **DATE OF NAME CHANGE:** 19900604

## Series and Classes Contracts Data

### Touchstone Flexible Income Fund (Series ID: S000038009)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000117280 | Class A             | FFSAX           |
| C000117281 | Class C             | FRACX           |
| C000117282 | Class Y             | MXIIX           |
| C000117283 | Institutional Class | TFSLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Touchstone Strategic Trust

- **b. Investment Company Act file number:** 811-03651

- **c. CIK number of Registrant:** 0000711080

- **d. LEI of Registrant:** 5493006Z577I3GNQF624

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

  - **Street Address 1:** 303 Broadway

  - **City:** Cincinnati

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45202

  - **Telephone number:** 8006388194

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

- **a. Name of Series:** Touchstone Strategic Trust-Touchstone Flexible Income Fund

- **b. EDGAR series identifier (if any):** S000038009

- **c. LEI of Series:** 549300BKMVTZKQG7DB15

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $1699244061.45

**Total Liabilities:** $20491532.54

**Net Assets:** $1678752528.91

**Cash Not Reported:** $320115.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4615.775646883936 | **1-Year:** 19576.277349616569 | **5-Year:** 88583.427658627134 | **10-Year:** 149579.269969572294 | **30-Year:** 162891.512220052709

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

- **3-Month:** 96.227164143124 | **1-Year:** 2784.147321523069 | **5-Year:** 4095.104879545766 | **10-Year:** 4207.926916280333 | **30-Year:** 21987.828838338791

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117280 | 0.42%                | 1.48%                | -2.12%               |
| Class ID C000117281 | 0.37%                | 1.36%                | -2.03%               |
| Class ID C000117282 | 0.34%                | 1.50%                | -2.00%               |
| Class ID C000117283 | 0.45%                | 1.41%                | -1.99%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $442395.04               | $642288.66                                 |
| Month 2  | $-112840.59              | $15867526.31                               |
| Month 3  | $-2765635.96             | $-33880126.31                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Short-Term Invts T                                                                   | Short-Term Invts T INVSCO GOVT INST                                                                                                                    | CUSIP: 825252885<br>LEI: 549300UJV6OHYATSFU27 | Long             | STIV             | RF                | US        |    16525937 | NS      | $16525936.75  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Invesco Exchange Traded Fund Trust II                                                | Invesco Exchange Traded Fund Trust II PFD ETF                                                                                                          | CUSIP: 46138E511<br>LEI: O540V2L4S174Y60FMD36 | Long             | EC               | RF                | US        |      707895 | NS      | $7701897.60   | 0.46%             |  |  |  | No            |                  1 | On Loan: —       |
| Brookfield Oaktree Holdings LLC                                                      | Brookfield Oaktree Holdings LLC 6.625% PRF UNITS SERIES A                                                                                              | CUSIP: 674001300<br>LEI: 254900T1ODNFOK2L6090 | Long             | EP               | CORP              | US        |       53686 | NS      | $1085530.92   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Brookfield Oaktree Holdings LLC                                                      | Brookfield Oaktree Holdings LLC 6.550% PRF UNITS SERIES B                                                                                              | CUSIP: 674001409<br>LEI: 254900T1ODNFOK2L6090 | Long             | EP               | CORP              | US        |      235382 | NS      | $4766485.50   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays PLC                                                                         | BACR V3.33 11/24/42                                                                                                                                    | CUSIP: 06738EBW4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4633000 | PA      | $3444068.37   | 0.21%             | 2042-11-24      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Brookfield Renewable Partners L P                                                    | Brookfield Renewable Partners L P 5.25% CLASS A PREFERRED LIMITED PARTNERSHIP UNITS, SERIES 17                                                         | CUSIP: G16258231<br>LEI: VA8DFMRI2GY8Y7V79H93 | Long             | EP               | CORP              | BM        |      316505 | NS      | $5481866.60   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Fresb 2017-Sb42 Mortgage Trust                                                       | FRESB 2020-SB79 X1                                                                                                                                     | CUSIP: 30316VAF4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    27003832 | PA      | $929512.40    | 0.06%             | 2040-07-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| OBX 2018-1 Trust                                                                     | OBX 2018-EXP1 B1A                                                                                                                                      | CUSIP: 67097VAY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1190731 | PA      | $1208568.07   | 0.07%             | 2048-04-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust 2013-IVR4                                                                 | CSMC 2013-IVR4 A12                                                                                                                                     | CUSIP: 12647GAY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      449309 | PA      | $420461.75    | 0.03%             | 2043-07-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust 2013-IVR4                                                                 | CSMC 2013-IVR4 A2                                                                                                                                      | CUSIP: 12647GBF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      258595 | PA      | $237093.03    | 0.01%             | 2043-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Csmc Trust 2013-IVR5                                                                 | CSMC 2013-IVR5 A3                                                                                                                                      | CUSIP: 12647VAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4336122 | PA      | $4071291.29   | 0.24%             | 2043-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Csmc Trust 2014-Ivr3                                                                 | CSMC 2014-IVR3 B4                                                                                                                                      | CUSIP: 12648TAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      919080 | PA      | $812513.39    | 0.05%             | 2044-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust 2013-TH1                                                                  | CSMC 2013-TH1 A1                                                                                                                                       | CUSIP: 22944PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2556050 | PA      | $2264713.02   | 0.13%             | 2043-02-25      | Variable      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| EverBank Mortgage Loan Trust                                                         | EVER 2013-1 B4                                                                                                                                         | CUSIP: 29977JAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1947850 | PA      | $1596668.41   | 0.10%             | 2043-03-25      | Variable      | 3.48%                 | Yes           |                  2 | On Loan: No      |
| EverBank Mortgage Loan Trust                                                         | EVER 2013-2 A                                                                                                                                          | CUSIP: 29977KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1705465 | PA      | $1601075.14   | 0.10%             | 2043-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Eversource Energy                                                                    | ES V6.35 08/15/56 B                                                                                                                                    | CUSIP: 30040WBD9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     2954000 | PA      | $2912840.71   | 0.17%             | 2056-08-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | CAS 2016-C04 1B                                                                                                                                        | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     4721782 | PA      | $4845266.42   | 0.29%             | 2029-01-25      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1519 X1                                                                                                                                         | CUSIP: 3137F8TU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   115366729 | PA      | $4666514.96   | 0.28%             | 2035-12-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1519 X3                                                                                                                                         | CUSIP: 3137F8ZP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    11201391 | PA      | $2250167.91   | 0.13%             | 2038-12-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K123 X3                                                                                                                                           | CUSIP: 3137F8ZY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     7569056 | PA      | $783741.69    | 0.05%             | 2049-02-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2020-SB81 X1                                                                                                                                     | CUSIP: 30317QAJ6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    66269380 | PA      | $3167477.55   | 0.19%             | 2040-10-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd                                                                   | ATH 3.95 05/25/51                                                                                                                                      | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     9171000 | PA      | $6214581.23   | 0.37%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K124 X3                                                                                                                                           | CUSIP: 3137F9Z20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     9255000 | PA      | $969265.97    | 0.06%             | 2049-02-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB82 X1                                                                                                                                     | CUSIP: 30318CAJ6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    23752753 | PA      | $515971.56    | 0.03%             | 2040-10-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                      | BANK 2020-BN26 XA                                                                                                                                      | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    28048708 | PA      | $956230.93    | 0.06%             | 2063-03-16      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K125 X3                                                                                                                                           | CUSIP: 3137F9ZB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    16150000 | PA      | $1737699.63   | 0.10%             | 2049-02-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB83 X1                                                                                                                                     | CUSIP: 30318NAG8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    34784365 | PA      | $1057416.88   | 0.06%             | 2041-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K741 X3                                                                                                                                           | CUSIP: 3137FF4A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    16196664 | PA      | $628976.39    | 0.04%             | 2049-03-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB86 X1                                                                                                                                     | CUSIP: 30320MAH4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   118470482 | PA      | $2439579.70   | 0.15%             | 2041-03-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K095 XAM                                                                                                                                          | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     4964000 | PA      | $189360.72    | 0.01%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB89 X1                                                                                                                                     | CUSIP: 30320QAE2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    57328962 | PA      | $1314369.65   | 0.08%             | 2041-06-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K109 X1                                                                                                                                           | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    55251823 | PA      | $2899593.57   | 0.17%             | 2030-04-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2013-3 A3                                                                                                                                        | CUSIP: 46640MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1173066 | PA      | $1109967.30   | 0.07%             | 2043-07-25      | Variable      | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB87 X1                                                                                                                                     | CUSIP: 30320VAE1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    68305019 | PA      | $1892923.33   | 0.11%             | 2041-04-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1515 X3                                                                                                                                         | CUSIP: 3137FTZN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     5835659 | PA      | $1437784.41   | 0.09%             | 2038-03-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                                                              | VENZ 6 12/09/20                                                                                                                                        | CUSIP: P97475AG5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     2500000 | PA      | $950000.00    | 0.06%             | 2020-12-09      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13                        | JPMMT 2014-IVR6 B4                                                                                                                                     | CUSIP: 46643QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2981500 | PA      | $3015115.82   | 0.18%             | 2044-08-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Fresb Mortgage Trust                                                                 | FRESB 2021-SB84 X1                                                                                                                                     | CUSIP: 30320WAR0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    24216928 | PA      | $482699.08    | 0.03%             | 2041-01-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K110 X1                                                                                                                                           | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    34874444 | PA      | $1877089.05   | 0.11%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                                                              | VENZ 7 03/31/38                                                                                                                                        | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     3000000 | PA      | $1222500.00   | 0.07%             | 2038-03-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2015-4 AM                                                                                                                                        | CUSIP: 46644VBP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      698689 | PA      | $629343.79    | 0.04%             | 2045-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FRESB 2021-SB88 MTG TR                                                               | FRESB 2021-SB88 X1                                                                                                                                     | CUSIP: 30321CAU6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    62286296 | PA      | $1696329.89   | 0.10%             | 2041-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K110 X3                                                                                                                                           | CUSIP: 3137FTZT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     7005157 | PA      | $831700.57    | 0.05%             | 2048-06-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Venezuela (Republic Of)                                                              | VENZ 7.75 10/13/19                                                                                                                                     | CUSIP: P97475AN0<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     2000000 | PA      | $815000.00    | 0.05%             | 2019-10-13      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan                                                        | NRZT 2015-1A B3                                                                                                                                        | CUSIP: 64829CAL2<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-O            | CORP              | US        |      977357 | PA      | $971549.69    | 0.06%             | 2052-05-28      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FRESB 2021-SB85 MTG TR                                                               | FRESB 2021-SB85 X1                                                                                                                                     | CUSIP: 30321KAJ3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    61120415 | PA      | $1871146.50   | 0.11%             | 2041-02-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K110 XAM                                                                                                                                          | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    28800000 | PA      | $1913201.28   | 0.11%             | 2030-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                               | C 0 09/24/26 3mtn                                                                                                                                      | CUSIP: 173074ZS7<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |  4000000000 | PA      | $2640624.21   | 0.16%             | 2026-09-24      | Fixed         |  | Yes           |                  2 | On Loan: No      |
| FRESB MTG TR 2022-SB94                                                               | FRESB 2022-SB94 X1                                                                                                                                     | CUSIP: 30324QAL2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   106251007 | PA      | $1311041.81   | 0.08%             | 2041-11-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K111 X1                                                                                                                                           | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    34610481 | PA      | $1861853.52   | 0.11%             | 2030-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                               | C 0 03/04/27 EMTN                                                                                                                                      | CUSIP: 173074ZU2<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |   368190000 | PA      | $5492803.32   | 0.33%             | 2027-03-04      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2020-2                                                              | JPMMT 2020-2 A5A                                                                                                                                       | CUSIP: 46591TAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      280248 | PA      | $243724.28    | 0.01%             | 2050-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K111 X3                                                                                                                                           | CUSIP: 3137FUZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    19436545 | PA      | $2261859.90   | 0.13%             | 2048-04-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Trust 2020-7                                                      | JPMMT 2020-7 A3                                                                                                                                        | CUSIP: 46591XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    14353847 | PA      | $12547965.10  | 0.75%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K111 XAM                                                                                                                                          | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    35663000 | PA      | $2392099.29   | 0.14%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Trust 2020-7                                                      | JPMMT 2020-7 A15                                                                                                                                       | CUSIP: 46591XBT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      759361 | PA      | $660082.09    | 0.04%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2006 Ar2 Trust                                | WFMBS 2020-3 A1                                                                                                                                        | CUSIP: 95002TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6484252 | PA      | $5644411.31   | 0.34%             | 2050-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1516 X1                                                                                                                                         | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    29599465 | PA      | $3057897.05   | 0.18%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2019-INV2                                                           | JPMMT 2019-INV2 A15                                                                                                                                    | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      515392 | PA      | $467097.11    | 0.03%             | 2050-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1516 X3                                                                                                                                         | CUSIP: 3137FUZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    18435033 | PA      | $4428452.57   | 0.26%             | 2038-10-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2019-INV2                                                           | JPMMT 2019-INV2 B2A                                                                                                                                    | CUSIP: 46651DBC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      625626 | PA      | $556365.03    | 0.03%             | 2050-02-25      | Variable      | 3.46%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K112 X1                                                                                                                                           | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   112872075 | PA      | $5692274.21   | 0.34%             | 2030-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2019-7 B2A                                                                                                                                       | CUSIP: 46651GBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4485943 | PA      | $3927796.69   | 0.23%             | 2050-02-25      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K112 X3                                                                                                                                           | CUSIP: 3137FUZY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    15300000 | PA      | $1696281.93   | 0.10%             | 2048-07-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2020-1                                                              | JPMMT 2020-1 A5A                                                                                                                                       | CUSIP: 46651XAK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      246294 | PA      | $215896.78    | 0.01%             | 2050-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2020-1                                                              | JPMMT 2020-1 A15                                                                                                                                       | CUSIP: 46651XBH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1709303 | PA      | $1538445.93   | 0.09%             | 2050-06-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2020-5 A5                                                                                                                                        | CUSIP: 46653JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3282150 | PA      | $2862526.72   | 0.17%             | 2050-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Western Alliance Bank                                                                | WAL 2021-CL2 M1                                                                                                                                        | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-O            | CORP              | US        |    10453619 | PA      | $11184126.30  | 0.67%             | 2059-07-25      | Variable      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Western Alliance Bank                                                                | WAL 2021-CL2 M3                                                                                                                                        | CUSIP: 95763PNE7<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-O            | CORP              | US        |     8519288 | PA      | $8945393.73   | 0.53%             | 2059-07-25      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust 2013-IVR4                                                                 | CSMC 2013-IVR4 A11                                                                                                                                     | CUSIP: 12647GAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4617770 | PA      | $4340162.54   | 0.26%             | 2043-07-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.5 06/01/41                                                                                                                                      | CUSIP: 161175BZ6<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     9824000 | PA      | $6896280.50   | 0.41%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 2.95 01/15/51                                                                                                                                      | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     7040000 | PA      | $4356736.17   | 0.26%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CONN AVE SECS 2020-SBT1                                                              | CAS 2020-SBT1 2B1                                                                                                                                      | CUSIP: 20753VDL9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    16000000 | PA      | $16639852.80  | 0.99%             | 2040-02-27      | Floating      | 10.38%                | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                  | CAS 2019-HRP1 B1                                                                                                                                       | CUSIP: 20754PAD2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-O            | USGSE             | US        |     8427459 | PA      | $8810674.56   | 0.52%             | 2039-11-25      | Floating      | 13.03%                | Yes           |                  2 | On Loan: No      |
| Emera US Finance LLC                                                                 | EMACN V6.85 10/01/56 B                                                                                                                                 | CUSIP: 29103HAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7041000 | PA      | $7051031.59   | 0.42%             | 2056-10-01      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                        | ENBCN V8.5 01/15/84                                                                                                                                    | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     3553000 | PA      | $3994133.37   | 0.24%             | 2084-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET V7.125 PERP G                                                                                                                                       | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     4593000 | PA      | $4671021.29   | 0.28%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 6.3 01/15/56                                                                                                                                        | CUSIP: 29273VBL3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     4566000 | PA      | $4506457.44   | 0.27%             | 2056-01-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: —       |
| Flagstar Mtg Tr 2017-1                                                               | FSMT 2018-1 A13                                                                                                                                        | CUSIP: 33850TAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6019416 | PA      | $5421517.02   | 0.32%             | 2047-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2018-3Inv                                                    | FSMT 2018-2 A14                                                                                                                                        | CUSIP: 33851HAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8160925 | PA      | $7324286.34   | 0.44%             | 2048-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2018-3Inv                                                    | FSMT 2018-3INV A9                                                                                                                                      | CUSIP: 33851JAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5841040 | PA      | $5413992.54   | 0.32%             | 2048-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mtg Tr 2017-1                                                               | FSMT 2018-4 B2                                                                                                                                         | CUSIP: 33851LAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      779248 | PA      | $722002.99    | 0.04%             | 2048-07-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CACLN 2025-1 B                                                                                                                                         | CUSIP: 46591HCS7<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |     7545861 | PA      | $7572855.93   | 0.45%             | 2033-02-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.475 01/21/28                                                                                                                                     | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    11840000 | PA      | $11654111.53  | 0.69%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2005-4                                                        | SEMT 2004-3 M1                                                                                                                                         | CUSIP: 81744FBA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       72022 | PA      | $71979.44     | 0.00%             | 2034-05-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets PLC                                                               | BPLN V4.875 PERP                                                                                                                                       | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    28551000 | PA      | $28184979.04  | 1.68%             | N/A             | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2019-CH3                                                      | SEMT 2019-CH3 A13                                                                                                                                      | CUSIP: 81748GBA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      954260 | PA      | $897052.48    | 0.05%             | 2049-10-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3.001 03/17/52                                                                                                                                    | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     6202000 | PA      | $3933697.45   | 0.23%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cim Trust                                                                            | CIM 2018-INV1 A4                                                                                                                                       | CUSIP: 12553XAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      530673 | PA      | $501582.59    | 0.03%             | 2048-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cim Trust 2019-Inv2                                                                  | CIM 2019-INV2 A15                                                                                                                                      | CUSIP: 12554TAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      596030 | PA      | $563875.88    | 0.03%             | 2049-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cim Trust                                                                            | CIM 2020-J1 A2                                                                                                                                         | CUSIP: 12559YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7573522 | PA      | $6396495.67   | 0.38%             | 2050-07-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K118 X3                                                                                                                                           | CUSIP: 3137F62Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    24368853 | PA      | $2451738.12   | 0.15%             | 2048-10-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Cim Trust                                                                            | CIM 2020-J2 A1                                                                                                                                         | CUSIP: 12568PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1818244 | PA      | $1514125.66   | 0.09%             | 2051-01-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST.                                                              | CHAOT 2025-2A AIO                                                                                                                                      | CUSIP: 16144MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   161913054 | PA      | $1860494.33   | 0.11%             | 2031-02-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST.                                                              | CHAOT 2025-2A R1                                                                                                                                       | CUSIP: 16144MAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       25000 | PA      | $4221916.38   | 0.25%             | 2033-02-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5                                                        | CHAOT 2024-5A R1                                                                                                                                       | CUSIP: 16144QAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       32000 | PA      | $5716496.42   | 0.34%             | 2032-01-26      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K739 X3                                                                                                                                           | CUSIP: 3137F64S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    15100238 | PA      | $474401.16    | 0.03%             | 2048-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-4                                                        | CHAOT 2024-4A R1                                                                                                                                       | CUSIP: 16144YAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       27000 | PA      | $6505060.54   | 0.39%             | 2031-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST.                                                              | CHAOT 2025-1A R1                                                                                                                                       | CUSIP: 16145NAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       27000 | PA      | $4445046.23   | 0.26%             | 2032-11-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST.                                                              | CHAOT 2025-1A AIO                                                                                                                                      | CUSIP: 16145NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   449367728 | PA      | $4822614.45   | 0.29%             | 2030-10-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                         | CHASE 2019-ATR1 B3                                                                                                                                     | CUSIP: 16158RBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1942030 | PA      | $1805885.72   | 0.11%             | 2049-04-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1517 X1                                                                                                                                         | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    40238760 | PA      | $3536604.73   | 0.21%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CHASE 2021-CL1 M1                                                                                                                                      | CUSIP: 46591HBX7<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    17824292 | PA      | $17398781.35  | 1.04%             | 2050-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2016-1 A13                                                                                                                                       | CUSIP: 46646BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1480198 | PA      | $1357629.03   | 0.08%             | 2046-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CHASE 2021-CL1 M2                                                                                                                                      | CUSIP: 46591HBY5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |     1842364 | PA      | $1786215.52   | 0.11%             | 2050-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CACLN 2025-1 E                                                                                                                                         | CUSIP: 46591HCV0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |     4150224 | PA      | $4157616.13   | 0.25%             | 2033-02-25      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.578 04/22/27                                                                                                                                    | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $24959532.00  | 1.49%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Virtus Convertible & Income Fund II                                                  | Virtus Convertible & Income Fund II 5.50% CUM PRF SHS SER A                                                                                            | CUSIP: 92838U702<br>LEI: 549300VQWKOKLGOGUQ16 | Long             | EP               | CORP              | US        |        7379 | NS      | $148908.22    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K-1517 X3                                                                                                                                         | CUSIP: 3137FWHH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    52485811 | PA      | $11881003.09  | 0.71%             | 2038-08-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Virtus Convertible & Income Fund                                                     | Virtus Convertible & Income Fund 5.625% SERIES A CUMULATIVE PREFERRED SHARES                                                                           | CUSIP: 92838X706<br>LEI: 549300WT3ICVH2Z06O49 | Long             | EP               | CORP              | US        |      192373 | NS      | $3987892.29   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust 2017                                                        | JPMMT 2017-3 1A3                                                                                                                                       | CUSIP: 46647SAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1956100 | PA      | $1798034.46   | 0.11%             | 2047-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2017                                                        | JPMMT 2017-3 1A13                                                                                                                                      | CUSIP: 46647SBA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1025689 | PA      | $935145.10    | 0.06%             | 2047-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K116 X3                                                                                                                                           | CUSIP: 3137FWHW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    26000000 | PA      | $2894130.20   | 0.17%             | 2047-09-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2017-1 A8                                                                                                                                        | CUSIP: 46648CAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1503019 | PA      | $1359803.55   | 0.08%             | 2047-01-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2017-2 A3                                                                                                                                        | CUSIP: 46648HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      552064 | PA      | $500710.67    | 0.03%             | 2047-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K117 XAM                                                                                                                                          | CUSIP: 3137FX3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    39700000 | PA      | $2230119.71   | 0.13%             | 2030-09-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| J P Morgan Mtg Tr 2018-5                                                             | JPMMT 2018-5 A4                                                                                                                                        | CUSIP: 46649KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      761192 | PA      | $674344.95    | 0.04%             | 2048-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| J P Morgan Mtg Tr 2018-5                                                             | JPMMT 2018-5 A13                                                                                                                                       | CUSIP: 46649KAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1847812 | PA      | $1661871.79   | 0.10%             | 2048-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K119 X3                                                                                                                                           | CUSIP: 3137FXQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     4900000 | PA      | $518911.96    | 0.03%             | 2048-09-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| J P Morgan Mtg Tr 2018-5                                                             | JPMMT 2018-5 B4                                                                                                                                        | CUSIP: 46649KBH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3306971 | PA      | $2998075.74   | 0.18%             | 2048-10-25      | Variable      | 3.68%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2018-3 A1                                                                                                                                        | CUSIP: 46649TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2326593 | PA      | $2124283.42   | 0.13%             | 2048-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K127 X3                                                                                                                                           | CUSIP: 3137FXZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    38058448 | PA      | $4114875.59   | 0.25%             | 2049-03-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                             | JPMMT 2018-6 1A7                                                                                                                                       | CUSIP: 46650JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3043568 | PA      | $2776896.94   | 0.17%             | 2048-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-3                                                    | JPMMT 2022-3 A12                                                                                                                                       | CUSIP: 46654UBC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      230697 | PA      | $222897.30    | 0.01%             | 2052-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K-1520 X1                                                                                                                                         | CUSIP: 3137FYTY2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    57046540 | PA      | $1853830.00   | 0.11%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K-1520 X3                                                                                                                                         | CUSIP: 3137FYTZ9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |     5000000 | PA      | $1121185.50   | 0.07%             | 2039-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K128 X3                                                                                                                                           | CUSIP: 3137FYUM6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    18230000 | PA      | $2092862.34   | 0.12%             | 2049-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K742 X3                                                                                                                                           | CUSIP: 3137H0GY8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    16000000 | PA      | $785361.60    | 0.05%             | 2049-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K743 X3                                                                                                                                           | CUSIP: 3137H14E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     9500000 | PA      | $533912.35    | 0.03%             | 2049-06-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K130 X3                                                                                                                                           | CUSIP: 3137H1YY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    10595456 | PA      | $1452718.60   | 0.09%             | 2048-08-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K130 XAM                                                                                                                                          | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    41864611 | PA      | $2424207.98   | 0.14%             | 2031-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K744 X3                                                                                                                                           | CUSIP: 3137H1Z66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    39018396 | PA      | $2248571.63   | 0.13%             | 2049-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K131 X3                                                                                                                                           | CUSIP: 3137H2N91<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    10451281 | PA      | $1369378.05   | 0.08%             | 2049-09-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.21 04/22/42                                                                                                                                      | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     6645000 | PA      | $4928316.81   | 0.29%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V1.948 10/21/27                                                                                                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     4736000 | PA      | $4671256.61   | 0.28%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 3.5 11/16/26                                                                                                                                        | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       11000 | PA      | $10946.18     | 0.00%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | CHASE 2020-CL1 M1                                                                                                                                      | CUSIP: 46591HAG5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    11130368 | PA      | $11397281.94  | 0.68%             | 2057-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | JPMWM 2021-CL1 M1                                                                                                                                      | CUSIP: 46591HBK5<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |     1793109 | PA      | $1771672.53   | 0.11%             | 2051-03-27      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Agnc Investment Corp                                                                 | Agnc Investment Corp DEPOSITARY SHARES EACH REPRESENTING A 1/1,000TH INTEREST IN A SHARE OF 8.75% SERIES H FIXED-RATE CUMULATIVE REDEEMABLE PREFERRED  | CUSIP: 00123Q831<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |      171591 | NS      | $4320661.38   | 0.26%             |  |  |  | No            |                  1 | On Loan: —       |
| Merrill Lynch Mortgage Investors, Inc.                                               | MLMI 2003-A1 2A                                                                                                                                        | CUSIP: 589929D88<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        2889 | PA      | $2909.75      | 0.00%             | 2032-12-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Agnc Investment Corp                                                                 | Agnc Investment Corp DEPOSITARY SHARES EACH REPRESENTING 1/1,000TH OF A SHARE OF 6.125% SERIES F FIXED-TO-FLOATING RATE CUMULATIVE REDEEMABLE PREFERRE | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |      170414 | NS      | $4135947.78   | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| Occidental Petroleum Corp.                                                           | OXY 4.4 04/15/46                                                                                                                                       | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     1083000 | PA      | $855489.53    | 0.05%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR1 A2                                                                                                                                      | CUSIP: 12646UAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2063833 | PA      | $1898414.21   | 0.11%             | 2043-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 4.1 02/15/47                                                                                                                                       | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     6792000 | PA      | $4867432.46   | 0.29%             | 2047-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR2 A1                                                                                                                                      | CUSIP: 12646WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1113233 | PA      | $993065.55    | 0.06%             | 2043-04-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 4.2 03/15/48                                                                                                                                       | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      674000 | PA      | $505923.95    | 0.03%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR3 A1                                                                                                                                      | CUSIP: 12646XAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2025614 | PA      | $1816478.75   | 0.11%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 4.5 07/15/44                                                                                                                                       | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     2366000 | PA      | $1862870.10   | 0.11%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR3 A2                                                                                                                                      | CUSIP: 12646XAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2654594 | PA      | $2432590.75   | 0.14%             | 2043-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-4                                                        | SEMT 2013-4 A1                                                                                                                                         | CUSIP: 81744YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2760243 | PA      | $2420683.23   | 0.14%             | 2043-04-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR3 B4                                                                                                                                      | CUSIP: 12646XAZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1166301 | PA      | $878244.62    | 0.05%             | 2043-05-25      | Variable      | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-5                                                        | SEMT 2013-5 A1                                                                                                                                         | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-O            | CORP              | US        |     1882455 | PA      | $1675399.38   | 0.10%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Micron Technology Inc.                                                               | MU 3.477 11/01/51                                                                                                                                      | CUSIP: 595112BU6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     9592000 | PA      | $6779596.25   | 0.40%             | 2051-11-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-5                                                        | SEMT 2013-5 A2                                                                                                                                         | CUSIP: 81745AAB3<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-O            | CORP              | US        |     3494739 | PA      | $3189842.47   | 0.19%             | 2043-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mid-State Capital Corp.                                                              | MDST 2005-1 M2                                                                                                                                         | CUSIP: 595481AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       24511 | PA      | $24531.51     | 0.00%             | 2040-01-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-6                                                        | SEMT 2013-6 A1                                                                                                                                         | CUSIP: 81745BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4749780 | PA      | $4238078.69   | 0.25%             | 2043-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.484 09/16/36                                                                                                                                     | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    10342000 | PA      | $8899677.79   | 0.53%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-10 A1                                                                                                                                        | CUSIP: 81745GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1425660 | PA      | $1333646.09   | 0.08%             | 2043-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Simon Property Group LP                                                              | SPG 3.25 09/13/49                                                                                                                                      | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    10313000 | PA      | $6922010.01   | 0.41%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-11 A1                                                                                                                                        | CUSIP: 81745JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2331174 | PA      | $2203857.55   | 0.13%             | 2043-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Southern Co.                                                                         | SO V6.375 03/15/55 2025                                                                                                                                | CUSIP: 842587EB9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    16269000 | PA      | $16728892.09  | 1.00%             | 2055-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-2                                                        | SEMT 2013-2 A                                                                                                                                          | CUSIP: 81745MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1509714 | PA      | $1312698.31   | 0.08%             | 2043-02-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| The Allstate Corporation                                                             | The Allstate Corporation DEPOSITARY SHARES EACH REPRESENTING A 1/1,000TH INTEREST IN A SHARE OF FIXED RATE NONCUMULATIVE PERPETUAL PREFERRED STOCK, SE | CUSIP: 020002788<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | EP               | CORP              | US        |      146575 | NS      | $3728868.00   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| VanEck ETF Trust                                                                     | VanEck ETF Trust VANECK VECTORS LONG MUNI ET                                                                                                           | CUSIP: 92189F536<br>LEI: 549300ZLFKNTXC51ZN76 | Long             | EC               | RF                | US        |     1037594 | NS      | $18095639.36  | 1.08%             |  |  |  | No            |                  1 | On Loan: —       |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-3 A2                                                                                                                                         | CUSIP: 81745RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2306993 | PA      | $2044970.91   | 0.12%             | 2043-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                                     | AEP 3.25 03/01/50                                                                                                                                      | CUSIP: 025537AP6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     6939000 | PA      | $4564492.59   | 0.27%             | 2050-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Vanguard Scottsdale Funds                                                            | Vanguard Scottsdale Funds LG-TERM COR BD                                                                                                               | CUSIP: 92206C813<br>LEI: 549300Y88GQ3VLJIBX57 | Long             | EC               | RF                | US        |       43791 | NS      | $3272063.52   | 0.19%             |  |  |  | No            |                  1 | On Loan: —       |
| American Electric Power Co, Inc.                                                     | AEP V5.8 03/15/56 C                                                                                                                                    | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     6410000 | PA      | $6331370.97   | 0.38%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                                     | AEP V6.05 03/15/56 D                                                                                                                                   | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    12672000 | PA      | $12554878.15  | 0.75%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                              | CSMC 2013-IVR1 A1                                                                                                                                      | CUSIP: 12646UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2804971 | PA      | $2526983.16   | 0.15%             | 2043-03-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust 2013-6                                                                    | CSMC 2013-6 2A1                                                                                                                                        | CUSIP: 12647MBY0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      699252 | PA      | $653951.40    | 0.04%             | 2043-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust 2013-7                                                                    | CSMC 2013-7 A6                                                                                                                                         | CUSIP: 12647PAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      336468 | PA      | $314154.33    | 0.02%             | 2043-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Csmc 2018-J1 Trust                                                                   | CSMC 2018-J1 A2                                                                                                                                        | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3800917 | PA      | $3441943.70   | 0.21%             | 2048-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Csmc 2018-J1 Trust                                                                   | CSMC 2018-J1 A22                                                                                                                                       | CUSIP: 12653TAX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      468094 | PA      | $422945.48    | 0.03%             | 2048-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Finance LLC                                                                  | Carlyle Finance LLC CARLYLE FINANCE L.L.C. 4.625% SUBORDINATED NOTES DUE MAY 15, 2061                                                                  | CUSIP: 14314C105<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      163194 | NS      | $2855895.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Sofi Mtg Tr 2016-1                                                                   | SFPMT 2016-1A 1A4                                                                                                                                      | CUSIP: 78471KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1035974 | PA      | $931649.15    | 0.06%             | 2046-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Sierra Pacific Power Company                                                         | BRKHEC V6.375 09/15/56                                                                                                                                 | CUSIP: 826418BS3<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |    13717000 | PA      | $13601678.44  | 0.81%             | 2056-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Home Partners Of America Trust 2019-1                                                | HPA 2019-1 C                                                                                                                                           | CUSIP: 43731QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1984719 | PA      | $1936318.04   | 0.12%             | 2039-09-19      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                   | MSM 2004-7AR 2A6                                                                                                                                       | CUSIP: 61748HCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       41118 | PA      | $40812.00     | 0.00%             | 2034-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank National Association                                     | MS V4.466 07/06/28 *                                                                                                                                   | CUSIP: 61776NVE0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5000017.60   | 0.30%             | 2028-07-06      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp.                                                                  | RITM 8 04/01/29 144A                                                                                                                                   | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    20264000 | PA      | $19894378.56  | 1.19%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 3.6 04/01/40                                                                                                                                      | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    10503000 | PA      | $7621313.84   | 0.45%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 3.85 04/01/60                                                                                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    10023000 | PA      | $5921498.89   | 0.35%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PSMC 2019-1 Trust                                                                    | PSMC 2020-3 A11                                                                                                                                        | CUSIP: 693675AL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      536552 | PA      | $527176.60    | 0.03%             | 2050-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.5 08/01/50                                                                                                                                       | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    10411000 | PA      | $6882730.74   | 0.41%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V1.734 07/22/27                                                                                                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    17295000 | PA      | $17150526.56  | 1.02%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                                | BAC V4.948 07/22/28 MTN                                                                                                                                | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8763000 | PA      | $8819472.63   | 0.53%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | STACR 2017-HQA3 M2B                                                                                                                                    | CUSIP: 3137G0RY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      763762 | PA      | $772409.28    | 0.05%             | 2030-04-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | STACR 2018-SPI1 B                                                                                                                                      | CUSIP: 3137G1CM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     4972281 | PA      | $3721440.05   | 0.22%             | 2048-02-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | STACR 2018-SPI4 B                                                                                                                                      | CUSIP: 3137G1DQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    13627572 | PA      | $10152885.79  | 0.60%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K139 XAM                                                                                                                                          | CUSIP: 3137H6LS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    97300000 | PA      | $3884352.22   | 0.23%             | 2032-02-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K140 X3                                                                                                                                           | CUSIP: 3137H6M44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    31370856 | PA      | $4429467.62   | 0.26%             | 2049-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K143 X3                                                                                                                                           | CUSIP: 3137H74D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    10400000 | PA      | $1583996.96   | 0.09%             | 2050-04-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K751 X3                                                                                                                                           | CUSIP: 3137HA4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    19560000 | PA      | $3237090.02   | 0.19%             | 2056-03-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K513 X1                                                                                                                                           | CUSIP: 3137HBFZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   128872358 | PA      | $2192415.21   | 0.13%             | 2028-12-25      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K755 X3                                                                                                                                           | CUSIP: 3137HCKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     5122000 | PA      | $1180736.76   | 0.07%             | 2059-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K757 X3                                                                                                                                           | CUSIP: 3137HH6A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    31179400 | PA      | $7671120.79   | 0.46%             | 2056-10-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K-165 XAM                                                                                                                                         | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    46617000 | PA      | $3149696.25   | 0.19%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K758 X3                                                                                                                                           | CUSIP: 3137HHJJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     6400000 | PA      | $1498456.32   | 0.09%             | 2056-11-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K538 X1                                                                                                                                           | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   138444523 | PA      | $2766869.17   | 0.16%             | 2030-01-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K542 X1                                                                                                                                           | CUSIP: 3137HLY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   523114547 | PA      | $15958184.69  | 0.95%             | 2030-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K546 X1                                                                                                                                           | CUSIP: 3137HN4T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    82817918 | PA      | $2699897.24   | 0.16%             | 2030-05-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K-172 XAM                                                                                                                                         | CUSIP: 3137HNN38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   177042340 | PA      | $3681329.90   | 0.22%             | 2035-08-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                  | ALLY V4.7 PERP C                                                                                                                                       | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    15301000 | PA      | $14202077.59  | 0.85%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K-173 XAM                                                                                                                                         | CUSIP: 3137HNNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   207388029 | PA      | $4941061.27   | 0.29%             | 2035-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                  | ALLY V6.646 01/17/40                                                                                                                                   | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    10305000 | PA      | $9950483.68   | 0.59%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V1.462 06/09/27                                                                                                                                      | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    33735000 | PA      | $33539896.66  | 2.00%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K556 X1                                                                                                                                           | CUSIP: 3137HQDP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    84509469 | PA      | $1143852.57   | 0.07%             | 2031-01-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-B E                                                                                                                                         | CUSIP: 02007G4F7<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |     2066449 | PA      | $2077751.59   | 0.12%             | 2032-09-15      | Fixed         | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V7 PERP DD                                                                                                                                           | CUSIP: 172967PM7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     6629000 | PA      | $6820982.47   | 0.41%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K557 X1                                                                                                                                           | CUSIP: 3137HQSR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   175000000 | PA      | $2297400.00   | 0.14%             | 2031-01-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2025-A E                                                                                                                                         | CUSIP: 02007G5H2<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |     8122827 | PA      | $8145787.37   | 0.49%             | 2033-06-15      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K120 X3                                                                                                                                           | CUSIP: 3137F72S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    11576808 | PA      | $1212925.33   | 0.07%             | 2048-11-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                        | SCRT 2017-2 M2                                                                                                                                         | CUSIP: 35563PBJ7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    15662869 | PA      | $15259946.54  | 0.91%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2025-A F                                                                                                                                         | CUSIP: 02007G5J8<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |     1753792 | PA      | $1751184.04   | 0.10%             | 2033-06-15      | Fixed         | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D V6.875 02/01/55 A                                                                                                                                    | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    17387000 | PA      | $17885107.99  | 1.07%             | 2055-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K121 X1                                                                                                                                           | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   146042756 | PA      | $5395286.73   | 0.32%             | 2030-10-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                        | SCRT 2017-4 M                                                                                                                                          | CUSIP: 35563PDJ5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     1092166 | PA      | $1085155.55   | 0.06%             | 2057-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2025-A G                                                                                                                                         | CUSIP: 02007G5K5<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |     3599889 | PA      | $3617054.04   | 0.22%             | 2033-06-15      | Fixed         | 10.22%                | Yes           |                  2 | On Loan: No      |
| Dominion Energy Inc                                                                  | D V7 06/01/54 B                                                                                                                                        | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     6869000 | PA      | $7265581.72   | 0.43%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K121 X3                                                                                                                                           | CUSIP: 3137F83T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    16073000 | PA      | $1767676.39   | 0.11%             | 2048-11-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                        | SCRT 2018-1 M                                                                                                                                          | CUSIP: 35563PES4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     7045738 | PA      | $6964474.61   | 0.41%             | 2057-05-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2025-B E                                                                                                                                         | CUSIP: 02007G6S7<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |     4981581 | PA      | $4994857.11   | 0.30%             | 2033-09-15      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K745 X3                                                                                                                                           | CUSIP: 3137H2NH3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    47774075 | PA      | $2780804.69   | 0.17%             | 2049-09-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K122 X3                                                                                                                                           | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     9700000 | PA      | $987246.60    | 0.06%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 C                                                                                                                                      | CUSIP: 07336QAC6<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |      889758 | PA      | $893022.21    | 0.05%             | 2031-12-26      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K745 XAM                                                                                                                                          | CUSIP: 3137H2NJ9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   146903000 | PA      | $3111243.95   | 0.19%             | 2028-09-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE BACKED SECURITY 20-PJ4                                                   | GSMBS 2020-PJ4 A2                                                                                                                                      | CUSIP: 36259VAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1512766 | PA      | $1318237.05   | 0.08%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 D                                                                                                                                      | CUSIP: 07336QAD4<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |      247155 | PA      | $248840.68    | 0.01%             | 2031-12-26      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K-1521 X1                                                                                                                                         | CUSIP: 3137H2NZ3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    54975711 | PA      | $4011462.17   | 0.24%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-Pj2                                         | GSMBS 2020-PJ2 A1                                                                                                                                      | CUSIP: 36262DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2475438 | PA      | $2249457.62   | 0.13%             | 2050-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 E                                                                                                                                      | CUSIP: 07336QAE2<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |      494310 | PA      | $501057.55    | 0.03%             | 2031-12-26      | Floating      | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K132 X3                                                                                                                                           | CUSIP: 3137H3EY4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    29501666 | PA      | $3840223.01   | 0.23%             | 2049-08-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2012-147 IO                                                                                                                                        | CUSIP: 38378B3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     2440900 | PA      | $19218.92     | 0.00%             | 2054-04-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                           | BSABS 2003-AC7 A2                                                                                                                                      | CUSIP: 07384YPJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       40179 | PA      | $32880.69     | 0.00%             | 2034-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K746 XAM                                                                                                                                          | CUSIP: 3137H4C40<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   155000000 | PA      | $1995377.00   | 0.12%             | 2028-10-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| AGATE BAY MORTGAGE LOAN TRUST                                                        | ABMT 2016-3 A3                                                                                                                                         | CUSIP: 00842VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      571705 | PA      | $526797.42    | 0.03%             | 2046-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-94 IO                                                                                                                                         | CUSIP: 38379RD34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    12670523 | PA      | $434311.31    | 0.03%             | 2059-02-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp.                                                                  | Rithm Capital Corp. 7.00% FIXED-RATE RESET SERIES D CUMULATIVE REDEEMABLE PREFERRED STOCK                                                              | CUSIP: 64828T706<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |      290000 | NS      | $7055700.00   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K134 X3                                                                                                                                           | CUSIP: 3137H4CG3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |     9413138 | PA      | $1155614.24   | 0.07%             | 2049-10-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2017-76 IO                                                                                                                                         | CUSIP: 38379RWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    10497793 | PA      | $467729.17    | 0.03%             | 2056-12-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                       | RALI 2004-QS6 A1                                                                                                                                       | CUSIP: 76110HTG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |          72 | PA      | $68.04        | 0.00%             | 2019-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K136 X1                                                                                                                                           | CUSIP: 3137H4SK7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |   216865110 | PA      | $3396975.08   | 0.20%             | 2031-11-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-110 IO                                                                                                                                        | CUSIP: 38379UE85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     7153644 | PA      | $284803.73    | 0.02%             | 2058-05-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K136 X3                                                                                                                                           | CUSIP: 3137H4SL5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    21000000 | PA      | $2776752.30   | 0.17%             | 2049-12-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | JPMWM 2021-CL1 M2                                                                                                                                      | CUSIP: 46591HBL3<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |     6223997 | PA      | $6135162.11   | 0.37%             | 2051-03-27      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-52 IO                                                                                                                                         | CUSIP: 38379UNY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     9768199 | PA      | $347295.61    | 0.02%             | 2058-03-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-B D                                                                                                                                         | CUSIP: 02007G4E0<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |     2933847 | PA      | $2951832.93   | 0.18%             | 2032-09-15      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | JPMWM 2021-CL1 M3                                                                                                                                      | CUSIP: 46591HBM1<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |     2920276 | PA      | $2893125.14   | 0.17%             | 2051-03-27      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2016-158 IO                                                                                                                                        | CUSIP: 38379UX35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    16836820 | PA      | $573234.78    | 0.03%             | 2058-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                                                      | SBUX 3.5 11/15/50                                                                                                                                      | CUSIP: 855244BA6<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |     8823000 | PA      | $6096986.89   | 0.36%             | 2050-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 3.03 03/15/52                                                                                                                                      | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    10473000 | PA      | $6664349.97   | 0.40%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Turkey (Republic of)                                                                 | TURKGB 32.6 02/10/27 2Y                                                                                                                                | CUSIP: M8T85VMQ7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   132000000 | PA      | $2792919.92   | 0.17%             | 2027-02-10      | Fixed         | 32.60%                | No            |                  2 | On Loan: No      |
| Dominican Republic                                                                   | DOMREP 11.25 09/15/35 144A                                                                                                                             | CUSIP: 25714PEW4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   180000000 | PA      | $3195111.85   | 0.19%             | 2035-09-15      | Fixed         | 11.25%                | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-A D                                                                                                                                         | CUSIP: 02007GZ71<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |     1242202 | PA      | $1259886.14   | 0.08%             | 2032-05-17      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-A E                                                                                                                                         | CUSIP: 02007GZ89<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |     2977145 | PA      | $3037295.62   | 0.18%             | 2032-05-17      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Sandy (Utah)                                                               | ABCLN 2024-A F                                                                                                                                         | CUSIP: 02007GZ97<br>LEI: 549300C04BJ0G297NC13 | Long             | ABS-O            | CORP              | US        |      414067 | PA      | $426263.95    | 0.03%             | 2032-05-17      | Fixed         | 9.89%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 A                                                                                                                                      | CUSIP: 07336QAA0<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |     5778481 | PA      | $5793932.39   | 0.35%             | 2031-12-26      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund IVB LP                                               | BVCLN 2024-CAR1 B                                                                                                                                      | CUSIP: 07336QAB8<br>LEI: 549300PYZPV2K342TZ72 | Long             | ABS-O            | CORP              | US        |      972143 | PA      | $975964.06    | 0.06%             | 2031-12-26      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust 2013-J1                                                               | PMTLT 2013-J1 A1                                                                                                                                       | CUSIP: 693456AA3<br>LEI: 549300QFMQR379ND0354 | Long             | ABS-O            | CORP              | US        |     1713347 | PA      | $1603886.25   | 0.10%             | 2043-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust 2013-J1                                                               | PMTLT 2013-J1 A8                                                                                                                                       | CUSIP: 693456AH8<br>LEI: 549300QFMQR379ND0354 | Long             | ABS-O            | CORP              | US        |     1028008 | PA      | $939637.23    | 0.06%             | 2043-09-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RES TR 2021-SFR5                                                            | PROG 2021-SFR5 D                                                                                                                                       | CUSIP: 74333FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3950000 | PA      | $3918221.86   | 0.23%             | 2038-07-19      | Fixed         | 2.11%                 | Yes           |                  2 | On Loan: No      |
| Reinsurance Group of America, Incorporated                                           | Reinsurance Group of America, Incorporated 5.75% FXD TO FLTNG SUB ORD                                                                                  | CUSIP: 759351802<br>LEI: LORM1GNEU1DKEW527V90 | Long             | EP               | CORP              | US        |       31244 | NS      | $778600.48    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                                                           | PROG 2021-SFR6 A                                                                                                                                       | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3328894 | PA      | $3300726.35   | 0.20%             | 2038-07-19      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TST 2020-SFR3                                                   | PROG 2021-SFR3 B                                                                                                                                       | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      975000 | PA      | $971126.03    | 0.06%             | 2038-05-19      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Reinsurance Group of America, Incorporated                                           | Reinsurance Group of America, Incorporated 7.125% FIXED-RATE RESET SUBORDINATED DEBENTURES DUE OCTOBER 15, 2052                                        | CUSIP: 759351885<br>LEI: LORM1GNEU1DKEW527V90 | Long             | EP               | CORP              | US        |      186953 | NS      | $4750475.73   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| PROGRESS RESIDENTIAL TST 2020-SFR3                                                   | PROG 2021-SFR3 H                                                                                                                                       | CUSIP: 74333VAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2489672 | PA      | $2480461.96   | 0.15%             | 2038-05-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Loan Trust 2005 1                                         | PFMT 2020-1 A4                                                                                                                                         | CUSIP: 743874AG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2519209 | PA      | $2199187.10   | 0.13%             | 2050-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| NRP Mortgage Trust 2013-1                                                            | NRPMT 2013-1 A1                                                                                                                                        | CUSIP: 62942KAA4<br>LEI: 549300RI0I8NS7M7F275 | Long             | ABS-O            | CORP              | US        |     2898095 | PA      | $2657260.31   | 0.16%             | 2043-07-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.25 05/15/50                                                                                                                                        | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    52970000 | PA      | $25212478.38  | 1.50%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FDG MTG LN 2019-2                                                          | PFMT 2019-1 B1                                                                                                                                         | CUSIP: 74387LAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4694189 | PA      | $4049336.65   | 0.24%             | 2049-12-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 15-R LTD                                                          | OAKC 2023-15RA X                                                                                                                                       | CUSIP: 67121NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1866667 | PA      | $1866623.73   | 0.11%             | 2038-07-20      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mtg Tr 2017-5                                                                | SEMT 2017-5 A1                                                                                                                                         | CUSIP: 81746DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1191351 | PA      | $1088958.31   | 0.06%             | 2047-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-6                                                        | SEMT 2013-6 A2                                                                                                                                         | CUSIP: 81745BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3962678 | PA      | $3616225.80   | 0.22%             | 2043-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.375 08/15/50                                                                                                                                       | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    53042000 | PA      | $26013371.62  | 1.55%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Sequoia Mtg Tr 2017-5                                                                | SEMT 2017-5 B2                                                                                                                                         | CUSIP: 81746DCC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1273042 | PA      | $1199704.46   | 0.07%             | 2047-08-25      | Variable      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-7 A1                                                                                                                                         | CUSIP: 81745CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1433573 | PA      | $1272658.58   | 0.08%             | 2043-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2017-6 B2                                                                                                                                         | CUSIP: 81746FCC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1357610 | PA      | $1285729.45   | 0.08%             | 2047-09-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2013-7 A2                                                                                                                                         | CUSIP: 81745CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3120777 | PA      | $2835989.01   | 0.17%             | 2043-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.625 11/15/50                                                                                                                                       | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    68170000 | PA      | $35666756.69  | 2.12%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR 2017-7                                                                | SEMT 2017-7 B2                                                                                                                                         | CUSIP: 81746GCC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1401571 | PA      | $1316887.06   | 0.08%             | 2047-10-25      | Variable      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-9                                                        | SEMT 2013-9 A1                                                                                                                                         | CUSIP: 81745DAE1<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-O            | CORP              | US        |     2233319 | PA      | $2049522.77   | 0.12%             | 2043-07-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2015-3                                                        | SEMT 2015-3 B1                                                                                                                                         | CUSIP: 81746LCB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      722336 | PA      | $712577.72    | 0.04%             | 2045-07-25      | Variable      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2013-8                                                        | SEMT 2013-8 A1                                                                                                                                         | CUSIP: 81745EAA7<br>LEI: 549300EU86QZR1NB5U93 | Long             | ABS-O            | CORP              | US        |     1494623 | PA      | $1361442.75   | 0.08%             | 2043-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.125 08/15/53                                                                                                                                       | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   101275000 | PA      | $89046834.71  | 5.30%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2016-1 B1                                                                                                                                         | CUSIP: 81746PCB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1300098 | PA      | $1260083.80   | 0.08%             | 2046-06-25      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2014-4 A6                                                                                                                                         | CUSIP: 81745LAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       36007 | PA      | $33580.86     | 0.00%             | 2044-11-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2013-A                                        | SEMT 2018-2 B1                                                                                                                                         | CUSIP: 81746QCB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3208870 | PA      | $3011118.25   | 0.18%             | 2048-02-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2020-1 A7                                                                                                                                         | CUSIP: 81748MAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5859239 | PA      | $5359460.06   | 0.32%             | 2050-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates                                 | WFMBS 2018-1 A1                                                                                                                                        | CUSIP: 94989UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      382318 | PA      | $351500.77    | 0.02%             | 2047-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2013-A                                        | SEMT 2018-2 B2                                                                                                                                         | CUSIP: 81746QCC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2242918 | PA      | $2092956.92   | 0.12%             | 2048-02-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| USB Auto Owner Trust 2025-1                                                          | USCAR 2025-1A R                                                                                                                                        | CUSIP: 90367VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       40000 | PA      | $9965870.84   | 0.59%             | 2032-12-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2017-1 A1                                                                                                                                         | CUSIP: 81746TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4231685 | PA      | $3880720.95   | 0.23%             | 2047-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Valero Energy Corp.                                                                  | VLO 3.65 12/01/51                                                                                                                                      | CUSIP: 91913YBD1<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |     7277000 | PA      | $4949886.86   | 0.29%             | 2051-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2020-1 Trust                                  | WFMBS 2020-1 A5                                                                                                                                        | CUSIP: 95002KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      391369 | PA      | $342133.80    | 0.02%             | 2049-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2018-CH3 A13                                                                                                                                      | CUSIP: 81746WAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       41073 | PA      | $40938.04     | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Uruguay (Republic Of)                                                                | URUGUA 8.25 05/21/31                                                                                                                                   | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   120000000 | PA      | $3049279.36   | 0.18%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-3                                                        | SEMT 2017-3 A1                                                                                                                                         | CUSIP: 81746XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      873537 | PA      | $800329.63    | 0.05%             | 2047-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 8 02/21/36 M                                                                                                                                     | CUSIP: P4R1NQAV3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   139000000 | PA      | $7103479.33   | 0.42%             | 2036-02-21      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Winwater Mtge Loan Trust 2014-1                                                      | WIN 2014-1 A9                                                                                                                                          | CUSIP: 97652PAJ0<br>LEI: 5493002CYMIHYUBDIR84 | Long             | ABS-O            | CORP              | US        |      555628 | PA      | $529511.80    | 0.03%             | 2044-06-20      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2019-2 A1                                                                                                                                         | CUSIP: 81746YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      399476 | PA      | $378114.40    | 0.02%             | 2049-06-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CSMLT 2015-3 Trust                                                                   | CSMLT 2015-2 A7                                                                                                                                        | CUSIP: 12637LAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      513456 | PA      | $479221.22    | 0.03%             | 2045-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2018-CH2 A15                                                                                                                                      | CUSIP: 81747EAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      675273 | PA      | $618024.79    | 0.04%             | 2048-06-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust 2014-EB1                                         | GSMBS 2014-EB1A 2A4                                                                                                                                    | CUSIP: 36250BAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       43381 | PA      | $43136.79     | 0.00%             | 2044-07-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2018-5 A7                                                                                                                                         | CUSIP: 81747GAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1823328 | PA      | $1660751.50   | 0.10%             | 2048-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | BONCAP 2.4 05/31/27                                                                                                                                    | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | AR        |  4200000000 | PA      | $3152632.15   | 0.19%             | 2027-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2018-6 B4                                                                                                                                         | CUSIP: 81747JCF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2249000 | PA      | $1784668.54   | 0.11%             | 2048-07-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-Pj3                                         | GSMBS 2020-INV1 A14                                                                                                                                    | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2924089 | PA      | $2532325.76   | 0.15%             | 2050-10-25      | Variable      | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2004 11                                                       | SEMT 2019-4 A1                                                                                                                                         | CUSIP: 81748JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      407831 | PA      | $370415.36    | 0.02%             | 2049-11-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Chile (Republic Of)                                                                  | BTPCL 5 10/01/28                                                                                                                                       | CUSIP: P3718SAY4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  2700000000 | PA      | $2971498.28   | 0.18%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Tiaa Bank Mortgage Loan Trust 2018-3                                                 | TBMLT 2018-2 A1                                                                                                                                        | CUSIP: 886312AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       90372 | PA      | $82776.12     | 0.00%             | 2048-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-PJ5                                                              | GSMBS 2020-PJ5 A2                                                                                                                                      | CUSIP: 36260DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8739498 | PA      | $7618828.92   | 0.45%             | 2051-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Tiaa Bank Mortgage Loan Trust 2018-3                                                 | TBMLT 2018-2 B2                                                                                                                                        | CUSIP: 886312CC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      743869 | PA      | $678935.14    | 0.04%             | 2048-07-25      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Macys Retail Holdings LLC                                                            | M 5.125 01/15/42                                                                                                                                       | CUSIP: 55616XAG2<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |     2676000 | PA      | $1984001.12   | 0.12%             | 2042-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Macys Retail Holdings LLC                                                            | M 4.3 02/15/43                                                                                                                                         | CUSIP: 55616XAJ6<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |     5783000 | PA      | $3875961.49   | 0.23%             | 2043-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management Funds                                             | Dreyfus Government Cash Management Funds SH BEN INT                                                                                                    | CUSIP: 262006208<br>LEI: 549300F7IDB6WRO7VJ11 | Long             | STIV             | RF                | US        |    60349088 | NS      | $60349088.49  | 3.59%             |  |  |  | No            |                  1 | On Loan: No      |
| J P Morgan Exchange Traded Fund Trust                                                | J P Morgan Exchange Traded Fund Trust ULTRA SHORT INCOME ETF                                                                                           | CUSIP: 46641Q837<br>LEI: 5493001E1K1DVWDV2464 | Long             | EC               | RF                | US        |      322581 | NS      | $16325824.41  | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets Holdings Inc.                                               | C 17.9008 06/29/32 Emtn                                                                                                                                | CUSIP: 173074ZT5<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | DBT              | CORP              | US        |  4000000000 | PA      | $3044253.41   | 0.18%             | 2032-06-29      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Annaly Capital Management, Inc.                                                      | Annaly Capital Management, Inc. 6.750% FXD TO FTG RATE CUM                                                                                             | CUSIP: 035710847<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EP               | CORP              | US        |      129307 | NS      | $3204227.46   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| KKR Group Finance Company IX LLC                                                     | KKR Group Finance Company IX LLC 4.625% SUBORDINATED NOTES DUE APRIL 1, 2061                                                                           | CUSIP: 48253M104<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      104056 | NS      | $1664896.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: —       |
| UBS Group AG                                                                         | UBS V9.25 PERP 144a                                                                                                                                    | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1963000 | PA      | $2093388.74   | 0.12%             | N/A             | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN 4.5 02/01/35 144A                                                                                                                               | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     5000000 | PA      | $2617301.35   | 0.16%             | 2035-02-01      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Venezuela (Republic Of)                                                              | VENZ 8.25 10/13/24                                                                                                                                     | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     2000000 | PA      | $853000.00    | 0.05%             | 2024-10-13      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Venezuela (Republic Of)                                                              | VENZ 12.75 08/23/22                                                                                                                                    | CUSIP: P17625AC1<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     2000000 | PA      | $1005000.00   | 0.06%             | 2022-08-23      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMGB 6.7 02/25/32 10Y                                                                                                                                 | CUSIP: X5S007JK4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     8700000 | PA      | $1917376.11   | 0.11%             | 2032-02-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLGB 5 10/25/35 1035                                                                                                                                  | CUSIP: X8T02EHY2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    14500000 | PA      | $3656287.45   | 0.22%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Arch Capital Group Ltd.                                                              | ACGL 3.635 06/30/50                                                                                                                                    | CUSIP: 03939AAA5<br>LEI: 549300AYR4P8AFKDCE43 | Long             | DBT              | CORP              | BM        |     6548000 | PA      | $4693864.72   | 0.28%             | 2050-06-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Biogen Inc                                                                           | BIIB 3.15 05/01/50                                                                                                                                     | CUSIP: 09062XAG8<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    11536000 | PA      | $7292628.33   | 0.43%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                                                    | LYB 3.625 04/01/51                                                                                                                                     | CUSIP: 50249AAJ2<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |    12239000 | PA      | $7909457.67   | 0.47%             | 2051-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| Hungary (Republic Of)                                                                | HGB 6.75 07/23/31 31/B                                                                                                                                 | CUSIP: X516274F5<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |  2600000000 | PA      | $7671102.39   | 0.46%             | 2031-07-23      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                                  | NEE V6.375 08/15/55                                                                                                                                    | CUSIP: 65339KDE7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    13246000 | PA      | $13492971.67  | 0.80%             | 2055-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                                  | NEE V6.5 08/15/55 .                                                                                                                                    | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     9884000 | PA      | $10202245.03  | 0.61%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Petroleos de Venezuela SA                                                            | PDVSA 9 11/17/21 144A                                                                                                                                  | CUSIP: 716558AD3<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | NUSS              | VE        |     1000000 | PA      | $382500.00    | 0.02%             | 2021-11-17      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Petroleos de Venezuela SA                                                            | PDVSA 9.75 05/17/35 144A                                                                                                                               | CUSIP: 716558AE1<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | NUSS              | VE        |     2000000 | PA      | $830600.00    | 0.05%             | 2035-05-17      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Petroleos de Venezuela SA                                                            | PDVSA 6 11/15/26 144A                                                                                                                                  | CUSIP: 716558AF8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | NUSS              | VE        |     4700000 | PA      | $1588130.00   | 0.09%             | 2026-11-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Saudi Arabian Oil Company                                                            | ARAMCO 6 02/02/56 144A                                                                                                                                 | CUSIP: 80415RAD3<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     6558000 | PA      | $6176849.04   | 0.37%             | 2056-02-02      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Williams Companies Inc. (The)                                                        | WMB 3.5 10/15/51                                                                                                                                       | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    10210000 | PA      | $6954189.15   | 0.41%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC 3 04/22/26                                                                                                                                         | CUSIP: 949746RW3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     6366000 | PA      | $6357457.34   | 0.38%             | 2026-04-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Williams Companies Inc. (The)                                                        | WMB 5.95 03/15/56                                                                                                                                      | CUSIP: 969457CW8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    10411000 | PA      | $10250877.67  | 0.61%             | 2056-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                                                                   | PERU 6.9 08/12/37 144A                                                                                                                                 | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     6700000 | PA      | $1907231.00   | 0.11%             | 2037-08-12      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Petroleos de Venezuela SA                                                            | PDVSA 6 11/15/26 REGS                                                                                                                                  | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | NUSS              | VE        |     3000000 | PA      | $1013700.00   | 0.06%             | 2026-11-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2013-1                                                      | ABMT 2013-1 A1                                                                                                                                         | CUSIP: 008414AA2<br>LEI: 549300FEDPP088KAOR45 | Long             | ABS-O            | CORP              | US        |      165736 | PA      | $155605.75    | 0.01%             | 2043-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2013-1                                                      | ABMT 2015-2 B2                                                                                                                                         | CUSIP: 00841XBJ8<br>LEI: 549300FEDPP088KAOR45 | Long             | ABS-O            | CORP              | US        |     1625765 | PA      | $1509108.71   | 0.09%             | 2045-03-25      | Variable      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2015-5                                                      | ABMT 2015-5 A3                                                                                                                                         | CUSIP: 00842BAC1<br>LEI: 549300RM62GNIVQ1WJ04 | Long             | ABS-O            | CORP              | US        |      551274 | PA      | $513414.43    | 0.03%             | 2045-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2015-7                                                      | ABMT 2015-7 A3                                                                                                                                         | CUSIP: 00842CAC9<br>LEI: 549300LK2ZDVY7I44B84 | Long             | ABS-O            | CORP              | US        |      527214 | PA      | $490323.65    | 0.03%             | 2045-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K112 XAM                                                                                                                                          | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    10630000 | PA      | $676278.47    | 0.04%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Alibaba Group Holding Ltd.                                                           | BABA 3.15 02/09/51                                                                                                                                     | CUSIP: 01609WAZ5<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |     6113000 | PA      | $4109099.43   | 0.24%             | 2051-02-09      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K113 XAM                                                                                                                                          | CUSIP: 3137FV5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    10743000 | PA      | $637973.06    | 0.04%             | 2030-06-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                                                   | ALLYA 2024-1 CERT                                                                                                                                      | CUSIP: 02008F104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    51684421 | PA      | $3569274.42   | 0.21%             | 2032-02-16      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K114 X3                                                                                                                                           | CUSIP: 3137FVNK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    19500000 | PA      | $1884499.50   | 0.11%             | 2048-08-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Company                                                    | BRKHEC 2.85 05/15/51                                                                                                                                   | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     5843000 | PA      | $3524412.47   | 0.21%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                     | FHMS K115 X3                                                                                                                                           | CUSIP: 3137FWGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    21702896 | PA      | $2308856.08   | 0.14%             | 2048-09-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K136 XAM                                                                                                                                          | CUSIP: 3137H4SM3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    96839687 | PA      | $2616656.76   | 0.16%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K137 X3                                                                                                                                           | CUSIP: 3137H5DS3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    20601000 | PA      | $2763123.55   | 0.16%             | 2049-01-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                              | FHMS K747 X3                                                                                                                                           | CUSIP: 3137H5E29<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    52159495 | PA      | $3032730.38   | 0.18%             | 2049-12-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FHMS K139 X3                                                                                                                                           | CUSIP: 3137H6LR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    31585759 | PA      | $4607364.13   | 0.27%             | 2049-02-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Lincoln National Corp.                                                               | Lincoln National Corp. DEPOSITARY SHARES                                                                                                               | CUSIP: 534187885<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | EP               | CORP              | US        |      303742 | NS      | $7939815.88   | 0.47%             |  |  |  | No            |                  1 | On Loan: —       |
| Csmc Trust 2017                                                                      | CSMC 2017-HL2 A1                                                                                                                                       | CUSIP: 12652CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1507040 | PA      | $1371834.63   | 0.08%             | 2047-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| SPDR Series Trust                                                                    | SPDR Series Trust PORTFOLO LNG TRM CRP BD ETF                                                                                                          | CUSIP: 78464A367<br>LEI: 5493004JVD6CQEEJSS37 | Long             | EC               | RF                | US        |      795624 | NS      | $17678765.28  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Duke Energy Corp                                                                     | DUK 3.3 06/15/41                                                                                                                                       | CUSIP: 26441CBM6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    11902000 | PA      | $8943285.51   | 0.53%             | 2041-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Ssga Active Trust                                                                    | Ssga Active Trust BLACKSTONE / GSO SR LN ETF                                                                                                           | CUSIP: 78467V608<br>LEI: 549300MAXSRPQ75ICU67 | Long             | EC               | RF                | US        |      253179 | NS      | $10162605.06  | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                                 | GFMT 2017-1 B2                                                                                                                                         | CUSIP: 36416UBJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2383995 | PA      | $2262418.47   | 0.13%             | 2056-07-25      | Variable      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| South Africa (Republic of)                                                           | SAGB 8.5 01/31/37 2037                                                                                                                                 | CUSIP: S69124TY1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   100000000 | PA      | $5519243.08   | 0.33%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MRTG TR 2020-INV1                                                          | JPMMT 2020-INV1 A5                                                                                                                                     | CUSIP: 46591VAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      791001 | PA      | $712574.25    | 0.04%             | 2050-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2020-LTV2                                                           | JPMMT 2020-LTV2 B1                                                                                                                                     | CUSIP: 46653LCA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      946643 | PA      | $862553.88    | 0.05%             | 2050-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN MTG TR 2020-LTV2                                                           | JPMMT 2020-LTV2 B3                                                                                                                                     | CUSIP: 46653LCG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1318445 | PA      | $1178215.13   | 0.07%             | 2050-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Phillips 66 Co.                                                                      | PSX V6.2 03/15/56 B                                                                                                                                    | CUSIP: 718547BA9<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    20528000 | PA      | $20399814.96  | 1.22%             | 2056-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2015-2                                                        | SEMT 2015-2 A1                                                                                                                                         | CUSIP: 81733YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2266392 | PA      | $2102636.05   | 0.13%             | 2045-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2015-2                                                        | SEMT 2015-2 A13                                                                                                                                        | CUSIP: 81733YBA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      570636 | PA      | $526227.19    | 0.03%             | 2045-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2015-2                                                        | SEMT 2015-2 B2                                                                                                                                         | CUSIP: 81733YEE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1736325 | PA      | $1677361.66   | 0.10%             | 2045-05-25      | Variable      | 3.76%                 | Yes           |                  2 | On Loan: No      |
| THE OPTIONS CLEARING CORPORATION                                                     | TLT A 2026-05-15 CALL 91                                                                                                                               | CUSIP: N/A<br>LEI: 549300CII6SLYGKNHA04       | N/A              | DE               | CORP              | US        |       30000 | NC      | $690000.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Paraguay (Republic of)                                                               | PARGUY 8.5 04/04/38 144A                                                                                                                               | CUSIP: 699149CC2<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        | 19521000000 | PA      | $2961093.60   | 0.18%             | 2038-04-04      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| JP MORG WLTH MTG TR 2020-ATR1                                                        | JPMWM 2020-ATR1 A3                                                                                                                                     | CUSIP: 46652HAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2463137 | PA      | $2152838.39   | 0.13%             | 2050-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP MORG WLTH MTG TR 2020-ATR1                                                        | JPMWM 2020-ATR1 A5                                                                                                                                     | CUSIP: 46652HAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4647458 | PA      | $4061984.87   | 0.24%             | 2050-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 3.25 08/01/50                                                                                                                                      | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     8352000 | PA      | $5433245.85   | 0.32%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Lincoln National Corp.                                                               | LNC V9.25 PERP C                                                                                                                                       | CUSIP: 534187BR9<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    13112000 | PA      | $13679474.25  | 0.81%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Nasdaq Inc                                                                           | NDAQ 3.25 04/28/50                                                                                                                                     | CUSIP: 63111XAB7<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     9678000 | PA      | $6456222.16   | 0.38%             | 2050-04-28      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.875 11/20/50                                                                                                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    11490000 | PA      | $6982233.89   | 0.42%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                                                              | EUROPEAN BANK FOR RECONSTRUCTION & DEVELOPMENT                                                                                                         | CUSIP: ZD4889477<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   275000000 | PA      | $2754837.57   | 0.16%             | 2031-03-14      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                                              | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT                                                                                                    | CUSIP: ZM8192696<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   128000000 | PA      | $6719458.95   | 0.40%             | 2038-02-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                                              | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT                                                                                                    | CUSIP: ZG4396153<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 76000000000 | PA      | $8310318.08   | 0.50%             | 2033-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                                              | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT                                                                                                    | CUSIP: YQ1757026<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  3500000000 | PA      | $6894310.89   | 0.41%             | 2027-07-14      | Fixed         | 12.50%                | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-22

**Name of Applicant:** Touchstone Strategic Trust

**Signature:** Terri Lucas

**Name of Signer:** Terri Lucas

**Title:** Controller & Treasurer