# EDGAR Filing Document

**Accession Number:** 0000896435
**File Stem:** 0001752724-23-049875
**Filing Date:** 2023-3
**Character Count:** 487405
**Document Hash:** 5c90a0650a4a4c6ea0a9122228badc9d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-049875.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-049875

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS (INVESCO VARIABLE INSURANCE FUNDS)
- **CENTRAL INDEX KEY:** 0000896435
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07452
- **FILM NUMBER:** 23691744

**BUSINESS ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046
- **BUSINESS PHONE:** 7136261919

**MAIL ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS
- **DATE OF NAME CHANGE:** 20000719

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS INC
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### INVESCO V.I. Core Plus Bond Fund (Series ID: S000000205)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000000456 | Series I     |  |
| C000000457 | Series II    |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AIM Variable Insurance Funds (Invesco Variable Insurance Funds)

- **b. Investment Company Act file number:** 811-07452

- **c. CIK number of Registrant:** 0000896435

- **d. LEI of Registrant:** FC4UULIMJMGKBDUARB13

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

  - **Street Address 1:** 11 Greenway Plaza

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77046-1173

  - **Telephone number:** 800-959-4246

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

- **a. Name of Series:** Invesco V.I. Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000000205

- **c. LEI of Series:** V0K1WLL1C7HRDGC20117

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $145260113.79

**Total Liabilities:** $26820746.41

**Net Assets:** $118439367.38

**Delayed Delivery Securities:** $12924784.23

**Cash Not Reported:** $30741.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -250.42457180 | **1-Year:** -5718.14965156 | **5-Year:** -16936.71544169 | **10-Year:** -24612.52769207 | **30-Year:** -12169.90268100

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

- **3-Month:** -11.92265596 | **1-Year:** -202.67209363 | **5-Year:** -1164.09539784 | **10-Year:** -895.97863398 | **30-Year:** -80.06402498

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000456 | -1.70%               | 3.73%                | -0.00%               |
| Class ID C000000457 | -1.55%               | 3.77%                | -0.18%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1505076.03             | $-624923.77                                |
| Month 2  | $-1736834.40             | $5824361.53                                |
| Month 3  | $-320289.88              | $-262716.72                                |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Aggregate Bond Index

- **Index Identifier:** 100% BB-US Agg

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    380000 | PA      | $372037.05    | 0.31%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: —       |
| United States Treasury Note/Bond                                                    | United States Treasury Note/Bond                                                                   | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2390500 | PA      | $1970294.92   | 1.66%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                           | Towd Point Mortgage Trust, Series 2017-2, Class A1                                                 | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6261 | PA      | $6188.14      | 0.01%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                                       | SG Residential Mortgage Trust, Series 2022-1, Class A1                                             | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371991 | PA      | $334277.38    | 0.28%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group Inc.                                                           | Liberty Mutual Group Inc.                                                                          | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    102000 | PA      | $92040.84     | 0.08%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Invesco Treasury Portfolio                                                          | Invesco Treasury Portfolio, Institutional Class                                                    | CUSIP: 825252406<br>LEI: 5493004B3TM8ZIDDDC39 | Long             | STIV             | RF                | US        |   1259116 | NS      | $1259116.46   | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Prudential Financial, Inc.                                                          | Prudential Financial, Inc.                                                                         | CUSIP: 744320AN2<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     22000 | PA      | $20944.22     | 0.02%             | 2044-03-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc.                                                                       | Broadcom Inc.                                                                                      | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7188.79      | 0.01%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc.                                                                                     | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8297.63      | 0.01%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Sonic Automotive, Inc.                                                              | Sonic Automotive, Inc.                                                                             | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24060.24     | 0.02%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc.                                                                      | AEP Texas Inc.                                                                                     | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     51000 | PA      | $49073.65     | 0.04%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Kite Realty Group Trust                                                             | Kite Realty Group Trust                                                                            | CUSIP: 76131VAB9<br>LEI: 549300OVTYLM7DH6CM14 | Long             | DBT              | CORP              | US        |     24000 | PA      | $21190.08     | 0.02%             | 2030-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                             | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                                                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10824 | PA      | $9961.28      | 0.01%             | 2035-07-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance Inc.                          | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance Inc.                                         | CUSIP: 46590XAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      5000 | PA      | $4107.33      | 0.00%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                                            | AmeriCredit Automobile Receivables Trust, Series 2019-3, Class D                                   | CUSIP: 03066NAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $129839.96    | 0.11%             | 2025-09-18      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                         | ONEOK, Inc.                                                                                        | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    107000 | PA      | $107322.88    | 0.09%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9357.40      | 0.01%             | 2028-02-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36179UV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28668 | PA      | $27241.77     | 0.02%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     33389 | PA      | $5395.01      | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                                               | Delta Air Lines, Inc.                                                                              | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      4000 | PA      | $4093.48      | 0.00%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392FJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     38095 | PA      | $4314.91      | 0.00%             | 2032-12-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Pacific Life Global Funding II                                                      | Pacific Life Global Funding II                                                                     | CUSIP: 6944PL2M0<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    166000 | PA      | $163724.63    | 0.14%             | 2025-03-30      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Global Atlantic (Fin) Co.                                                           | Global Atlantic (Fin) Co.                                                                          | CUSIP: 37959GAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8000 | PA      | $6712.48      | 0.01%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Vontier Corp.                                                                       | Vontier Corp.                                                                                      | CUSIP: 928881AF8<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     25000 | PA      | $18101.33     | 0.02%             | 2031-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GXX7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115221.05    | 0.10%             | 2027-03-09      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                 | U.S. Treasury 10 Year Ultra Future                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -104 | NC      | $71500.00     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1877.55      | 0.00%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31394EC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       525 | PA      | $517.84       | 0.00%             | 2035-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GYR9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    149000 | PA      | $142565.69    | 0.12%             | 2027-10-21      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| California State University                                                         | California State University, Series 2021 B, Ref. RB                                                | CUSIP: 13077DRW4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    145000 | PA      | $98013.23     | 0.08%             | 2052-11-01      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                    | Philip Morris International Inc.                                                                   | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    326000 | PA      | $331485.76    | 0.28%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Octagon Investment Partners 49 Ltd.                                                 | Octagon Investment Partners 49 Ltd., Series 2020-5A, Class A1                                      | CUSIP: 67578FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $394204.80    | 0.33%             | 2033-01-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31394F4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     72782 | PA      | $5599.42      | 0.00%             | 2035-10-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Walmart Inc.                                                                        | Walmart Inc.                                                                                       | CUSIP: 931142EZ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    120000 | PA      | $114904.90    | 0.10%             | 2052-09-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                                     | AES Corp. (The)                                                                                    | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4787.17      | 0.00%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392DPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       829 | PA      | $83.12        | 0.00%             | 2032-03-18      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                   | Wells Fargo & Co.                                                                                  | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    104000 | PA      | $88604.72     | 0.07%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                   | HSBC Holdings PLC                                                                                  | CUSIP: 404280BS7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    103000 | PA      | $102200.02    | 0.09%             | 2024-05-18      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 3137B26D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     33825 | PA      | $1477.21      | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     11392 | PA      | $11463.94     | 0.01%             | 2037-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                                      | AutoZone, Inc.                                                                                     | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     92000 | PA      | $89447.58     | 0.08%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                                | Energy Transfer L.P.                                                                               | CUSIP: 86765BAU3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5609.60      | 0.00%             | 2027-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                          | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class XA                              | CUSIP: 46644ABH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1901384 | PA      | $35429.07     | 0.03%             | 2048-02-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Peruvian Government International Bond                                              | Peruvian Government International Bond                                                             | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     10000 | PA      | $8297.30      | 0.01%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I, L.P.                                                              | Hilcorp Energy I, L.P.                                                                             | CUSIP: 431318AZ7<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |     18000 | PA      | $15558.94     | 0.01%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                            | Celanese US Holdings LLC                                                                           | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    219000 | PA      | $216356.86    | 0.18%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                      | EPR Properties                                                                                     | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     29000 | PA      | $26095.01     | 0.02%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                                 | Bank of New York Mellon Corp. (The), Series I                                                      | CUSIP: 064058AL4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     58000 | PA      | $46861.50     | 0.04%             | N/A             | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                          | Corebridge Financial, Inc.                                                                         | CUSIP: 21871XAL3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6379.78      | 0.01%             | 2052-04-05      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd.                                                               | OHA Loan Funding Ltd., Series 2016-1A, Class AR                                                    | CUSIP: 67110UAL3<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |    287936 | PA      | $283845.01    | 0.24%             | 2033-01-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                          | PacifiCorp                                                                                         | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    516000 | PA      | $513888.87    | 0.43%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| B3 S.A. - Brasil, Bolsa, Balcao                                                     | B3 S.A. - Brasil, Bolsa, Balcao                                                                    | CUSIP: 11778EAA4<br>LEI: 4GTK5S46E6H318LMDS44 | Long             | DBT              | CORP              | BR        |    200000 | PA      | $168778.70    | 0.14%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31394YF74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     24886 | PA      | $665.44       | 0.00%             | 2026-07-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Icecek A.S.                                                               | Coca-Cola Icecek A.S.                                                                              | CUSIP: 1912ERAA8<br>LEI: 789000WT80VVLUWJDK41 | Long             | DBT              | CORP              | TR        |    200000 | PA      | $174695.20    | 0.15%             | 2029-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association, IO                                                       | CUSIP: 38380HQY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    110169 | PA      | $9652.99      | 0.01%             | 2047-10-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd.                                                        | National Australia Bank Ltd.                                                                       | CUSIP: 632525AS0<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |    153000 | PA      | $128996.93    | 0.11%             | 2034-08-02      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 31364HF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      4921 | PA      | $97.55        | 0.00%             | 2023-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Piedmont Operating Partnership, L.P.                                                | Piedmont Operating Partnership, L.P.                                                               | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1525.69      | 0.00%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                                                                 | Life Mortgage Trust, Series 2021-BMR, Class B                                                      | CUSIP: 53218CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334210 | PA      | $319873.42    | 0.27%             | 2038-03-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                                 | Thornburg Mortgage Securities Trust, Series 2005-1, Class A3                                       | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17982 | PA      | $16810.06     | 0.01%             | 2045-04-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| SVB Financial Group                                                                 | SVB Financial Group                                                                                | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    172000 | PA      | $99299.26     | 0.08%             | N/A             | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    128758 | PA      | $20536.02     | 0.02%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31394AHA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     31797 | PA      | $1985.84      | 0.00%             | 2030-11-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                              | Credit Suisse Group AG                                                                             | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    147000 | PA      | $129809.79    | 0.11%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TDCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      1540 | PA      | $1577.68      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                                         | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1                               | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26926 | PA      | $25821.14     | 0.02%             | 2036-02-25      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| Essential Properties, L.P.                                                          | Essential Properties, L.P.                                                                         | CUSIP: 29670VAA7<br>LEI: 254900XX9FNFCDE1NX02 | Long             | DBT              | CORP              | US        |     14000 | PA      | $10212.48     | 0.01%             | 2031-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                      | Morgan Stanley Capital I Trust, Series 2019-L2, Class A4                                           | CUSIP: 61768HAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $73986.72     | 0.06%             | 2052-03-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                 | U.S. Treasury Long Bond Future                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        28 | NC      | $-23711.80    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Apple Inc.                                                                          | Apple Inc.                                                                                         | CUSIP: 037833EA4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     30000 | PA      | $18303.81     | 0.02%             | 2060-08-20      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass, LLC                                                  | Venture Global Calcasieu Pass, LLC                                                                 | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     37000 | PA      | $30293.57     | 0.03%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Alcon Finance Corp.                                                                 | Alcon Finance Corp.                                                                                | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201644.24    | 0.17%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                                  | General Motors Financial Co., Inc.                                                                 | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     13000 | PA      | $11670.15     | 0.01%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                 | Petroleos Mexicanos                                                                                | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     51000 | PA      | $40147.30     | 0.03%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2136 | PA      | $210.28       | 0.00%             | 2032-12-18      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6235 | PA      | $6506.64      | 0.01%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      8629 | PA      | $1493.78      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                                | Mitsubishi UFJ Financial Group, Inc.                                                               | CUSIP: 606822CK8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    213000 | PA      | $204006.73    | 0.17%             | 2033-07-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1128 | PA      | $1171.03      | 0.00%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                                  | Freddie Mac STRIPS, PO                                                                             | CUSIP: 31282XVL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      5513 | PA      | $5153.51      | 0.00%             | 2026-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                             | UnitedHealth Group Inc.                                                                            | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    321000 | PA      | $332230.01    | 0.28%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| NextEra Energy Capital Holdings, Inc.                                               | NextEra Energy Capital Holdings, Inc.                                                              | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    162000 | PA      | $159555.90    | 0.13%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets PLC                                                              | BP Capital Markets PLC                                                                             | CUSIP: 05565QDU9<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     18000 | PA      | $17235.00     | 0.01%             | N/A             | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Ameriprise Financial, Inc.                                                          | Ameriprise Financial, Inc.                                                                         | CUSIP: 03076CAL0<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |     37000 | PA      | $35943.88     | 0.03%             | 2032-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                                   | Lamar Media Corp.                                                                                  | CUSIP: 513075BR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26000 | PA      | $23313.85     | 0.02%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Royal Bank of Canada                                                                | Royal Bank of Canada                                                                               | CUSIP: 78016EYZ4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     81000 | PA      | $78035.63     | 0.07%             | 2027-01-21      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc.                                                                     | S&P Global Inc.                                                                                    | CUSIP: 78409VBD5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     13000 | PA      | $10098.88     | 0.01%             | 2052-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential Trust, Series 2022-SFR5, Class A                                              | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254325 | PA      | $238993.96    | 0.20%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                               | Elevance Health, Inc.                                                                              | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     68000 | PA      | $72919.79     | 0.06%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Jackson Financial Inc.                                                              | Jackson Financial Inc.                                                                             | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     69000 | PA      | $68092.14     | 0.06%             | 2027-06-08      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                  | Ellington Financial Mortgage Trust, Series 2019-2, Class A1                                        | CUSIP: 31573TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21063 | PA      | $19837.51     | 0.02%             | 2059-11-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                                                   | Sonic Capital LLC, Series 2020-1A, Class A2I                                                       | CUSIP: 83546DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48833 | PA      | $43525.42     | 0.04%             | 2050-01-20      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                                                                | Northern Trust Corp.                                                                               | CUSIP: 665859AX2<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |    193000 | PA      | $204125.12    | 0.17%             | 2032-11-02      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     18590 | PA      | $974.66       | 0.00%             | 2035-02-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                  | Ellington Financial Mortgage Trust, Series 2021-1, Class A1                                        | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37231 | PA      | $30540.66     | 0.03%             | 2066-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Parkland Corp.                                                                      | Parkland Corp.                                                                                     | CUSIP: 70137WAG3<br>LEI: 549300XHQS1JYWBNK868 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $16694.23     | 0.01%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                      | EPR Properties                                                                                     | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     62000 | PA      | $52995.67     | 0.04%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Manulife Financial Corp.                                                            | Manulife Financial Corp.                                                                           | CUSIP: 56501RAE6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |      8000 | PA      | $7295.55      | 0.01%             | 2032-02-24      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                                                      | Illumina, Inc.                                                                                     | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4817.78      | 0.00%             | 2031-03-23      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                                                      | Citizens Financial Group, Inc.                                                                     | CUSIP: 174610BE4<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    121000 | PA      | $112860.54    | 0.10%             | 2037-05-21      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31359AYN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      3084 | PA      | $3082.28      | 0.00%             | 2023-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                                  | Freddie Mac STRIPS, IO                                                                             | CUSIP: 31325UPL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     37999 | PA      | $2191.93      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                                           | CSX Corp.                                                                                          | CUSIP: 126408HV8<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    164000 | PA      | $143284.91    | 0.12%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                                | American Tower Corp.                                                                               | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     21000 | PA      | $17144.26     | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     12076 | PA      | $12437.77     | 0.01%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Genuine Parts Co.                                                                   | Genuine Parts Co.                                                                                  | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16104.49     | 0.01%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SVB Financial Group                                                                 | SVB Financial Group, Series D                                                                      | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    362000 | PA      | $238168.38    | 0.20%             | N/A             | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       412 | PA      | $40.39        | 0.00%             | 2031-11-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                     | Intercontinental Exchange, Inc.                                                                    | CUSIP: 45866FAU8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     49000 | PA      | $47390.08     | 0.04%             | 2027-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Piedmont Healthcare, Inc.                                                           | Piedmont Healthcare, Inc., Series 2032                                                             | CUSIP: 72014TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     94000 | PA      | $72621.96     | 0.06%             | 2032-01-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                                               | WMG Acquisition Corp.                                                                              | CUSIP: 92933BAR5<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |     31000 | PA      | $24821.55     | 0.02%             | 2031-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136B1BQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      8214 | PA      | $541.98       | 0.00%             | 2044-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FA6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     48227 | PA      | $8174.38      | 0.01%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust                                           | Bayview MSR Opportunity Master Fund Trust, Series 2021-4, Class A3                                 | CUSIP: 07336GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320032 | PA      | $268244.24    | 0.23%             | 2051-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp.                                                               | Southern Copper Corp.                                                                              | CUSIP: 84265VAJ4<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |     18000 | PA      | $18450.11     | 0.02%             | 2045-04-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                          | Rogers Communications Inc.                                                                         | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    127000 | PA      | $99049.60     | 0.08%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                                 | MASTR Asset Backed Securities Trust, Series 2006-WMC3, Class A3                                    | CUSIP: 55291KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36183 | PA      | $12875.41     | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                                | American Tower Corp.                                                                               | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22364.47     | 0.02%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 3129354W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72372 | PA      | $74939.84     | 0.06%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                             | UnitedHealth Group Inc.                                                                            | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    146000 | PA      | $159480.48    | 0.13%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                               | OneMain Finance Corp.                                                                              | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     37000 | PA      | $29471.24     | 0.02%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                        | GS Mortgage Securities Trust, Series 2020-GC45, Class A5                                           | CUSIP: 36258YBG2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $42989.73     | 0.04%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TMBG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     39202 | PA      | $40162.34     | 0.03%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust                                           | Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A1                                 | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330402 | PA      | $277759.18    | 0.23%             | 2051-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6399.12      | 0.01%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 40A Ltd.                                                 | Golub Capital Partners CLO 40A Ltd., Series 2019-40A, Class AR                                     | CUSIP: 38176EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $322748.25    | 0.27%             | 2032-01-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                                 | Starwood Mortgage Residential Trust, Series 2022-1, Class A1                                       | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297312 | PA      | $250281.51    | 0.21%             | 2066-12-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| Magallanes, Inc.                                                                    | Magallanes, Inc.                                                                                   | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    104000 | PA      | $76006.04     | 0.06%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392GDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1907 | PA      | $152.49       | 0.00%             | 2032-09-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Colgate-Palmolive Co.                                                               | Colgate-Palmolive Co.                                                                              | CUSIP: 194162AN3<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |     41000 | PA      | $38836.20     | 0.03%             | 2027-08-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The), Series P                                                          | CUSIP: 38148BAD0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26324.19     | 0.02%             | N/A             | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM Mortgage Trust, Series 2014-LC15, Class AM                                                    | CUSIP: 12591TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $164629.62    | 0.14%             | 2047-04-10      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CCG Receivables Trust                                                               | CCG Receivables Trust, Series 2019-2, Class B                                                      | CUSIP: 12510FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $103950.54    | 0.09%             | 2027-03-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                                            | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class C                                   | CUSIP: 03066KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84106 | PA      | $83280.72     | 0.07%             | 2025-04-18      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                                 | Lithia Motors, Inc.                                                                                | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     53000 | PA      | $43648.42     | 0.04%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| California (State of) Health Facilities Financing Authority (Social Bonds)          | California (State of) Health Facilities Financing Authority (Social Bonds), Series 2022, RB        | CUSIP: 13032UD96<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |    110000 | PA      | $97500.17     | 0.08%             | 2041-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Clarivate Science Holdings Corp.                                                    | Clarivate Science Holdings Corp.                                                                   | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32000 | PA      | $27762.43     | 0.02%             | 2028-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                                                         | Cigna Corp.                                                                                        | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7824.96      | 0.01%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                                                   | Mello Mortgage Capital Acceptance, Series 2021-INV2, Class A4                                      | CUSIP: 58549XAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205703 | PA      | $176802.12    | 0.15%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc.                                                                                     | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     71000 | PA      | $60916.35     | 0.05%             | 2033-03-17      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                           | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                          | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $149056.86    | 0.13%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MAG Mutual Holding Co.                                                              | MAG Mutual Holding Co.                                                                             | CUSIP: 55261HAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    784000 | PA      | $644000.40    | 0.54%             | 2041-04-30      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| McDonald's Corp.                                                                    | McDonald's Corp.                                                                                   | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    254000 | PA      | $245051.36    | 0.21%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                                     | Brunswick Corp.                                                                                    | CUSIP: 117043AV1<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     39000 | PA      | $28173.89     | 0.02%             | 2052-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc. Trust                                              | Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8                                | CUSIP: 75115DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       273 | PA      | $210.78       | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust, Series 2022-LBA6, Class B                                                                | CUSIP: 12433EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $220258.70    | 0.19%             | 2039-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                                        | Bain Capital Credit CLO Ltd., Series 2017-2A, Class AR2                                            | CUSIP: 05683HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    731000 | PA      | $713281.29    | 0.60%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Regency Centers, L.P.                                                               | Regency Centers, L.P.                                                                              | CUSIP: 75884RAZ6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4206.91      | 0.00%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac, Series 2020-DNA5, Class M2                                                            | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29553 | PA      | $29795.87     | 0.03%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                                          | CSMC Mortgage-Backed Trust, Series 2006-6, Class 1A4                                               | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97312 | PA      | $52115.75     | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings, L.P.                                                    | Healthcare Realty Holdings, L.P.                                                                   | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4556.03      | 0.00%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Kite Realty Group, L.P.                                                             | Kite Realty Group, L.P.                                                                            | CUSIP: 49803XAA1<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |     19000 | PA      | $17519.29     | 0.01%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                    | United States Treasury Note/Bond                                                                   | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8241400 | PA      | $8412022.69   | 7.10%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                                  | Freddie Mac STRIPS, IO                                                                             | CUSIP: 31282YCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     28937 | PA      | $4388.55      | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                            | Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 2M2                               | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12947 | PA      | $13091.32     | 0.01%             | 2024-11-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                             | UnitedHealth Group Inc.                                                                            | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     29000 | PA      | $28098.60     | 0.02%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     14097 | PA      | $824.59       | 0.00%             | 2032-12-18      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                                       | Moody's Corp.                                                                                      | CUSIP: 615369AX3<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     86000 | PA      | $54543.05     | 0.05%             | 2061-11-29      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                                                  | Uniform Mortgage-Backed Securities, TBA                                                            | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    831000 | PA      | $739209.25    | 0.62%             | 2038-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                                                      | Citizens Financial Group, Inc.                                                                     | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     39000 | PA      | $29061.71     | 0.02%             | 2032-09-30      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                                               | Invesco Government & Agency Portfolio, Institutional Class                                         | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |   1101727 | NS      | $1101726.87   | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 31364JF57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     11469 | PA      | $1932.30      | 0.00%             | 2029-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 313921A65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     44501 | PA      | $4077.84      | 0.00%             | 2031-11-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K085, Class AM                       | CUSIP: 3137FKJD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     23000 | PA      | $22359.22     | 0.02%             | 2028-10-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc.                                                                     | S&P Global Inc.                                                                                    | CUSIP: 78409VBC7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     13000 | PA      | $11124.62     | 0.01%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Sasol Financing USA LLC                                                             | Sasol Financing USA LLC                                                                            | CUSIP: 80386WAC9<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $177299.43    | 0.15%             | 2026-09-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                                        | BX Commercial Mortgage Trust, Series 2021-ACNT, Class A                                            | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $226452.42    | 0.19%             | 2038-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2536 | PA      | $65.45        | 0.00%             | 2038-07-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 31396AKM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       680 | PA      | $667.75       | 0.00%             | 2035-09-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                                  | BMW US Capital LLC                                                                                 | CUSIP: 05565ECB9<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |     22000 | PA      | $19721.21     | 0.02%             | 2032-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Nationwide Financial Services, Inc.                                                 | Nationwide Financial Services, Inc.                                                                | CUSIP: 638612AM3<br>LEI: 5493001H7AZNDS6BKJ36 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1402.55      | 0.00%             | 2049-11-30      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                                       | MetLife, Inc., Series G                                                                            | CUSIP: 59156RCA4<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1862.50      | 0.00%             | N/A             | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                              | Credit Suisse Group AG                                                                             | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    201000 | PA      | $175587.04    | 0.15%             | N/A             | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| NSTAR Electric Co.                                                                  | NSTAR Electric Co.                                                                                 | CUSIP: 67021CAS6<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     51000 | PA      | $46192.79     | 0.04%             | 2052-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                                | Meta Platforms, Inc.                                                                               | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     87000 | PA      | $76804.14     | 0.06%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. L.P./ PTL Finance Corp.                                    | Penske Truck Leasing Co. L.P./ PTL Finance Corp.                                                   | CUSIP: 709599BJ2<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7661.63      | 0.01%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares Inc.                                                          | Huntington Bancshares Inc.                                                                         | CUSIP: 446150AM6<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9743.09      | 0.01%             | 2025-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                                  | Vodafone Group PLC                                                                                 | CUSIP: 92857WBV1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     26000 | PA      | $21742.76     | 0.02%             | 2081-06-04      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                            | JP Morgan Mortgage Trust, Series 2021-LTV2, Class A1                                               | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374497 | PA      | $301741.33    | 0.25%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac, Series 2014-DN3, Class M3                                                             | CUSIP: 3137G0BK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33814 | PA      | $33917.00     | 0.03%             | 2024-08-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                   | HSBC Holdings PLC                                                                                  | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    285000 | PA      | $264721.45    | 0.22%             | 2033-08-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                                | American Tower Corp.                                                                               | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6926.79      | 0.01%             | 2023-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 31391ANZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3506 | PA      | $3533.05      | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                                                        | Ameren Corp.                                                                                       | CUSIP: 023608AH5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3828.56      | 0.00%             | 2024-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                                     | Nordea Bank Abp                                                                                    | CUSIP: 65559CAA9<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    202000 | PA      | $199386.59    | 0.17%             | N/A             | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co.                                                                  | Tampa Electric Co.                                                                                 | CUSIP: 875127BL5<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45891.61     | 0.04%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     30055 | PA      | $34923.16     | 0.03%             | 2036-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                            | JP Morgan Mortgage Trust, Series 2007-A1, Class 5A1                                                | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14281 | PA      | $13827.27     | 0.01%             | 2035-07-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     88937 | PA      | $14863.95     | 0.01%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Inc / SkyMiles IP Ltd.                                              | Delta Air Lines Inc / SkyMiles IP Ltd.                                                             | CUSIP: 830867AB3<br>LEI: 2549008L7P4I8VB90936 | Long             | DBT              | CORP              | XX        |    127337 | PA      | $119889.00    | 0.10%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KRC Interim Corp.                                                                   | KRC Interim Corp.                                                                                  | CUSIP: 49446RAW9<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3269.45      | 0.00%             | 2030-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                      | Morgan Stanley                                                                                     | CUSIP: 61747YEJ0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7891.13      | 0.01%             | 2025-01-24      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| RUN Trust                                                                           | RUN Trust, Series 2022-NQM1, Class A1                                                              | CUSIP: 74981CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232583 | PA      | $215295.38    | 0.18%             | 2067-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                              | Credit Suisse Group AG                                                                             | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    441000 | PA      | $388033.25    | 0.33%             | 2033-08-12      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                                       | Netflix, Inc.                                                                                      | CUSIP: ZS2929843<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100336.27    | 0.08%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                                             | MVW LLC, Series 2019-2A, Class A                                                                   | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31033 | PA      | $29318.08     | 0.02%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                            | Celanese US Holdings LLC                                                                           | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    196000 | PA      | $196053.14    | 0.17%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc.                                                                                     | CUSIP: 17327CAP8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4889.53      | 0.00%             | 2026-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                            | PNC Financial Services Group, Inc. (The)                                                           | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    212000 | PA      | $221396.24    | 0.19%             | 2033-10-28      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31283HTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2095 | PA      | $2152.70      | 0.00%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                 | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                                      | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1732956 | PA      | $59500.52     | 0.05%             | 2050-10-12      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                               | Targa Resources Corp.                                                                              | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     97000 | PA      | $95229.55     | 0.08%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1806 | PA      | $256.51       | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                                                    | Domino's Pizza Master Issuer LLC, Series 2019-1A, Class A2                                         | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106002 | PA      | $91902.28     | 0.08%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     17601 | PA      | $2882.71      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MPLX L.P.                                                                           | MPLX L.P.                                                                                          | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5679.83      | 0.00%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sasol Financing USA LLC                                                             | Sasol Financing USA LLC                                                                            | CUSIP: 80386WAD7<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $163105.00    | 0.14%             | 2031-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ryder System, Inc.                                                                  | Ryder System, Inc.                                                                                 | CUSIP: 78355HKU2<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23983.61     | 0.02%             | 2027-06-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| CenterPoint Energy, Inc.                                                            | CenterPoint Energy, Inc., Series A                                                                 | CUSIP: 15189TAS6<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16931.25     | 0.01%             | N/A             | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    232000 | PA      | $270747.40    | 0.23%             | 2038-05-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     11223 | PA      | $1038.35      | 0.00%             | 2032-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K089, Class AM                       | CUSIP: 3137FL6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     39000 | PA      | $37212.57     | 0.03%             | 2029-01-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                            | Fannie Mae Connecticut Avenue Securities, Series 2019-R06, Class 2M2                               | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       500 | PA      | $499.73       | 0.00%             | 2039-09-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                        | GS Mortgage Securities Trust, Series 2022-SHIP, Class A                                            | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $123341.55    | 0.10%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Stewart Information Services Corp.                                                  | Stewart Information Services Corp.                                                                 | CUSIP: 86038AAA0<br>LEI: 529900TV1XI0PLKENU10 | Long             | DBT              | CORP              | US        |     38000 | PA      | $29208.08     | 0.02%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                             | Hyundai Capital America                                                                            | CUSIP: 44891ABK2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      2000 | PA      | $2009.52      | 0.00%             | 2025-04-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 3128M4TZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       744 | PA      | $745.27       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                      | Ecopetrol S.A.                                                                                     | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     11000 | PA      | $8424.73      | 0.01%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36203QK34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       250 | PA      | $250.25       | 0.00%             | 2024-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class X1, IO                   | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1681498 | PA      | $80246.45     | 0.07%             | 2029-05-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                                                         | Truist Bank                                                                                        | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    390000 | PA      | $364970.10    | 0.31%             | 2029-09-17      | Variable      | 2.64%                 | No            |                  2 | On Loan: —       |
| Office Properties Income Trust                                                      | Office Properties Income Trust                                                                     | CUSIP: 67623CAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $7760.12      | 0.01%             | 2026-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co.                                                                      | Ford Motor Co.                                                                                     | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    256000 | PA      | $236872.32    | 0.20%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Honeywell International Inc.                                                        | Honeywell International Inc.                                                                       | CUSIP: 438516CK0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    468000 | PA      | $478220.79    | 0.40%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entegris Escrow Corp.                                                               | Entegris Escrow Corp.                                                                              | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    133000 | PA      | $122825.50    | 0.10%             | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| VEON Holdings B.V.                                                                  | VEON Holdings B.V.                                                                                 | CUSIP: 91823N2A0<br>LEI: 5493000XDKGUH5NQGE22 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $143000.00    | 0.12%             | 2027-11-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKH1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26130.71     | 0.02%             | 2028-02-04      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Salesforce, Inc.                                                                    | Salesforce, Inc.                                                                                   | CUSIP: 79466LAL8<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |     27000 | PA      | $17820.68     | 0.02%             | 2051-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                                 | Realty Income Corp.                                                                                | CUSIP: 756109BP8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    144000 | PA      | $146698.39    | 0.12%             | 2032-10-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos., Inc.                                                         | Marsh & McLennan Cos., Inc.                                                                        | CUSIP: 571748BS0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     77000 | PA      | $85894.39     | 0.07%             | 2052-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                          | Apple Inc.                                                                                         | CUSIP: 037833EG1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     31000 | PA      | $19770.52     | 0.02%             | 2061-02-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                                 | Exeter Automobile Receivables Trust, Series 2019-4A, Class D                                       | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194009 | PA      | $190782.14    | 0.16%             | 2025-09-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| EDP Finance B.V.                                                                    | EDP Finance B.V.                                                                                   | CUSIP: 26835PAF7<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |    219000 | PA      | $211446.64    | 0.18%             | 2024-07-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, PO                                                                              | CUSIP: 31359DKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1832 | PA      | $1806.10      | 0.00%             | 2023-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc.                                                               | Freeport-McMoRan Inc.                                                                              | CUSIP: 35671DCC7<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4899.82      | 0.00%             | 2027-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                                  | BMW US Capital LLC                                                                                 | CUSIP: 05565ECA1<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |     16000 | PA      | $15126.43     | 0.01%             | 2027-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                                     | Blackstone Secured Lending Fund                                                                    | CUSIP: 09261XAG7<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |     27000 | PA      | $21007.95     | 0.02%             | 2028-09-30      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                                       | Moody's Corp.                                                                                      | CUSIP: 615369AY1<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     57000 | PA      | $43686.99     | 0.04%             | 2052-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                   | Wells Fargo & Co.                                                                                  | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12631.32     | 0.01%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                                                      | ING Groep N.V.                                                                                     | CUSIP: 456837AX1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    368000 | PA      | $355347.00    | 0.30%             | 2027-04-01      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                 | U.S. Treasury 10 Year Notes Future                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -2 | NC      | $3531.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                  | Ellington Financial Mortgage Trust, Series 2022-3, Class A1                                        | CUSIP: 31573EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285135 | PA      | $276481.94    | 0.23%             | 2067-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO XV Ltd.                                                                    | TICP CLO XV Ltd., Series 2020-15A, Class A                                                         | CUSIP: 87250RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    521000 | PA      | $513704.96    | 0.43%             | 2033-04-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| TransAlta Corp.                                                                     | TransAlta Corp.                                                                                    | CUSIP: 89346DAH0<br>LEI: GJZNVO2UY6DNFNIYH321 | Long             | DBT              | CORP              | CA        |     52000 | PA      | $53176.57     | 0.04%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust, Series 2021-3, Class A1                                                  | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95843 | PA      | $79166.77     | 0.07%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                              | Standard Chartered PLC                                                                             | CUSIP: 853254CM0<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    288000 | PA      | $285348.76    | 0.24%             | N/A             | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                                                  | Uniform Mortgage-Backed Securities, TBA                                                            | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    455000 | PA      | $370337.70    | 0.31%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                                      | Office Properties Income Trust                                                                     | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $24878.93     | 0.02%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FA2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     40994 | PA      | $6034.77      | 0.01%             | 2033-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                        | Chase Mortgage Finance Trust, Series 2005-A2, Class 1A3                                            | CUSIP: 16162WPX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32404 | PA      | $28362.37     | 0.02%             | 2036-01-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                                  | United Airlines Pass-Through Trust, Series AA                                                      | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2427 | PA      | $2101.63      | 0.00%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Builders & Contractors Supply Co., Inc.                                    | American Builders & Contractors Supply Co., Inc.                                                   | CUSIP: 024747AG2<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |     33000 | PA      | $27017.93     | 0.02%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                                 | Fifth Third Bancorp                                                                                | CUSIP: 316773DG2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    178000 | PA      | $170156.05    | 0.14%             | 2030-07-28      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                                                                 | CNH Equipment Trust, Series 2019-A, Class A4                                                       | CUSIP: 12596JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79954 | PA      | $79911.11     | 0.07%             | 2026-01-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                                        | Chase Mortgage Finance Corp., Series 2016-SH2, Class M3                                            | CUSIP: 16164AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33411 | PA      | $28990.12     | 0.02%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc.                                                                                     | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    442000 | PA      | $377910.00    | 0.32%             | N/A             | Variable      | 3.88%                 | No            |                  2 | On Loan: —       |
| Swedbank AB                                                                         | Swedbank AB                                                                                        | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    206000 | PA      | $204649.75    | 0.17%             | 2027-09-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Ross Stores, Inc.                                                                   | Ross Stores, Inc.                                                                                  | CUSIP: 778296AA1<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8739.19      | 0.01%             | 2024-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5530.35      | 0.00%             | 2028-05-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust                                           | Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class AS                              | CUSIP: 06054ABB4<br>LEI: 5493005NJP8BSE187672 | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $64998.03     | 0.05%             | 2048-09-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Med Trust                                                                           | Med Trust, Series 2021-MDLN, Class A                                                               | CUSIP: 58403YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $255478.18    | 0.22%             | 2038-11-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series KC03, Class X1, IO                   | CUSIP: 3137FKWE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   2618562 | PA      | $25471.27     | 0.02%             | 2024-11-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Grand Canyon University                                                             | Grand Canyon University                                                                            | CUSIP: 38528UAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50500 | PA      | $49868.75     | 0.04%             | 2023-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                                     | Prestige Auto Receivables Trust, Series 2019-1A, Class C                                           | CUSIP: 74113NAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42228 | PA      | $42122.99     | 0.04%             | 2024-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     24237 | PA      | $2989.77      | 0.00%             | 2033-02-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                               | DB Master Finance LLC, Series 2019-1A, Class A23                                                   | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |     48375 | PA      | $44265.52     | 0.04%             | 2049-05-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                                                        | U.S. Bancorp                                                                                       | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    261000 | PA      | $271798.23    | 0.23%             | 2033-10-21      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                                  | Freddie Mac STRIPS, IO                                                                             | CUSIP: 31325UP26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     28416 | PA      | $1333.43      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392F7F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      3651 | PA      | $372.83       | 0.00%             | 2032-12-18      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                    | Philip Morris International Inc.                                                                   | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    114000 | PA      | $116571.64    | 0.10%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GZL1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     28000 | PA      | $26933.83     | 0.02%             | 2028-02-24      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31393AHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2333 | PA      | $348.14       | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                            | PNC Financial Services Group, Inc. (The)                                                           | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    192000 | PA      | $177925.85    | 0.15%             | 2033-06-06      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36213UMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       290 | PA      | $294.93       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392DWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     34246 | PA      | $3689.02      | 0.00%             | 2032-08-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Conagra Brands, Inc.                                                                | Conagra Brands, Inc.                                                                               | CUSIP: 205887CB6<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14795.93     | 0.01%             | 2025-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust, Series 2020-5, Class A1                                                  | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18970 | PA      | $16950.95     | 0.01%             | 2065-05-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36204NLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        68 | PA      | $67.51        | 0.00%             | 2023-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CCG Receivables Trust                                                               | CCG Receivables Trust, Series 2019-2, Class C                                                      | CUSIP: 12510FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $98847.72     | 0.08%             | 2027-03-15      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings L.P.                                                               | Kinetik Holdings L.P.                                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    126000 | PA      | $118330.76    | 0.10%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7411 | PA      | $7652.01      | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline, LLC                                                              | Gray Oak Pipeline, LLC                                                                             | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18000 | PA      | $16341.16     | 0.01%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc., Series T                                                                           | CUSIP: 172967KM2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19450.00     | 0.02%             | N/A             | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                            | Fannie Mae Connecticut Avenue Securities, Series 2019-R03, Class 1M2                               | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2214 | PA      | $2208.56      | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2021-1, Class A1B                                               | CUSIP: 92537QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102579 | PA      | $83425.71     | 0.07%             | 2066-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                                 | Triton Container International Ltd.                                                                | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    105000 | PA      | $91302.07     | 0.08%             | 2026-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                  | T-Mobile USA, Inc.                                                                                 | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     59000 | PA      | $39909.61     | 0.03%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Avis Budget Car Rental, LLC                                                         | Avis Budget Car Rental, LLC                                                                        | CUSIP: 053773BG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49000 | PA      | $41348.19     | 0.03%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CrowdStrike Holdings, Inc.                                                          | CrowdStrike Holdings, Inc.                                                                         | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16900.80     | 0.01%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                                                        | U.S. Bancorp                                                                                       | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     54000 | PA      | $41221.94     | 0.03%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     19856 | PA      | $1068.75      | 0.00%             | 2035-05-15      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                                       | SG Residential Mortgage Trust, Series 2022-1, Class A2                                             | CUSIP: 78433QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122427 | PA      | $109991.98    | 0.09%             | 2062-03-27      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       459 | PA      | $462.40       | 0.00%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                                           | Consolidated Edison Co. of New York, Inc.                                                          | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     72000 | PA      | $77532.03     | 0.07%             | 2052-11-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                                               | United Airlines, Inc.                                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     11000 | PA      | $9596.96      | 0.01%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 31 LLC                                                  | Octagon Investment Partners 31 LLC, Series 2017-1A, Class AR                                       | CUSIP: 67575XAN1<br>LEI: 5493003JSU68UU09PZ63 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493905.00    | 0.42%             | 2030-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Cboe Global Markets, Inc.                                                           | Cboe Global Markets, Inc.                                                                          | CUSIP: 12503MAD0<br>LEI: 529900RLNSGA90UPEH54 | Long             | DBT              | CORP              | US        |     64000 | PA      | $53419.17     | 0.05%             | 2032-03-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Trust Fibra Uno                                                                     | Trust Fibra Uno                                                                                    | CUSIP: 898324AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    200000 | PA      | $193344.00    | 0.16%             | 2026-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Brookfield Corp.                                                                    | Brookfield Corp.                                                                                   | CUSIP: 112585AH7<br>LEI: C6J3FGIWG6MBDGTE8F80 | Long             | DBT              | CORP              | CA        |      8000 | PA      | $7827.20      | 0.01%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                               | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA                                   | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867432 | PA      | $29595.48     | 0.02%             | 2050-12-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bond                                    | Republic of Poland Government International Bond                                                   | CUSIP: 857524AE2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      5000 | PA      | $5341.32      | 0.00%             | 2032-11-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31283H3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44548 | PA      | $45608.10     | 0.04%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                                 | Starwood Mortgage Residential Trust, Series 2020-1, Class A1                                       | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11173 | PA      | $10739.04     | 0.01%             | 2050-02-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                                              | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2005-AR16, Class 1A1                                | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23666 | PA      | $21310.60     | 0.02%             | 2035-12-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Magallanes, Inc.                                                                    | Magallanes, Inc.                                                                                   | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    173000 | PA      | $132972.11    | 0.11%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Piedmont Healthcare, Inc.                                                           | Piedmont Healthcare, Inc.                                                                          | CUSIP: 72014TAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    104000 | PA      | $65323.80     | 0.06%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      3488 | PA      | $312.90       | 0.00%             | 2038-04-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TCZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       650 | PA      | $659.01       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2022-3, Class A1                                                | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274433 | PA      | $260232.24    | 0.22%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                                               | Lockheed Martin Corp.                                                                              | CUSIP: 539830BY4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    113000 | PA      | $122133.06    | 0.10%             | 2063-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Minerva Luxembourg S.A.                                                             | Minerva Luxembourg S.A.                                                                            | CUSIP: 603374AF6<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $164495.00    | 0.14%             | 2031-03-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust                                  | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-J4, Class A7                       | CUSIP: 126694RQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3951 | PA      | $3212.65      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                                 | Starwood Mortgage Residential Trust, Series 2020-INV1, Class A1                                    | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28625 | PA      | $26469.00     | 0.02%             | 2055-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                     | BRAVO Residential Funding Trust, Series 2021-NQM2, Class A1                                        | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104182 | PA      | $98031.54     | 0.08%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36213LLB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       149 | PA      | $155.84       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                          | GCAT Trust, Series 2019-NQM3, Class A1                                                             | CUSIP: 36167VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20155 | PA      | $18753.37     | 0.02%             | 2059-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                    | United States Treasury Note/Bond                                                                   | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5696900 | PA      | $5579401.44   | 4.71%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Ellington Financial Mortgage Trust                                                  | Ellington Financial Mortgage Trust, Series 2020-1, Class A1                                        | CUSIP: 31574PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15373 | PA      | $14882.11     | 0.01%             | 2065-05-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                                  | Vodafone Group PLC                                                                                 | CUSIP: 92857WBX7<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     33000 | PA      | $24083.07     | 0.02%             | 2081-06-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136ASXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     55508 | PA      | $8014.67      | 0.01%             | 2046-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. L.L.C.                                              | Blackstone Holdings Finance Co. L.L.C.                                                             | CUSIP: 09261BAK6<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    417000 | PA      | $421642.14    | 0.36%             | 2033-04-22      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                            | Benchmark Mortgage Trust, Series 2019-B14, Class C                                                 | CUSIP: 08162YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83700 | PA      | $63744.65     | 0.05%             | 2062-12-15      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                                 | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A6                    | CUSIP: 32051GYL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55571 | PA      | $25347.27     | 0.02%             | 2035-11-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Advanced Drainage Systems, Inc.                                                     | Advanced Drainage Systems, Inc.                                                                    | CUSIP: 00790RAB0<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38920.40     | 0.03%             | 2030-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                                  | Vodafone Group PLC                                                                                 | CUSIP: 92857WBW9<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     30000 | PA      | $22307.14     | 0.02%             | 2081-06-04      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                        | Oracle Corp.                                                                                       | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    279000 | PA      | $300110.57    | 0.25%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PayPal Holdings, Inc.                                                               | PayPal Holdings, Inc.                                                                              | CUSIP: 70450YAM5<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     67000 | PA      | $61036.63     | 0.05%             | 2052-06-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Penn Mutual Life Insurance Co. (The)                                                | Penn Mutual Life Insurance Co. (The)                                                               | CUSIP: 707567AE3<br>LEI: BIYXEJSLUQ3IWFUXX074 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1328.94      | 0.00%             | 2061-04-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                    | Amazon.com, Inc.                                                                                   | CUSIP: 023135CA2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     19000 | PA      | $14253.20     | 0.01%             | 2041-05-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                  | T-Mobile USA, Inc.                                                                                 | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7346.25      | 0.01%             | 2026-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Magallanes, Inc.                                                                    | Magallanes, Inc.                                                                                   | CUSIP: 55903VAS2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    148000 | PA      | $108634.53    | 0.09%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Wendy's Funding, LLC                                                                | Wendy's Funding, LLC, Series 2018-1A, Class A2II                                                   | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |     57000 | PA      | $51550.25     | 0.04%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       487 | PA      | $55.30        | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines, L.P.                                                           | Boardwalk Pipelines, L.P.                                                                          | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20756.12     | 0.02%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9854.56      | 0.01%             | 2025-01-24      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                        | United States Treasury Bills                                                                       | CUSIP: 912796ZE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $147580.98    | 0.12%             | 2023-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                       | Sabine Pass Liquefaction, LLC                                                                      | CUSIP: 785592AY2<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    167000 | PA      | $167606.98    | 0.14%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc.                                                                     | S&P Global Inc.                                                                                    | CUSIP: 78409VBE3<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     26000 | PA      | $20219.85     | 0.02%             | 2062-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                                   | Duke Energy Corp.                                                                                  | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     59000 | PA      | $56880.01     | 0.05%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3137AAGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       379 | PA      | $370.08       | 0.00%             | 2040-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                                                           | AT&T Inc., Series B                                                                                | CUSIP: ZP9910362<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96234.27     | 0.08%             | N/A             | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                                  | National Rural Utilities Cooperative Finance Corp.                                                 | CUSIP: 637432PA7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    110000 | PA      | $115157.60    | 0.10%             | 2033-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AvalonBay Communities, Inc.                                                         | AvalonBay Communities, Inc.                                                                        | CUSIP: 053484AD3<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |     74000 | PA      | $73048.61     | 0.06%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd.                                                                 | Athene Holding Ltd.                                                                                | CUSIP: 04686JAB7<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |     18000 | PA      | $18202.51     | 0.02%             | 2030-04-03      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 31364HVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        21 | PA      | $0.20         | 0.00%             | 2023-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Trust                                                | Credit Suisse Mortgage Capital Trust, Series 2022-ATH2, Class A1                                   | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305812 | PA      | $293516.85    | 0.25%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     37305 | PA      | $4168.63      | 0.00%             | 2032-04-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                                | American Airlines Pass-Through Trust, Series B                                                     | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    171000 | PA      | $136147.98    | 0.11%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     30457 | PA      | $31079.91     | 0.03%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc., Series U                                                                           | CUSIP: 172967MG3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    313000 | PA      | $279356.34    | 0.24%             | N/A             | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings, Inc.                                                            | Equitable Holdings, Inc., Series B                                                                 | CUSIP: 29452EAA9<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    130000 | PA      | $122876.00    | 0.10%             | N/A             | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                                         | Extended Stay America Trust, Series 2021-ESH, Class B                                              | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112262 | PA      | $108114.82    | 0.09%             | 2038-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                                  | General Motors Financial Co., Inc.                                                                 | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     97000 | PA      | $94109.25     | 0.08%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                                | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20, Class AS                    | CUSIP: 46642CBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $211715.72    | 0.18%             | 2047-07-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Algonquin Power & Utilities Corp.                                                   | Algonquin Power & Utilities Corp.                                                                  | CUSIP: 015857AH8<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |    116000 | PA      | $94127.62     | 0.08%             | 2082-01-18      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                                                     | Fairfax Financial Holdings Ltd.                                                                    | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      2000 | PA      | $1893.95      | 0.00%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                                | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class AS                   | CUSIP: 46639YAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $39398.69     | 0.03%             | 2046-04-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                                 | Fifth Third Bancorp                                                                                | CUSIP: 316773DJ6<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    177000 | PA      | $182427.61    | 0.15%             | 2028-10-27      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     82000 | PA      | $76147.56     | 0.06%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                       | UBS Commercial Mortgage Trust, Series 2019-C16, Class A4                                           | CUSIP: 90276YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $72536.48     | 0.06%             | 2052-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                                     | Brunswick Corp.                                                                                    | CUSIP: 117043AU3<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     13000 | PA      | $11008.59     | 0.01%             | 2032-09-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                | Royal Bank of Canada                                                                               | CUSIP: 78013XW20<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      5000 | PA      | $4954.04      | 0.00%             | 2023-10-05      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                         | Hertz Vehicle Financing LLC, Series 2021-1A, Class A                                               | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    104000 | PA      | $96178.42     | 0.08%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Spirit Realty, L.P.                                                                 | Spirit Realty, L.P.                                                                                | CUSIP: 84861TAJ7<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1484.80      | 0.00%             | 2032-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Packaging Corp. of America                                                          | Packaging Corp. of America                                                                         | CUSIP: 695156AR0<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4874.56      | 0.00%             | 2024-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                                        | Vistra Corp.                                                                                       | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     32000 | PA      | $29164.10     | 0.02%             | N/A             | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| INVESCO PRIVATE GOVERNMENT FUND                                                     | INVESCO PRIVATE GOVERNMENT FUND                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |   2875660 | NS      | $2875660.27   | 2.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2020-1, Class A2                                                | CUSIP: 92536PAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61104 | PA      | $57720.14     | 0.05%             | 2060-01-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FA6Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     11366 | PA      | $1875.35      | 0.00%             | 2034-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     26311 | PA      | $4492.96      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital PLC                                                          | Anglo American Capital PLC                                                                         | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     83000 | PA      | $80362.28     | 0.07%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2021-R1, Class A1                                               | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119434 | PA      | $107180.81    | 0.09%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                                     | Residential Mortgage Loan Trust, Series 2020-1, Class A1                                           | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28591 | PA      | $27340.14     | 0.02%             | 2060-01-26      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                                | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class AS                    | CUSIP: 46639JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $314225.51    | 0.27%             | 2047-12-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM Mortgage Trust, Series 2012-CR5, Class XA                                                     | CUSIP: 12623SAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29376 | PA      | $0.99         | 0.00%             | 2045-12-10      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Physicians Realty L.P.                                                              | Physicians Realty L.P.                                                                             | CUSIP: 71951QAA0<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1888.92      | 0.00%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                    | Philip Morris International Inc.                                                                   | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    199000 | PA      | $200805.71    | 0.17%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MSCI Inc.                                                                           | MSCI Inc.                                                                                          | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     11000 | PA      | $9165.20      | 0.01%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                               | Dominion Energy, Inc., Series C                                                                    | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5301.13      | 0.00%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                     | WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class AS                                        | CUSIP: 96221TAG2<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $140855.83    | 0.12%             | 2047-03-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                                     | Virginia Electric and Power Co., Series B                                                          | CUSIP: 927804GH1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28677.16     | 0.02%             | 2027-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WPP Finance 2010                                                                    | WPP Finance 2010                                                                                   | CUSIP: 92936MAF4<br>LEI: 549300OJB3S151W7KN44 | Long             | DBT              | CORP              | GB        |     10000 | PA      | $9690.29      | 0.01%             | 2024-09-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                                      | Blackstone Private Credit Fund                                                                     | CUSIP: 09261HAB3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7359.38      | 0.01%             | 2024-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The), Series V                                                          | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    134000 | PA      | $111709.55    | 0.09%             | N/A             | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                                  | General Motors Financial Co., Inc.                                                                 | CUSIP: 37045XCL8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8953.50      | 0.01%             | 2023-06-19      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31287XG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       309 | PA      | $317.85       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE S.A.                                                                           | BPCE S.A.                                                                                          | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    185000 | PA      | $177847.94    | 0.15%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series KC02, Class X1, IO                   | CUSIP: 3137FHQ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   3902226 | PA      | $15807.53     | 0.01%             | 2024-03-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K735, Class X1, IO                   | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   2018172 | PA      | $52371.56     | 0.04%             | 2026-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                                 | New Residential Mortgage Loan Trust, Series 2022-NQM2, Class A1                                    | CUSIP: 64831MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245600 | PA      | $219483.98    | 0.19%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Cargill, Inc.                                                                       | Cargill, Inc.                                                                                      | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    106000 | PA      | $106524.43    | 0.09%             | 2032-10-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                 | U.S. Treasury 2 Year Notes Future                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        23 | NC      | $6109.17      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Truist Financial Corp.                                                              | Truist Financial Corp.                                                                             | CUSIP: 89788NAA8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    300000 | PA      | $282275.87    | 0.24%             | 2033-07-28      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                                 | New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1                                    | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17275 | PA      | $15640.21     | 0.01%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                             | UnitedHealth Group Inc.                                                                            | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    118000 | PA      | $112950.30    | 0.10%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31359UT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     15765 | PA      | $16001.50     | 0.01%             | 2028-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association, IO                                                       | CUSIP: 38380HHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    117202 | PA      | $19553.16     | 0.02%             | 2047-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| M.D.C. Holdings, Inc.                                                               | M.D.C. Holdings, Inc.                                                                              | CUSIP: 552676AT5<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1632.20      | 0.00%             | 2030-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                            | Benchmark Mortgage Trust, Series 2019-B15, Class B                                                 | CUSIP: 08160KAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $56586.33     | 0.05%             | 2072-12-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Walmart Inc.                                                                        | Walmart Inc.                                                                                       | CUSIP: 931142EY5<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    102000 | PA      | $99689.79     | 0.08%             | 2032-09-09      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                                | Mitsubishi UFJ Financial Group, Inc.                                                               | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $195551.66    | 0.17%             | 2028-07-20      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group Inc.                                                               | WEC Energy Group Inc.                                                                              | CUSIP: 92939UAJ5<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    144000 | PA      | $145802.37    | 0.12%             | 2027-10-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Enel Finance International N.V.                                                     | Enel Finance International N.V.                                                                    | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $205581.37    | 0.17%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Texas (State of) Transportation Commission (Central Texas Turnpike System)          | Texas (State of) Transportation Commission (Central Texas Turnpike System), Series 2020 C, Ref. RB | CUSIP: 88283KBL1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    280000 | PA      | $198852.95    | 0.17%             | 2041-08-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                      | Morgan Stanley                                                                                     | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1487.87      | 0.00%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                               | Dominion Energy, Inc.                                                                              | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    382000 | PA      | $379831.17    | 0.32%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Benchmark Mortgage Trust                                                            | Benchmark Mortgage Trust, Series 2018-B1, Class XA                                                 | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1397220 | PA      | $27753.81     | 0.02%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Adani Green Energy Ltd.                                                             | Adani Green Energy Ltd.                                                                            | CUSIP: 00653XAA5<br>LEI: 335800ZBBU81OH211H17 | Long             | DBT              | CORP              | IN        |    208000 | PA      | $189280.00    | 0.16%             | 2024-09-08      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                                     | Nordea Bank Abp                                                                                    | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    200000 | PA      | $201268.91    | 0.17%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FMG Resources (August 2006) Pty Ltd.                                                | FMG Resources (August 2006) Pty Ltd.                                                               | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |     30000 | PA      | $25008.25     | 0.02%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 3140J5PG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243417 | PA      | $226747.13    | 0.19%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Global Atlantic (Fin) Co.                                                           | Global Atlantic (Fin) Co.                                                                          | CUSIP: 37959GAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $49613.38     | 0.04%             | 2051-10-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                           | OBX Trust, Series 2022-NQM2, Class A1A                                                             | CUSIP: 67448DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239678 | PA      | $215940.15    | 0.18%             | 2062-01-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                      | Morgan Stanley                                                                                     | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     22000 | PA      | $21958.07     | 0.02%             | 2025-11-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                                                 | Take-Two Interactive Software, Inc.                                                                | CUSIP: 874054AH2<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     38000 | PA      | $33742.24     | 0.03%             | 2032-04-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 3133TENT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        23 | PA      | $0.20         | 0.00%             | 2028-07-17      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18273.87     | 0.02%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392EWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      5474 | PA      | $397.22       | 0.00%             | 2032-08-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                     | Intercontinental Exchange, Inc.                                                                    | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     62000 | PA      | $59399.66     | 0.05%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136AXQT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     27975 | PA      | $5058.71      | 0.00%             | 2047-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31283GY84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        90 | PA      | $90.02        | 0.00%             | 2025-05-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                                      | Office Properties Income Trust                                                                     | CUSIP: 81618TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $30833.77     | 0.03%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co. Inc.                                                  | Hilton Domestic Operating Co. Inc.                                                                 | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     19000 | PA      | $15249.02     | 0.01%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                            | Benchmark Mortgage Trust, Series 2019-B14, Class A5                                                | CUSIP: 08162YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $79446.21     | 0.07%             | 2062-12-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                                              | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2003-AR10, Class A7                                 | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21849 | PA      | $20342.35     | 0.02%             | 2033-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                                                   | Sonic Capital LLC, Series 2021-1A, Class A2II                                                      | CUSIP: 83546DAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158000 | PA      | $114900.71    | 0.10%             | 2051-08-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                      | Morgan Stanley, Series F, Pfd.                                                                     | CUSIP: 61763E207<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EP               | CORP              | US        |      5000 | NS      | $124900.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Federation des caisses Desjardins du Quebec                                         | Federation des caisses Desjardins du Quebec                                                        | CUSIP: 31429KAH6<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    337000 | PA      | $324292.45    | 0.27%             | 2027-08-23      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                    | United States Treasury Note/Bond                                                                   | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4672300 | PA      | $4647478.41   | 3.92%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                                | Meta Platforms, Inc.                                                                               | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    151000 | PA      | $120776.11    | 0.10%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                         | Toronto-Dominion Bank (The)                                                                        | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    247000 | PA      | $257497.50    | 0.22%             | 2082-10-31      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                                     | Nissan Motor Acceptance Co. LLC                                                                    | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20901.14     | 0.02%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| MHP Commercial Mortgage Trust                                                       | MHP?Commercial Mortgage Trust, Series 2021-STOR, Class A                                           | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $120775.80    | 0.10%             | 2038-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.                                  | National Rural Utilities Cooperative Finance Corp.                                                 | CUSIP: 637432NY7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     26000 | PA      | $21458.42     | 0.02%             | 2032-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    142000 | PA      | $138918.55    | 0.12%             | 2028-07-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392B3D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2314 | PA      | $211.10       | 0.00%             | 2032-01-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II, LLC                                                        | Match Group Holdings II, LLC                                                                       | CUSIP: 57665RAJ5<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23294.38     | 0.02%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A.                                                                | Credit Agricole S.A.                                                                               | CUSIP: 225313AD7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $198811.20    | 0.17%             | N/A             | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd.                                                                 | Athene Holding Ltd.                                                                                | CUSIP: 04686JAE1<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |     25000 | PA      | $15442.47     | 0.01%             | 2052-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    122453 | PA      | $9124.03      | 0.01%             | 2038-05-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association, IO                                                       | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    157760 | PA      | $9127.48      | 0.01%             | 2041-04-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                                   | American Electric Power Co., Inc.                                                                  | CUSIP: 025537AV3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    152000 | PA      | $156287.35    | 0.13%             | 2027-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                            | PNC Financial Services Group, Inc. (The), Series U                                                 | CUSIP: 693475BD6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    145000 | PA      | $136607.72    | 0.12%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| El Paso Natural Gas Co., L.L.C.                                                     | El Paso Natural Gas Co., L.L.C.                                                                    | CUSIP: 283695BK9<br>LEI: 72Y8LZSMBPXBNCHM7925 | Long             | DBT              | CORP              | US        |     43000 | PA      | $48777.81     | 0.04%             | 2032-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                                              | Romanian Government International Bond                                                             | CUSIP: 77586RAN0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     30000 | PA      | $28915.59     | 0.02%             | 2027-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Vontier Corp.                                                                       | Vontier Corp.                                                                                      | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     19000 | PA      | $15251.22     | 0.01%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                          | STAR Trust, Series 2021-1, Class A1                                                                | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171502 | PA      | $155722.34    | 0.13%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Allegiant Travel Co.                                                                | Allegiant Travel Co.                                                                               | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25719.71     | 0.02%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                                        | BX Commercial Mortgage Trust, Series 2021-VOLT, Class D                                            | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93825.30     | 0.08%             | 2036-09-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     21138 | PA      | $1379.33      | 0.00%             | 2041-10-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TCV70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       259 | PA      | $265.04       | 0.00%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                                           | Bank of Nova Scotia (The)                                                                          | CUSIP: 0641598S8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    306000 | PA      | $318652.23    | 0.27%             | 2082-10-27      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                   | HSBC Holdings PLC                                                                                  | CUSIP: 404280BL2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $184061.95    | 0.16%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                              | Credit Suisse Group AG                                                                             | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $256662.43    | 0.22%             | 2033-11-15      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Capital Inc.                                                          | Mitsubishi HC Capital Inc.                                                                         | CUSIP: 60682LAF9<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |    256000 | PA      | $245941.76    | 0.21%             | 2025-04-13      | Fixed         | 3.64%                 | No            |                  2 | On Loan: —       |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392EGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     58356 | PA      | $5762.94      | 0.00%             | 2032-09-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                                  | Freddie Mac STRIPS, IO                                                                             | CUSIP: 31325UP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     16910 | PA      | $780.88       | 0.00%             | 2027-12-15      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Mayo Clinic                                                                         | Mayo Clinic, Series 2021                                                                           | CUSIP: 578454AF7<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |    102000 | PA      | $68373.09     | 0.06%             | 2061-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Advance Auto Parts, Inc.                                                            | Advance Auto Parts, Inc.                                                                           | CUSIP: 00751YAF3<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     24000 | PA      | $20184.80     | 0.02%             | 2027-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                                            | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D                                   | CUSIP: 03066KAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $272723.44    | 0.23%             | 2025-06-18      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2020-1, Class A1                                                | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58967 | PA      | $55779.44     | 0.05%             | 2060-01-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust, Series 2022-LBA6, Class C                                                                | CUSIP: 12433EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95234.67     | 0.08%             | 2039-01-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 31389DTA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       414 | PA      | $429.06       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Trust Fibra Uno                                                                     | Trust Fibra Uno                                                                                    | CUSIP: 898339AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    200000 | PA      | $172105.00    | 0.15%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Reliance Standard Life Global Funding II                                            | Reliance Standard Life Global Funding II                                                           | CUSIP: 75951AAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13000 | PA      | $11739.51     | 0.01%             | 2027-01-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                  | T-Mobile USA, Inc.                                                                                 | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7292.09      | 0.01%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                     | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS                                         | CUSIP: 92890FBB1<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $125465.37    | 0.11%             | 2047-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                      | Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA                                          | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548278 | PA      | $18862.58     | 0.02%             | 2050-12-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Uber Technologies Inc.                                                              | Uber Technologies Inc.                                                                             | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     63000 | PA      | $55007.19     | 0.05%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                                                        | U.S. Bancorp                                                                                       | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    114000 | PA      | $108497.83    | 0.09%             | 2033-07-22      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                                 | Fifth Third Bancorp                                                                                | CUSIP: 316773DF4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     39000 | PA      | $35743.94     | 0.03%             | 2033-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                                | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class AS                    | CUSIP: 46641BAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $294417.78    | 0.25%             | 2046-12-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                                                           | AT&T Inc.                                                                                          | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     41000 | PA      | $31629.05     | 0.03%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                   | HSBC Holdings PLC                                                                                  | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    207000 | PA      | $200039.39    | 0.17%             | 2028-08-11      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                      | Morgan Stanley Capital I Trust, Series 2019-L3, Class AS                                           | CUSIP: 61691UBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $51360.56     | 0.04%             | 2052-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                    | United States Treasury Note/Bond                                                                   | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    393100 | PA      | $390643.13    | 0.33%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust, Series 2022-1, Class A1                                                  | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370914 | PA      | $325698.40    | 0.27%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 2                                                               | Scentre Group Trust 2                                                                              | CUSIP: 76025LAA2<br>LEI: 549300VRF0U0JH8TBJ74 | Long             | DBT              | CORP              | AU        |    166000 | PA      | $148860.50    | 0.13%             | 2080-09-24      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc.                                                                                     | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70448.45     | 0.06%             | 2033-05-24      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                                                           | AT&T Inc.                                                                                          | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7551.71      | 0.01%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                                | FREMF Mortgage Trust, Series 2013-K28, Class C                                                     | CUSIP: 30291HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $282721.94    | 0.24%             | 2046-06-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                                | American Tower Corp.                                                                               | CUSIP: 03027XAG5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4876.20      | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                     | Intercontinental Exchange, Inc.                                                                    | CUSIP: 45866FAQ7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      6000 | PA      | $3786.22      | 0.00%             | 2060-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                                  | BMW US Capital LLC                                                                                 | CUSIP: 05565EBY0<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6957.95      | 0.01%             | 2025-04-01      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Allstate Corp. (The)                                                                | Allstate Corp. (The)                                                                               | CUSIP: 020002BC4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1664.91      | 0.00%             | 2046-12-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                                   | Lowe's Cos., Inc.                                                                                  | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    238000 | PA      | $229240.34    | 0.19%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Trust                                                | Credit Suisse Mortgage Capital Trust, Series 2021-NQM2, Class A1                                   | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103930 | PA      | $86555.37     | 0.07%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     30009 | PA      | $1697.32      | 0.00%             | 2035-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                             | Flagstar Mortgage Trust, Series 2021-8INV, Class A6                                                | CUSIP: 33852HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166254 | PA      | $142895.49    | 0.12%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. | Charter Communications Operating LLC/Charter Communications Operating Capital Corp.                | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     47000 | PA      | $47223.82     | 0.04%             | 2024-02-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     14884 | PA      | $2534.73      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bermuda Government International Bond                                               | Bermuda Government International Bond                                                              | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    200000 | PA      | $199130.69    | 0.17%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp.                                                                 | Alcon Finance Corp.                                                                                | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201547.22    | 0.17%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| M.D.C. Holdings, Inc.                                                               | M.D.C. Holdings, Inc.                                                                              | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |     40000 | PA      | $22482.91     | 0.02%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                           | OBX Trust, Series 2022-NQM2, Class A1                                                              | CUSIP: 67448DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332356 | PA      | $290804.07    | 0.25%             | 2062-01-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                                        | Chase Mortgage Finance Corp., Series 2016-SH1, Class M3                                            | CUSIP: 16163YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27456 | PA      | $23033.52     | 0.02%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      7853 | PA      | $7504.78      | 0.01%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                            | PNC Financial Services Group, Inc. (The), Series V                                                 | CUSIP: 693475BF1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    238000 | PA      | $233180.50    | 0.20%             | N/A             | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| DXC Technology Co.                                                                  | DXC Technology Co.                                                                                 | CUSIP: 23355LAM8<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18559.19     | 0.02%             | 2028-09-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Calpine Corp.                                                                       | Calpine Corp.                                                                                      | CUSIP: 131347CR5<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32258.24     | 0.03%             | 2031-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                                 | Fifth Third Bancorp                                                                                | CUSIP: 316773DA5<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1798.59      | 0.00%             | 2027-05-05      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                   | HSBC Holdings PLC                                                                                  | CUSIP: 404280DB2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $197572.16    | 0.17%             | 2026-03-10      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust, Series 2020-1, Class A1                                                  | CUSIP: 03464RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41874 | PA      | $39291.13     | 0.03%             | 2059-12-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                                        | OCP CLO Ltd., Series 2020-8RA, Class A1                                                            | CUSIP: 670898AC9<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    433000 | PA      | $426057.28    | 0.36%             | 2032-01-17      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                               | Sumitomo Mitsui Financial Group, Inc.                                                              | CUSIP: 86562MBZ2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     20000 | PA      | $15431.57     | 0.01%             | 2030-09-23      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                       | Citigroup Mortgage Loan Trust, Series 2021-INV3, Class A3                                          | CUSIP: 17329VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320234 | PA      | $258594.25    | 0.22%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Agree L.P.                                                                          | Agree L.P.                                                                                         | CUSIP: 008513AB9<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6566.11      | 0.01%             | 2028-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                               | Targa Resources Corp.                                                                              | CUSIP: 87612KAC6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    111000 | PA      | $105325.55    | 0.09%             | 2052-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc.                                                                | Sirius XM Radio Inc.                                                                               | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     56000 | PA      | $43797.28     | 0.04%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                                        | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A                                            | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $241178.13    | 0.20%             | 2036-09-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM Mortgage Trust, Series 2014-CR20, Class ASB                                                   | CUSIP: 12592LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23947 | PA      | $23493.78     | 0.02%             | 2047-11-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 24 Ltd.                                          | Neuberger Berman Loan Advisers CLO 24 Ltd., Series 2017-24A, Class AR                              | CUSIP: 64130HAL5<br>LEI: 549300E610NX15ZSSH14 | Long             | ABS-CBDO         | CORP              | KY        |    289194 | PA      | $285715.35    | 0.24%             | 2030-04-19      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| UAE International Government Bond                                                   | UAE International Government Bond                                                                  | CUSIP: 31424EAB8<br>LEI: 98450060C643D82DF808 | Long             | DBT              | NUSS              | AE        |    206000 | PA      | $152696.47    | 0.13%             | 2061-10-19      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Mortgage Loan Trust                                                      | Onslow Bay Mortgage Loan Trust, Series 2021-NQM4, Class A1                                         | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323402 | PA      | $258803.00    | 0.22%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K083, Class AM                       | CUSIP: 3137FJXW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     23000 | PA      | $22262.23     | 0.02%             | 2028-10-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                      | Morgan Stanley                                                                                     | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2485.48      | 0.00%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FAXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     44047 | PA      | $7252.78      | 0.01%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS                       | CUSIP: 61762DAY7<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $222243.84    | 0.19%             | 2046-05-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                              | Santander Drive Auto Receivables Trust, Series 2019-2, Class D                                     | CUSIP: 80286GAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99335 | PA      | $98720.00     | 0.08%             | 2025-07-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     41069 | PA      | $5671.97      | 0.00%             | 2033-05-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                                     | Microsoft Corp.                                                                                    | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1325.75      | 0.00%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                                  | Freddie Mac STRIPS, IO                                                                             | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      1578 | PA      | $220.56       | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     16000 | PA      | $12570.91     | 0.01%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                                              | Home Depot, Inc. (The)                                                                             | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    104000 | PA      | $100459.01    | 0.08%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc.                                                              | GFL Environmental Inc.                                                                             | CUSIP: 36168QAM6<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $22011.44     | 0.02%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                                                                 | Life Mortgage Trust, Series 2021-BMR, Class C                                                      | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108127 | PA      | $102971.91    | 0.09%             | 2038-03-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                                | Energy Transfer L.P.                                                                               | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7981.08      | 0.01%             | 2023-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership L.P.                                                  | Brixmor Operating Partnership L.P.                                                                 | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2688.29      | 0.00%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36206VKB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       155 | PA      | $154.84       | 0.00%             | 2026-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust, Series 2021-7, Class A1                                                  | CUSIP: 03464JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218717 | PA      | $178854.00    | 0.15%             | 2066-10-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                        | GS Mortgage Securities Trust, Series 2013-GC16, Class AS                                           | CUSIP: 36248GAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $44228.69     | 0.04%             | 2046-11-10      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                                  | Freddie Mac STRIPS, IO                                                                             | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     18850 | PA      | $2439.69      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31292GNA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       666 | PA      | $677.88       | 0.00%             | 2025-01-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                                  | General Motors Financial Co., Inc.                                                                 | CUSIP: 37045XDU7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27052.26     | 0.02%             | 2025-04-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Sun Communities Operating L.P.                                                      | Sun Communities Operating L.P.                                                                     | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1583.48      | 0.00%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Lincoln National Corp.                                                              | Lincoln National Corp., Series C                                                                   | CUSIP: 534187BR9<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    155000 | PA      | $165075.00    | 0.14%             | N/A             | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| Micron Technology, Inc.                                                             | Micron Technology, Inc.                                                                            | CUSIP: 595112BP7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1896.53      | 0.00%             | 2027-02-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Inc / SkyMiles IP Ltd.                                              | Delta Air Lines Inc / SkyMiles IP Ltd.                                                             | CUSIP: 830867AA5<br>LEI: 2549008L7P4I8VB90936 | Long             | DBT              | CORP              | XX        |     51197 | PA      | $49974.67     | 0.04%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                                                 | Expedia Group, Inc.                                                                                | CUSIP: 30212PAR6<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |    161000 | PA      | $136926.87    | 0.12%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                                        | United States Treasury Bills                                                                       | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $19846.96     | 0.02%             | 2023-03-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Providence St. Joseph Health Obligated Group                                        | Providence St. Joseph Health Obligated Group, Series 21A                                           | CUSIP: 743820AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    276000 | PA      | $164349.81    | 0.14%             | 2051-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 31410KQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2399 | PA      | $2462.04      | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                           | MFA Trust, Series 2021-AEI1, Class A3                                                              | CUSIP: 55284FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254289 | PA      | $205342.76    | 0.17%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                             | UnitedHealth Group Inc.                                                                            | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    219000 | PA      | $224279.14    | 0.19%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                                | American Express Co.                                                                               | CUSIP: 025816CX5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     87000 | PA      | $83883.06     | 0.07%             | 2033-05-26      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GXW9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8945.60      | 0.01%             | 2024-03-08      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Open Text Corp.                                                                     | Open Text Corp.                                                                                    | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     55000 | PA      | $55071.50     | 0.05%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Reremic Trust                                                        | Morgan Stanley Reremic Trust, Series 2012-R3, Class 1B                                             | CUSIP: 61761KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223410 | PA      | $176194.77    | 0.15%             | 2036-11-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                   | Wells Fargo & Co.                                                                                  | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7440.30      | 0.01%             | 2028-05-22      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TNPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       400 | PA      | $419.67       | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     69000 | PA      | $66244.39     | 0.06%             | 2028-08-23      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                                                | Mexico Government International Bond                                                               | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $160553.73    | 0.14%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                            | Fannie Mae Connecticut Avenue Securities, Series 2022-R03, Class 1M1                               | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    328618 | PA      | $326499.56    | 0.28%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     24000 | PA      | $19396.78     | 0.02%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    115000 | PA      | $105515.87    | 0.09%             | 2033-04-27      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                              | Truist Financial Corp.                                                                             | CUSIP: 89788MAG7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52726.55     | 0.04%             | 2028-06-06      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 31364HVW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      4409 | PA      | $55.70        | 0.00%             | 2023-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                             | UnitedHealth Group Inc.                                                                            | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $173814.79    | 0.15%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                            | Celanese US Holdings LLC                                                                           | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    122000 | PA      | $116353.96    | 0.10%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 3136A0ML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |         2 | PA      | $1.85         | 0.00%             | 2026-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 3133TJPC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     20372 | PA      | $726.36       | 0.00%             | 2029-03-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                 | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5149.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                                               | Lockheed Martin Corp.                                                                              | CUSIP: 539830BT5<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     27000 | PA      | $22848.61     | 0.02%             | 2062-06-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| Credit Suisse Group AG                                                              | Credit Suisse Group AG                                                                             | CUSIP: 225401AN8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    201000 | PA      | $116814.53    | 0.10%             | N/A             | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     47352 | PA      | $9549.78      | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                                     | Air Lease Corp.                                                                                    | CUSIP: 00912XAT1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1966.63      | 0.00%             | 2023-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                                           | Williams Cos., Inc. (The)                                                                          | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     34000 | PA      | $27596.67     | 0.02%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                                         | Masco Corp.                                                                                        | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1543.44      | 0.00%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                     | Intercontinental Exchange, Inc.                                                                    | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     86000 | PA      | $80122.98     | 0.07%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust, Series 2020-3, Class A1                                                  | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135952 | PA      | $120542.03    | 0.10%             | 2065-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| QatarEnergy Trading LLC                                                             | QatarEnergy Trading LLC                                                                            | CUSIP: 74730DAD5<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    200000 | PA      | $148160.00    | 0.13%             | 2051-07-12      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     15879 | PA      | $17531.40     | 0.01%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| MHP Commercial Mortgage Trust                                                       | MHP?Commercial Mortgage Trust, Series 2021-STOR, Class B                                           | CUSIP: 55293BAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $100183.42    | 0.08%             | 2038-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                          | AMSR Trust, Series 2021-SFR3, Class B                                                              | CUSIP: 00180UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $324495.72    | 0.27%             | 2038-10-17      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Ctfs.                                             | CSFB Mortgage-Backed Pass-Through Ctfs., Series 2004-AR5, Class 3A1                                | CUSIP: 22541SJB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7797 | PA      | $7230.16      | 0.01%             | 2034-06-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Empresa de los Ferrocarriles del Estado                                             | Empresa de los Ferrocarriles del Estado                                                            | CUSIP: 292487AB1<br>LEI: 8755006LY8XNRFOGWN86 | Long             | DBT              | CORP              | CL        |    204000 | PA      | $140946.17    | 0.12%             | 2061-09-14      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36213FF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       588 | PA      | $609.37       | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prologis, L.P.                                                                      | Prologis, L.P.                                                                                     | CUSIP: 74340XBT7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    277000 | PA      | $269040.97    | 0.23%             | 2033-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Cargill, Inc.                                                                       | Cargill, Inc.                                                                                      | CUSIP: 141781BW3<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36961.42     | 0.03%             | 2032-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                        | UBS Group AG                                                                                       | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    153000 | PA      | $146945.60    | 0.12%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SBA Communications Corp.                                                            | SBA Communications Corp.                                                                           | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     38000 | PA      | $31663.31     | 0.03%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                              | Truist Financial Corp.                                                                             | CUSIP: 89788MAK8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    209000 | PA      | $220568.99    | 0.19%             | 2033-10-28      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                                     | Nordea Bank Abp                                                                                    | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    210000 | PA      | $162656.11    | 0.14%             | N/A             | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                   | Wells Fargo & Co.                                                                                  | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23195.18     | 0.02%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Dell International LLC / EMC Corp.                                                  | Dell International LLC / EMC Corp.                                                                 | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000 | PA      | $2042.77      | 0.00%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                                  | Berry Global, Inc.                                                                                 | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     79000 | PA      | $67673.60     | 0.06%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential Trust, Series 2020-SFR1, Class A                                              | CUSIP: 74331CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494111 | PA      | $450861.53    | 0.38%             | 2037-04-17      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| INVESCO PRIVATE PRIME FUND                                                          | INVESCO PRIVATE PRIME FUND                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |   7391390 | NS      | $7393607.45   | 6.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31334XD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58201 | PA      | $55533.35     | 0.05%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                       | Enbridge Inc.                                                                                      | CUSIP: 29250NBN4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    249000 | PA      | $242638.73    | 0.20%             | 2083-01-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       788 | PA      | $91.01        | 0.00%             | 2032-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                            | PNC Financial Services Group, Inc. (The), Series O                                                 | CUSIP: 693475AK1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    118000 | PA      | $118117.80    | 0.10%             | N/A             | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association, IO                                                       | CUSIP: 38373T3M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |     11929 | PA      | $3.39         | 0.00%             | 2032-02-16      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Alfa Desarrollo S.p.A.                                                              | Alfa Desarrollo S.p.A.                                                                             | CUSIP: 01538TAA3<br>LEI: 2549006BJAN34R520038 | Long             | DBT              | CORP              | CL        |    199271 | PA      | $151773.89    | 0.13%             | 2051-09-27      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                        | Barclays PLC                                                                                       | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    237000 | PA      | $222187.50    | 0.19%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                                   | Lowe's Cos., Inc.                                                                                  | CUSIP: 548661EL7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    381000 | PA      | $373169.57    | 0.32%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Bear Stearns Adjustable Rate Mortgage Trust                                         | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-9, Class A1                               | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25404 | PA      | $23610.90     | 0.02%             | 2035-10-25      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                                        | BX Commercial Mortgage Trust, Series 2021-VOLT, Class B                                            | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $212577.98    | 0.18%             | 2036-09-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Johns Hopkins University (The)                                                      | Johns Hopkins University (The), Series A                                                           | CUSIP: 478115AH1<br>LEI: 549300Z1XKWYKTIOM958 | Long             | DBT              | CORP              | US        |    137000 | PA      | $136680.39    | 0.12%             | 2032-07-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                                        | OCP CLO Ltd., Series 2017-13A, Class A1AR                                                          | CUSIP: 67097LAH9<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246515.25    | 0.21%             | 2030-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                                      | Adjustable Rate Mortgage Trust, Series 2004-2, Class 6A1                                           | CUSIP: 007036BU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3174 | PA      | $3106.07      | 0.00%             | 2035-02-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                               | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class ASB                                 | CUSIP: 94989HAT7<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |     95342 | PA      | $93595.02     | 0.08%             | 2048-05-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| BAE Systems Holdings Inc.                                                           | BAE Systems Holdings Inc.                                                                          | CUSIP: 05523UAP5<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7721.68      | 0.01%             | 2025-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                                   | American Electric Power Co., Inc.                                                                  | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    220000 | PA      | $230406.73    | 0.19%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings, L.P.                                                    | Healthcare Realty Holdings, L.P.                                                                   | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4660.64      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                                                  | Uniform Mortgage-Backed Securities, TBA                                                            | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3089291.75   | 2.61%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                                                                 | Life Mortgage Trust, Series 2021-BMR, Class A                                                      | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152360 | PA      | $147723.98    | 0.12%             | 2038-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                                       | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $211874.63    | 0.18%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                                | Meta Platforms, Inc.                                                                               | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    204000 | PA      | $164759.72    | 0.14%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31395VZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      5707 | PA      | $218.51       | 0.00%             | 2035-07-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                                       | Comcast Corp.                                                                                      | CUSIP: 20030NDQ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      8000 | PA      | $4506.87      | 0.00%             | 2062-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                       | UBS Commercial Mortgage Trust, Series 2017-C5, Class XA                                            | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979522 | PA      | $32191.09     | 0.03%             | 2050-11-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 31410GVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34800 | PA      | $35947.31     | 0.03%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LB Commercial Conduit Mortgage Trust                                                | LB Commercial Conduit Mortgage Trust, Series 1998-C1, Class IO                                     | CUSIP: 501773AY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8473 | PA      | $0.21         | 0.00%             | 2030-02-18      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                           | OBX Trust, Series 2022-NQM2, Class A1B                                                             | CUSIP: 67448DAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $191206.36    | 0.16%             | 2062-01-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                                           | EQT Corp.                                                                                          | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79677.73     | 0.07%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EQM Midstream Partners, L.P.                                                        | EQM Midstream Partners, L.P.                                                                       | CUSIP: 26885BAN0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38596.00     | 0.03%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Twilio Inc.                                                                         | Twilio Inc.                                                                                        | CUSIP: 90138FAD4<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |     29000 | PA      | $23049.20     | 0.02%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Union Pacific Corp.                                                                 | Union Pacific Corp.                                                                                | CUSIP: 907818GC6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    280000 | PA      | $270113.25    | 0.23%             | 2052-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                                                      | Citizens Financial Group, Inc.                                                                     | CUSIP: 174610AS4<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4891.32      | 0.00%             | 2030-02-06      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                                | American Airlines Pass-Through Trust, Series A                                                     | CUSIP: 02379KAA2<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     48000 | PA      | $38770.09     | 0.03%             | 2034-07-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                                        | BX Commercial Mortgage Trust, Series 2021-XL2, Class B                                             | CUSIP: 05609KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97305 | PA      | $92854.29     | 0.08%             | 2038-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FAJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     56484 | PA      | $11679.23     | 0.01%             | 2032-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     36000 | PA      | $26534.05     | 0.02%             | 2036-09-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                                           | GMACM Mortgage Loan Trust, Series 2006-AR1, Class 1A1                                              | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32846 | PA      | $24786.00     | 0.02%             | 2036-04-19      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                                               | United Airlines, Inc.                                                                              | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5571.76      | 0.00%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust                                  | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-17, Class 1A8                      | CUSIP: 12669G5U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2673 | PA      | $2285.79      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co., Series W                                                                     | CUSIP: 48123UAB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      7000 | PA      | $5376.49      | 0.00%             | 2047-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc., Series W                                                                           | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     39000 | PA      | $34071.18     | 0.03%             | N/A             | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                                      | Banc of America Mortgage Trust, Series 2007-1, Class 1A24                                          | CUSIP: 05952HAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20501 | PA      | $16434.73     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                                   | Lowe's Cos., Inc.                                                                                  | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    285000 | PA      | $274446.95    | 0.23%             | 2053-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Southern Co. (The)                                                                  | Southern Co. (The)                                                                                 | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    114000 | PA      | $116967.76    | 0.10%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                     | Intercontinental Exchange, Inc.                                                                    | CUSIP: 45866FAY0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     66000 | PA      | $62521.87     | 0.05%             | 2062-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36213HWZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       341 | PA      | $362.17       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                               | Elevance Health, Inc.                                                                              | CUSIP: 036752AW3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     95000 | PA      | $97554.03     | 0.08%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                            | Celanese US Holdings LLC                                                                           | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    209000 | PA      | $208363.50    | 0.18%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                              | Norfolk Southern Corp.                                                                             | CUSIP: 655844CP1<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     62000 | PA      | $54236.23     | 0.05%             | 2053-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2020-INV1, Class A1                                             | CUSIP: 92537TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16348 | PA      | $15695.48     | 0.01%             | 2060-03-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC  | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC                 | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    209000 | PA      | $206195.82    | 0.17%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                 | Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class XA                                    | CUSIP: 17321RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350936 | PA      | $1671.65      | 0.00%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM Mortgage Trust, Series 2013-CR6, Class AM                                                     | CUSIP: 12624XAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $243146.67    | 0.21%             | 2046-03-10      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Keybank NA                                                                          | Keybank NA                                                                                         | CUSIP: 49327V2C7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    251000 | PA      | $233015.03    | 0.20%             | 2032-08-08      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                   | Wells Fargo & Co., Series L, Conv. Pfd.                                                            | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |        10 | NS      | $11850.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Petrofac Ltd.                                                                       | Petrofac Ltd.                                                                                      | CUSIP: 716473AE3<br>LEI: 2138004624W8CKCSJ177 | Long             | DBT              | CORP              | JE        |    200000 | PA      | $113284.00    | 0.10%             | 2026-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       578 | PA      | $66.76        | 0.00%             | 2032-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers VII Ltd.                                                | Textainer Marine Containers VII Ltd., Series 2021-2A, Class A                                      | CUSIP: 88315LAQ1<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    381333 | PA      | $324905.46    | 0.27%             | 2046-04-20      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                                                       | Discover Bank                                                                                      | CUSIP: 25466AAP6<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    116000 | PA      | $108873.48    | 0.09%             | 2028-09-13      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                           | MFA Trust, Series 2021-AEI1, Class A4                                                              | CUSIP: 55284FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291150 | PA      | $251636.15    | 0.21%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                        | GS Mortgage Securities Trust, Series 2020-GC47, Class A5                                           | CUSIP: 36258RBA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $248221.71    | 0.21%             | 2053-05-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                                 | New Residential Mortgage Loan Trust, Series 2020-NQM1, Class A1                                    | CUSIP: 64830VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23141 | PA      | $20726.35     | 0.02%             | 2060-01-26      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                               | Societe Generale S.A.                                                                              | CUSIP: 83370RAC2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $205742.64    | 0.17%             | N/A             | Variable      | 9.38%                 | No            |                  2 | On Loan: No      |
| VICI Properties L.P.                                                                | VICI Properties L.P.                                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     94000 | PA      | $89607.13     | 0.08%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      3586 | PA      | $358.18       | 0.00%             | 2037-12-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     86254 | PA      | $6098.27      | 0.01%             | 2035-05-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust                                  | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-26, Class 1A8                      | CUSIP: 126694MS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30046 | PA      | $18580.12     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                          | Apple Inc.                                                                                         | CUSIP: 037833EP1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     81000 | PA      | $73776.85     | 0.06%             | 2032-08-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                                  | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class AS                      | CUSIP: 61764PBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595000 | PA      | $564518.69    | 0.48%             | 2047-12-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. L.P./ PTL Finance Corp.                                    | Penske Truck Leasing Co. L.P./ PTL Finance Corp.                                                   | CUSIP: 709599AW4<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8268.70      | 0.01%             | 2026-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                                       | Asbury Automotive Group, Inc.                                                                      | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     17000 | PA      | $14008.00     | 0.01%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                   | Wells Fargo & Co.                                                                                  | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1433.97      | 0.00%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc.                                                                      | AEP Texas Inc.                                                                                     | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     33000 | PA      | $31710.42     | 0.03%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC  | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC                 | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    112500 | PA      | $111227.59    | 0.09%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     28000 | PA      | $22477.98     | 0.02%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                           | OBX Trust, Series 2022-NQM1, Class A1                                                              | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288205 | PA      | $248307.81    | 0.21%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31297BTP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21598 | PA      | $21877.71     | 0.02%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                   | Wells Fargo & Co.                                                                                  | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     84000 | PA      | $80010.43     | 0.07%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                                       | Banc of America Funding Trust, Series 2007-1, Class 1A3                                            | CUSIP: 05951FBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32062 | PA      | $26022.52     | 0.02%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 30 Ltd.                                                                     | KKR CLO 30 Ltd., Series 30A, Class A1R                                                             | CUSIP: 48250EAN5<br>LEI: 549300NB16RGUJOZXI16 | Long             | ABS-CBDO         | CORP              | KY        |    268000 | PA      | $263411.30    | 0.22%             | 2031-10-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                          | Apple Inc.                                                                                         | CUSIP: 037833CH1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1852.75      | 0.00%             | 2047-02-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                                 | Realty Income Corp.                                                                                | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4290.78      | 0.00%             | 2028-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Trust                                                | Credit Suisse Mortgage Capital Trust, Series 2022-ATH1, Class A1B                                  | CUSIP: 12660BAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $95826.28     | 0.08%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc.                                                                       | Broadcom Inc.                                                                                      | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     21000 | PA      | $18395.09     | 0.02%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 31410FV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4943 | PA      | $5096.11      | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VICI Properties L.P.                                                                | VICI Properties L.P.                                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     94000 | PA      | $89350.54     | 0.08%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric, LLC                                            | CenterPoint Energy Houston Electric, LLC, Series AJ                                                | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    140000 | PA      | $134453.59    | 0.11%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM Mortgage Trust, Series 2014-UBS6, Class AM                                                    | CUSIP: 12592PBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $453083.26    | 0.38%             | 2047-12-10      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                    | Philip Morris International Inc.                                                                   | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    122000 | PA      | $122683.74    | 0.10%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                                  | United Airlines Pass-Through Trust, Series 20-1                                                    | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     84571 | PA      | $83499.44     | 0.07%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                               | One Bryant Park Trust, Series 2019-OBP, Class A                                                    | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114000 | PA      | $93587.57     | 0.08%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 3133TEPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       140 | PA      | $2.30         | 0.00%             | 2028-07-17      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                                       | Comcast Corp.                                                                                      | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1293.52      | 0.00%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     71000 | PA      | $67913.65     | 0.06%             | 2028-04-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                            | COLT Mortgage Loan Trust, Series 2021-5, Class A1                                                  | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201170 | PA      | $170354.24    | 0.14%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Avis Budget Car Rental, LLC                                                         | Avis Budget Car Rental, LLC                                                                        | CUSIP: 053773BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $23131.94     | 0.02%             | 2029-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares Inc.                                                          | Huntington Bancshares Inc.                                                                         | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     49000 | PA      | $46753.01     | 0.04%             | 2028-08-04      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                           | Ford Motor Credit Co. LLC                                                                          | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     44000 | PA      | $38264.60     | 0.03%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Dell International LLC / EMC Corp.                                                  | Dell International LLC / EMC Corp.                                                                 | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21000 | PA      | $20586.01     | 0.02%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31359XCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     21626 | PA      | $22163.20     | 0.02%             | 2029-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust                                           | Bayview MSR Opportunity Master Fund Trust, Series 2021-4, Class A4                                 | CUSIP: 07336GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320032 | PA      | $258431.30    | 0.22%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                                 | Bank of New York Mellon Corp. (The)                                                                | CUSIP: 06406RBK2<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     49000 | PA      | $47410.77     | 0.04%             | 2030-07-26      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                     | Intercontinental Exchange, Inc.                                                                    | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     39000 | PA      | $37759.06     | 0.03%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     31366 | PA      | $3580.44      | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bond                                              | Colombia Government International Bond                                                             | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $200849.50    | 0.17%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31394DQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      3388 | PA      | $107.40       | 0.00%             | 2035-05-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 313921SS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       415 | PA      | $415.71       | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TECM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     57315 | PA      | $57822.37     | 0.05%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| D.R. Horton, Inc.                                                                   | D.R. Horton, Inc.                                                                                  | CUSIP: 23331ABG3<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18992.09     | 0.02%             | 2023-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                                   | Lowe's Cos., Inc.                                                                                  | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7522.30      | 0.01%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| South32 Treasury Ltd.                                                               | South32 Treasury Ltd.                                                                              | CUSIP: 84055BAA1<br>LEI: 213800HFGZMXST64GP53 | Long             | DBT              | CORP              | AU        |     77000 | PA      | $66087.95     | 0.06%             | 2032-04-14      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| EnfraGen Energia Sur S.A. / EnfraGen Spain S.A. / Prime Energia S.p.A.              | EnfraGen Energia Sur S.A. / EnfraGen Spain S.A. / Prime Energia S.p.A.                             | CUSIP: 29280LAA1<br>LEI: 2549002TO75PYMY3VY07 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $140291.78    | 0.12%             | 2030-12-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31392ASN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     38584 | PA      | $39401.76     | 0.03%             | 2031-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Brandywine Operating Partnership, L.P.                                              | Brandywine Operating Partnership, L.P.                                                             | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    293000 | PA      | $287845.07    | 0.24%             | 2028-03-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                                              | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2005-AR14, Class 1A4                                | CUSIP: 92922F4D7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50602 | PA      | $47016.34     | 0.04%             | 2035-12-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392GEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2816 | PA      | $218.77       | 0.00%             | 2032-08-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent, L.P.                                                         | American Homes 4 Rent, L.P.                                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     34000 | PA      | $28690.48     | 0.02%             | 2032-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      4577 | PA      | $5378.59      | 0.00%             | 2035-08-15      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                                                  | Uniform Mortgage-Backed Securities, TBA                                                            | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4700000 | PA      | $4713061.77   | 3.98%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 31410FV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       644 | PA      | $660.42       | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                          | Progress Residential Trust, Series 2021-SFR10, Class A                                             | CUSIP: 74333WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $197955.12    | 0.17%             | 2040-12-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association, TBA                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345000 | PA      | $289214.88    | 0.24%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                    | Boeing Co. (The)                                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     17000 | PA      | $15464.37     | 0.01%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                      | EPR Properties                                                                                     | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     26000 | PA      | $18893.14     | 0.02%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PAW6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10016.48     | 0.01%             | 2024-07-23      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                              | Credit Suisse Group AG                                                                             | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    298000 | PA      | $271824.73    | 0.23%             | 2028-08-11      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                                                    | Credit Suisse AG                                                                                   | CUSIP: 22546QAP2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    189000 | PA      | $176347.32    | 0.15%             | 2024-09-09      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 3138WGD35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13907 | PA      | $13594.03     | 0.01%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2022-INV2, Class A1                                             | CUSIP: 924923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157810 | PA      | $159069.79    | 0.13%             | 2067-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FAB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     28208 | PA      | $4399.92      | 0.00%             | 2033-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                                | Energy Transfer L.P.                                                                               | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     58000 | PA      | $57607.34     | 0.05%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Qualcomm Inc.                                                                       | Qualcomm Inc.                                                                                      | CUSIP: 747525BK8<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |      9000 | PA      | $7635.56      | 0.01%             | 2030-05-20      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| China Government International Bond                                                 | China Government International Bond                                                                | CUSIP: 60367QAD5<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    200000 | PA      | $133070.90    | 0.11%             | 2051-10-26      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                     | MVW Owner Trust, Series 2019-1A, Class A                                                           | CUSIP: 55389PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25517 | PA      | $24066.46     | 0.02%             | 2036-11-20      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                      | Ecopetrol S.A.                                                                                     | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     12000 | PA      | $8381.20      | 0.01%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                       | Citigroup Mortgage Loan Trust, Series 2006-AR1, Class 1A1                                          | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71246 | PA      | $68552.01     | 0.06%             | 2035-10-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                 | Kinder Morgan, Inc.                                                                                | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    117000 | PA      | $108826.03    | 0.09%             | 2033-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                            | COLT Mortgage Loan Trust, Series 2022-1, Class A1                                                  | CUSIP: 19688HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250031 | PA      | $218831.50    | 0.18%             | 2066-12-27      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                                     | Blackstone Secured Lending Fund                                                                    | CUSIP: 09261XAD4<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    106000 | PA      | $87909.41     | 0.07%             | 2027-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Reinsurance Group of America, Inc.                                                  | Reinsurance Group of America, Inc.                                                                 | CUSIP: 759351AL3<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1991.03      | 0.00%             | 2023-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Bank                                                                                | Bank, Series 2019-BN16, Class XA                                                                   | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1521240 | PA      | $64616.51     | 0.05%             | 2052-02-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                                                        | U.S. Bancorp                                                                                       | CUSIP: 91159HHM5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5674.43      | 0.00%             | 2026-04-27      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133T3Q27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       477 | PA      | $478.28       | 0.00%             | 2024-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                                                   | Mello Mortgage Capital Acceptance, Series 2021-INV3, Class A4                                      | CUSIP: 585491AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200586 | PA      | $172404.36    | 0.15%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                                          | Prudential Financial, Inc.                                                                         | CUSIP: 744320BK7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    173000 | PA      | $167703.49    | 0.14%             | 2052-09-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 313921R34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1774 | PA      | $167.21       | 0.00%             | 2031-11-18      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association, IO                                                       | CUSIP: 38375JSQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |     24720 | PA      | $1745.58      | 0.00%             | 2037-04-16      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                          | Cooperatieve Rabobank U.A.                                                                         | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $230701.80    | 0.19%             | 2028-04-06      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                                          | Charles Schwab Corp. (The)                                                                         | CUSIP: 808513CB9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     79000 | PA      | $72324.38     | 0.06%             | N/A             | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                                            | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class C                                   | CUSIP: 03066MAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72400 | PA      | $72344.54     | 0.06%             | 2024-10-18      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                                             | KeyCorp                                                                                            | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     46000 | PA      | $43567.45     | 0.04%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Zaxby's Funding LLC                                                                 | Zaxby's Funding LLC, Series 2021-1A, Class A2                                                      | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505106 | PA      | $408553.27    | 0.34%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I, L.P.                                                              | Hilcorp Energy I, L.P.                                                                             | CUSIP: 431318AY0<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16032.98     | 0.01%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Spirit Realty, L.P.                                                                 | Spirit Realty, L.P.                                                                                | CUSIP: 84861TAH1<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1634.07      | 0.00%             | 2028-03-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                          | STAR Trust, Series 2021-SFR1, Class A                                                              | CUSIP: 85521DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790980 | PA      | $761318.43    | 0.64%             | 2038-04-17      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       387 | PA      | $41.74        | 0.00%             | 2032-09-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13061.28     | 0.01%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                                                           | AT&T Inc.                                                                                          | CUSIP: 00206RMH2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     88000 | PA      | $87606.95     | 0.07%             | 2024-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                              | CVS Pass-Through Trust                                                                             | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    107149 | PA      | $104762.58    | 0.09%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                                           | CUSIP: 36200XFC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       409 | PA      | $420.73       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class AA                                    | CUSIP: 17322MAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21596 | PA      | $21270.96     | 0.02%             | 2047-05-10      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                        | Mizuho Financial Group, Inc.                                                                       | CUSIP: 60687YCM9<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    267000 | PA      | $265754.43    | 0.22%             | 2033-09-13      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A.                                                                | Credit Agricole S.A.                                                                               | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    310000 | PA      | $299714.95    | 0.25%             | 2025-03-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OWL Rock Core Income Corp.                                                          | OWL Rock Core Income Corp.                                                                         | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |     54000 | PA      | $48765.93     | 0.04%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 3137B93W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     45543 | PA      | $4551.25      | 0.00%             | 2044-01-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                              | Tenet Healthcare Corp.                                                                             | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     99000 | PA      | $94500.95     | 0.08%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Australia and New Zealand Banking Group Ltd.                                        | Australia and New Zealand Banking Group Ltd.                                                       | CUSIP: 052528AP1<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    387000 | PA      | $392038.12    | 0.33%             | 2032-12-08      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric, LLC                                            | CenterPoint Energy Houston Electric, LLC, Series ai.                                               | CUSIP: 15189XAZ1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    144000 | PA      | $139272.56    | 0.12%             | 2032-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                                                     | Fairfax Financial Holdings Ltd.                                                                    | CUSIP: 303901BK7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    212000 | PA      | $199589.09    | 0.17%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Massachusetts Mutual Life Insurance Co.                                             | Massachusetts Mutual Life Insurance Co.                                                            | CUSIP: 575767AT5<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |     81000 | PA      | $80677.82     | 0.07%             | 2052-12-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Murphy Oil Corp.                                                                    | Murphy Oil Corp.                                                                                   | CUSIP: 626717AN2<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22171.53     | 0.02%             | 2028-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                                      | Office Properties Income Trust                                                                     | CUSIP: 81618TAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     79000 | PA      | $74859.75     | 0.06%             | 2024-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac, Series 2022-DNA3, Class M1                                                            | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    246571 | PA      | $245453.43    | 0.21%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom International Finance B.V.                                         | Deutsche Telekom International Finance B.V.                                                        | CUSIP: 25156PBB8<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    149000 | PA      | $143186.61    | 0.12%             | 2028-06-21      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                        | Santander Holdings USA, Inc.                                                                       | CUSIP: 80282KAW6<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5832.43      | 0.00%             | 2024-06-07      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Spirit Realty, L.P.                                                                 | Spirit Realty, L.P.                                                                                | CUSIP: 84861TAE8<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4440.52      | 0.00%             | 2027-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                                 | Starwood Mortgage Residential Trust, Series 2021-6, Class A1                                       | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396531 | PA      | $330403.66    | 0.28%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                                                     | Fairfax Financial Holdings Ltd.                                                                    | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      8000 | PA      | $6576.85      | 0.01%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                               | NextEra Energy Capital Holdings, Inc.                                                              | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     49000 | PA      | $48206.68     | 0.04%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                                                             | GA Global Funding Trust                                                                            | CUSIP: 36143L2H7<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    162000 | PA      | $128646.36    | 0.11%             | 2032-01-06      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Trust                                                | Credit Suisse Mortgage Capital Trust, Series 2022-ATH1, Class A1A                                  | CUSIP: 12660BAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385647 | PA      | $354453.65    | 0.30%             | 2067-01-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Invesco Liquid Assets Portfolio                                                     | Invesco Liquid Assets Portfolio                                                                    | CUSIP: 825252729<br>LEI: 549300DC1W0JSX3QRC47 | Long             | STIV             | RF                | US        |    809640 | NS      | $809882.62    | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Workday, Inc.                                                                       | Workday, Inc.                                                                                      | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     34000 | PA      | $31264.41     | 0.03%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                                   | CD Mortgage Trust, Series 2017-CD6, Class XA                                                       | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645601 | PA      | $18012.09     | 0.02%             | 2050-11-13      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Trust                                                | Credit Suisse Mortgage Capital Trust, Series 2021-NQM1, Class A1                                   | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48850 | PA      | $41109.26     | 0.03%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                                   | Duke Energy Corp.                                                                                  | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $160696.82    | 0.14%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     19000 | PA      | $14035.83     | 0.01%             | 2043-02-24      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 31392MJE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     52908 | PA      | $54709.86     | 0.05%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                     | WFRBS Commercial Mortgage Trust, Series 2013-C14, Class AS                                         | CUSIP: 92890PAG9<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $145903.26    | 0.12%             | 2046-06-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                         | Verizon Communications Inc.                                                                        | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     23000 | PA      | $15916.28     | 0.01%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                                                      | Citizens Financial Group, Inc.                                                                     | CUSIP: 174610AK1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     31000 | PA      | $30102.02     | 0.03%             | 2025-12-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136A9XT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     46092 | PA      | $2087.98      | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                                       | Comcast Corp.                                                                                      | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    300000 | PA      | $313784.20    | 0.26%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Interpublic Group of Cos., Inc. (The)                                               | Interpublic Group of Cos., Inc. (The)                                                              | CUSIP: 460690BL3<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4909.28      | 0.00%             | 2024-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                       | Enbridge Inc.                                                                                      | CUSIP: 29250NBP9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    189000 | PA      | $187414.44    | 0.16%             | 2083-01-15      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust, Series 2022-CLS, Class A                                                                 | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $127536.45    | 0.11%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    193000 | PA      | $183802.57    | 0.16%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                        | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB                                          | CUSIP: 36252RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15904 | PA      | $15743.54     | 0.01%             | 2047-01-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Centene Corp.                                                                       | Centene Corp.                                                                                      | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     19000 | PA      | $14903.56     | 0.01%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                      | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A2                          | CUSIP: 863579AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3960 | PA      | $3807.80      | 0.00%             | 2034-09-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                             | Flagstar Mortgage Trust, Series 2021-11IN, Class A6                                                | CUSIP: 33851TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505025 | PA      | $434070.26    | 0.37%             | 2051-11-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31283HB20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15776 | PA      | $16201.60     | 0.01%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                            | COLT Mortgage Loan Trust, Series 2020-2, Class A1                                                  | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13877 | PA      | $13597.59     | 0.01%             | 2065-03-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                    | Shell International Finance B.V.                                                                   | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     32000 | PA      | $21820.56     | 0.02%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1891 | PA      | $290.02       | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     73000 | PA      | $69924.35     | 0.06%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1633.02      | 0.00%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Target Corp.                                                                        | Target Corp.                                                                                       | CUSIP: 87612EBP0<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |    163000 | PA      | $158711.14    | 0.13%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1254 | PA      | $89.36        | 0.00%             | 2032-04-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Boston Properties L.P.                                                              | Boston Properties L.P.                                                                             | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1658.09      | 0.00%             | 2031-01-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp.                                                                              | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7475.10      | 0.01%             | 2029-07-23      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                                                      | Citizens Financial Group, Inc., Series G                                                           | CUSIP: 174610BD6<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     32000 | PA      | $25768.27     | 0.02%             | N/A             | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                               | Athene Global Funding                                                                              | CUSIP: 04685A2U4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     14000 | PA      | $12269.54     | 0.01%             | 2026-01-08      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                                         | Tricon American Homes Trust, Series 2020-SFR2, Class A                                             | CUSIP: 89613JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291585 | PA      | $241726.23    | 0.20%             | 2039-11-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                             | UnitedHealth Group Inc.                                                                            | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1957.06      | 0.00%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. | Charter Communications Operating LLC/Charter Communications Operating Capital Corp.                | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $17388.93     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                                   | Galaxy Pipeline Assets Bidco Ltd.                                                                  | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    193306 | PA      | $156105.71    | 0.13%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                                | American Express Co.                                                                               | CUSIP: 025816DA4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    108000 | PA      | $102345.29    | 0.09%             | 2033-08-03      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                   | HSBC Holdings PLC                                                                                  | CUSIP: 404280CN7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    225000 | PA      | $175608.77    | 0.15%             | N/A             | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Bahamas Government International Bond                                               | Bahamas Government International Bond                                                              | CUSIP: 056732AM2<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    278000 | PA      | $239034.53    | 0.20%             | 2029-06-16      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                                            | Cox Communications, Inc.                                                                           | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1207.67      | 0.00%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                  | Ellington Financial Mortgage Trust, Series 2022-1, Class A1                                        | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247005 | PA      | $207797.41    | 0.18%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    232000 | PA      | $221584.72    | 0.19%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                             | Hyundai Capital America                                                                            | CUSIP: 44891AAW7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13917.34     | 0.01%             | 2023-06-08      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Apache Corp.                                                                        | Apache Corp.                                                                                       | CUSIP: 03746AAA8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     98000 | PA      | $103106.02    | 0.09%             | 2029-12-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Development Bank of Kazakhstan JSC                                                  | Development Bank of Kazakhstan JSC                                                                 | CUSIP: 48129VAA4<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |    232000 | PA      | $232255.20    | 0.20%             | 2025-05-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                                  | British Airways Pass-Through Trust                                                                 | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     66913 | PA      | $54655.62     | 0.05%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust                                           | Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A2                                 | CUSIP: 07336JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402877 | PA      | $326333.89    | 0.28%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                              | Santander Drive Auto Receivables Trust, Series 2019-3, Class D                                     | CUSIP: 80286HAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80677 | PA      | $80307.30     | 0.07%             | 2025-10-15      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                                  | British Airways Pass-Through Trust                                                                 | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |      8733 | PA      | $7556.82      | 0.01%             | 2029-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136AYAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    307056 | PA      | $21293.60     | 0.02%             | 2047-09-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc.                                                                       | Broadcom Inc.                                                                                      | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     41000 | PA      | $30271.20     | 0.03%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    175652 | PA      | $8625.69      | 0.01%             | 2035-01-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Piedmont Healthcare, Inc.                                                           | Piedmont Healthcare, Inc., Series 2042                                                             | CUSIP: 72014TAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     91000 | PA      | $62488.63     | 0.05%             | 2042-01-01      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                         | Verizon Communications Inc.                                                                        | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1434.01      | 0.00%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Dollar General Corp.                                                                | Dollar General Corp.                                                                               | CUSIP: 256677AK1<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |     81000 | PA      | $79641.53     | 0.07%             | 2027-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MPLX L.P.                                                                           | MPLX L.P.                                                                                          | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     75000 | PA      | $61620.09     | 0.05%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                   | HSBC Holdings PLC                                                                                  | CUSIP: 404280DS5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    339000 | PA      | $359709.56    | 0.30%             | 2033-11-03      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| Jackson Financial Inc.                                                              | Jackson Financial Inc.                                                                             | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75334.06     | 0.06%             | 2032-06-08      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       680 | PA      | $42.64        | 0.00%             | 2029-06-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Management US CLO 5 Ltd.                                            | Goldentree Loan Management US CLO 5 Ltd., Series 2019-5A, Class AR                                 | CUSIP: 38138DAN6<br>LEI: 549300O473GD3F35WC55 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $254676.50    | 0.22%             | 2032-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Pacific Life Global Funding II                                                      | Pacific Life Global Funding II                                                                     | CUSIP: 6944PL2G3<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |     79000 | PA      | $75869.47     | 0.06%             | 2026-06-04      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                                                            | Oceanview Mortgage Trust, Series 2021-3, Class A5                                                  | CUSIP: 67647WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254571 | PA      | $220301.01    | 0.19%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp., Series TT                                                                   | CUSIP: 06055HAB9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    233000 | PA      | $229213.75    | 0.19%             | N/A             | Variable      | 6.12%                 | No            |                  2 | On Loan: —       |
| Avis Budget Rental Car Funding (AESOP) LLC                                          | Avis Budget Rental Car Funding (AESOP) LLC, Series 2022-1A, Class A                                | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $534319.97    | 0.45%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 3131Y7TD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33489 | PA      | $31974.27     | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                                 | DT Auto Owner Trust, Series 2019-3A, Class D                                                       | CUSIP: 26253KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43063 | PA      | $42507.58     | 0.04%             | 2025-04-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America Inc.                                                     | BP Capital Markets America Inc.                                                                    | CUSIP: 10373QBR0<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     24000 | PA      | $17862.75     | 0.02%             | 2041-06-17      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc., Series V                                                                           | CUSIP: 172967MK4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    165000 | PA      | $137560.65    | 0.12%             | N/A             | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                                                | Mexico Government International Bond                                                               | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $147783.41    | 0.12%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| America Movil, S.A.B. de C.V.                                                       | America Movil, S.A.B. de C.V.                                                                      | CUSIP: 03217KAB4<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $180789.00    | 0.15%             | 2032-04-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       647 | PA      | $67.87        | 0.00%             | 2032-03-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| CNX Resources Corp.                                                                 | CNX Resources Corp.                                                                                | CUSIP: 12653CAK4<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     76000 | PA      | $72950.12     | 0.06%             | 2031-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                                               | Lockheed Martin Corp.                                                                              | CUSIP: 539830BV0<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    153000 | PA      | $156647.11    | 0.13%             | 2027-11-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Med Trust                                                                           | Med Trust, Series 2021-MDLN, Class B                                                               | CUSIP: 58403YAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368000 | PA      | $351297.77    | 0.30%             | 2038-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                          | JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class B                               | CUSIP: 46643GAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $224472.82    | 0.19%             | 2047-11-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Race Point VIII CLO Ltd.                                                            | Race Point VIII CLO Ltd., Series 2013-8A, Class AR2                                                | CUSIP: 74982LAY6<br>LEI: 5493008ABAJEYBWITR69 | Long             | ABS-CBDO         | CORP              | KY        |    257490 | PA      | $254017.81    | 0.21%             | 2030-02-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Qualcomm Inc.                                                                       | Qualcomm Inc.                                                                                      | CUSIP: 747525BJ1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |      9000 | PA      | $6566.00      | 0.01%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                                          | Charles Schwab Corp. (The)                                                                         | CUSIP: 808513BZ7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     69000 | PA      | $67206.24     | 0.06%             | 2027-03-03      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / New Red Finance Inc.                                               | 1011778 BC ULC / New Red Finance Inc.                                                              | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     43000 | PA      | $34911.49     | 0.03%             | 2030-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dryden 93 CLO Ltd.                                                                  | Dryden 93 CLO Ltd., Series 2021-93A, Class A1A                                                     | CUSIP: 26190TAA9<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |    100056 | PA      | $97806.64     | 0.08%             | 2034-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                                                  | Uniform Mortgage-Backed Securities, TBA                                                            | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $3547922.08   | 3.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares Inc.                                                          | Huntington Bancshares Inc.                                                                         | CUSIP: 446150AX2<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     25000 | PA      | $18039.02     | 0.02%             | 2036-08-15      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                 | U.S. Treasury Ultra Bonds Future                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         6 | NC      | $-843.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Virginia Electric and Power Co.                                                     | Virginia Electric and Power Co., Series C                                                          | CUSIP: 927804GJ7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     66000 | PA      | $57958.80     | 0.05%             | 2052-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Kaiser Foundation Hospitals                                                         | Kaiser Foundation Hospitals, Series 2021                                                           | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    215000 | PA      | $147450.70    | 0.12%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| California (State of) Health Facilities Financing Authority (Social Bonds)          | California (State of) Health Facilities Financing Authority (Social Bonds), Series 2022, RB        | CUSIP: 13032UD88<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |    150000 | PA      | $134262.65    | 0.11%             | 2037-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                               | Federal National Mortgage Association                                                              | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84204 | PA      | $78367.70     | 0.07%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31393ADJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2548 | PA      | $2539.55      | 0.00%             | 2023-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2889 | PA      | $291.97       | 0.00%             | 2032-04-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                                     | Air Lease Corp.                                                                                    | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    205000 | PA      | $205130.05    | 0.17%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Sonic Automotive, Inc.                                                              | Sonic Automotive, Inc.                                                                             | CUSIP: 83545GBE1<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |     35000 | PA      | $27563.01     | 0.02%             | 2031-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K734, Class X1, IO                   | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   2014809 | PA      | $31969.38     | 0.03%             | 2026-02-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III L.P.                                                    | Hertz Vehicle Financing III L.P., Series 2021-2A, Class A                                          | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113000 | PA      | $98551.61     | 0.08%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| GATX Corp.                                                                          | GATX Corp.                                                                                         | CUSIP: 361448BK8<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |    147000 | PA      | $137532.14    | 0.12%             | 2033-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FAA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      3046 | PA      | $473.31       | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      8628 | PA      | $565.22       | 0.00%             | 2035-03-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                            | COLT Mortgage Loan Trust, Series 2022-3, Class A1                                                  | CUSIP: 12659YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334293 | PA      | $310452.19    | 0.26%             | 2067-02-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac, Series 2022-HQA3, Class M1                                                            | CUSIP: 35564KE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138828 | PA      | $138758.05    | 0.12%             | 2042-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     21937 | PA      | $1268.14      | 0.00%             | 2035-05-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                     | CSAIL Commercial Mortgage Trust, Series 2020-C19, Class A3                                         | CUSIP: 12597NAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    776000 | PA      | $649524.65    | 0.55%             | 2053-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                            | Benchmark Mortgage Trust, Series 2018-B3, Class C                                                  | CUSIP: 08161BBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42000 | PA      | $34979.73     | 0.03%             | 2051-04-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                            | Diamondback Energy, Inc.                                                                           | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    414000 | PA      | $402292.39    | 0.34%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Cargill, Inc.                                                                       | Cargill, Inc.                                                                                      | CUSIP: 141781BX1<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     27000 | PA      | $23555.33     | 0.02%             | 2052-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2022-1, Class A1                                                | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245521 | PA      | $214506.23    | 0.18%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                          | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class AS                              | CUSIP: 46643PBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $190797.74    | 0.16%             | 2047-11-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                                               | Lockheed Martin Corp.                                                                              | CUSIP: 539830BX6<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    113000 | PA      | $119137.33    | 0.10%             | 2054-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                                 | Triton Container International Ltd.                                                                | CUSIP: 89680YAC9<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    156000 | PA      | $121587.98    | 0.10%             | 2031-06-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       430 | PA      | $33.36        | 0.00%             | 2031-12-18      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 3137AXEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     48975 | PA      | $2282.01      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PNC Bank, N.A.                                                                      | PNC Bank, N.A.                                                                                     | CUSIP: 05552JAA7<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    255000 | PA      | $244660.31    | 0.21%             | 2024-08-27      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 3137ARKB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    110977 | PA      | $5189.53      | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                             | Hyundai Capital America                                                                            | CUSIP: 44891ABX4<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     19000 | PA      | $15508.80     | 0.01%             | 2028-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PAU0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13864.02     | 0.01%             | 2024-07-23      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                                                   | Sonic Capital LLC, Series 2021-1A, Class A2I                                                       | CUSIP: 83546DAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158000 | PA      | $126468.71    | 0.11%             | 2051-08-20      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                  | T-Mobile USA, Inc.                                                                                 | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     57000 | PA      | $55496.68     | 0.05%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Block, Inc.                                                                         | Block, Inc.                                                                                        | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     32000 | PA      | $25574.40     | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                          | Apple Inc.                                                                                         | CUSIP: 037833BH2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4647.45      | 0.00%             | 2045-05-13      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Dollar General Corp.                                                                | Dollar General Corp.                                                                               | CUSIP: 256677AM7<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |    144000 | PA      | $142534.29    | 0.12%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                                       | Moody's Corp.                                                                                      | CUSIP: 615369AZ8<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     53000 | PA      | $49686.99     | 0.04%             | 2032-08-08      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Funding LLC                                                          | Synchrony Card Funding LLC, Series 2022-A2, Class A                                                | CUSIP: 87166PAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428000 | PA      | $417735.28    | 0.35%             | 2028-07-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                 | Kinder Morgan, Inc.                                                                                | CUSIP: 49456BAW1<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    252000 | PA      | $227499.39    | 0.19%             | 2052-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                          | Aviation Capital Group LLC                                                                         | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1867.93      | 0.00%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc.                                                                                     | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2432.99      | 0.00%             | 2031-06-03      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2021-7, Class A1                                                | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315397 | PA      | $266120.09    | 0.22%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust, Series 2022-7, Class A1                                                | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105560 | PA      | $102907.21    | 0.09%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| MSCI Inc.                                                                           | MSCI Inc.                                                                                          | CUSIP: 55354GAM2<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     11000 | PA      | $9112.68      | 0.01%             | 2031-11-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust                                           | Bayview MSR Opportunity Master Fund Trust, Series 2021-4, Class A8                                 | CUSIP: 07336GAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303709 | PA      | $262431.45    | 0.22%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1448.27      | 0.00%             | 2042-04-22      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31296XJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16705 | PA      | $17152.94     | 0.01%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLVIII Ltd.                                                    | Madison Park Funding XLVIII Ltd., Series 2021-48A, Class A                                         | CUSIP: 55821UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    742000 | PA      | $730550.94    | 0.62%             | 2033-04-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The)                                                                    | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     22000 | PA      | $17425.38     | 0.01%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Enerflex Ltd.                                                                       | Enerflex Ltd.                                                                                      | CUSIP: 29269RAA3<br>LEI: 54930014N7872VUS3F89 | Long             | DBT              | CORP              | CA        |    110000 | PA      | $109842.70    | 0.09%             | 2027-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                                                    | Credit Suisse AG                                                                                   | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    285000 | PA      | $260189.22    | 0.22%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                         | Nationwide Building Society                                                                        | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $130173.61    | 0.11%             | 2030-07-18      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance, LLC                                            | Volkswagen Group of America Finance, LLC                                                           | CUSIP: 928668BT8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $189358.45    | 0.16%             | 2029-06-08      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                        | Oracle Corp.                                                                                       | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    670000 | PA      | $703352.72    | 0.59%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                              | Standard Chartered PLC                                                                             | CUSIP: 853254CC2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $151295.71    | 0.13%             | 2032-06-29      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bank, N.A.                                                              | Fifth Third Bank, N.A.                                                                             | CUSIP: 31677AAB0<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |    168000 | PA      | $160336.44    | 0.14%             | 2026-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                                          | Charles Schwab Corp. (The)                                                                         | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     26000 | PA      | $22166.87     | 0.02%             | 2032-03-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     33304 | PA      | $6019.79      | 0.01%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bond                                                | Panama Government International Bond                                                               | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    209000 | PA      | $212638.68    | 0.18%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC                                                      | Angel Oak Mortgage Trust I LLC, Series 2018-3, Class A1                                            | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       293 | PA      | $292.20       | 0.00%             | 2048-09-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXII Ltd.                                                              | Symphony CLO XXII Ltd., Series 2020-22A, Class A1A                                                 | CUSIP: 87167GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246079.50    | 0.21%             | 2033-04-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                                 | Fifth Third Bancorp                                                                                | CUSIP: 316773CP3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1979.93      | 0.00%             | 2024-01-16      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs                                                                                  | CUSIP: 31395DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     19304 | PA      | $23221.32     | 0.02%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                   | Wells Fargo & Co.                                                                                  | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     85000 | PA      | $83159.21     | 0.07%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| SVB Financial Group                                                                 | SVB Financial Group, Series E                                                                      | CUSIP: 78486QAQ4<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    242000 | PA      | $153604.66    | 0.13%             | N/A             | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                                 | GS Mortgage-Backed Securities Trust, Series 2021-INV1, Class A6                                    | CUSIP: 36263KAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282990 | PA      | $244897.20    | 0.21%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1852.32      | 0.00%             | 2027-12-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                                      | Blackstone Private Credit Fund                                                                     | CUSIP: 09261HAY3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129101.24    | 0.11%             | 2025-09-29      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                           | Ford Motor Credit Co. LLC                                                                          | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    209000 | PA      | $214684.80    | 0.18%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31293FS73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1450 | PA      | $1501.73      | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                          | Corebridge Financial, Inc.                                                                         | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    218000 | PA      | $202454.54    | 0.17%             | 2052-12-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TDE69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       381 | PA      | $386.69       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                    | United States Treasury Note/Bond                                                                   | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     96000 | PA      | $96011.25     | 0.08%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Credit Suisse Mortgage Capital Ctfs.                                                | Credit Suisse Mortgage Capital Ctfs., Series 2020-SPT1, Class A1                                   | CUSIP: 12659LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7741 | PA      | $7488.56      | 0.01%             | 2065-04-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Cargill, Inc.                                                                       | Cargill, Inc.                                                                                      | CUSIP: 141781BV5<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4785.18      | 0.00%             | 2027-04-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Dollar General Corp.                                                                | Dollar General Corp.                                                                               | CUSIP: 256677AL9<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |     71000 | PA      | $70260.91     | 0.06%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                        | CCO Holdings, LLC/CCO Holdings Capital Corp.                                                       | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17000 | PA      | $13077.17     | 0.01%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                                     | Blackstone Secured Lending Fund                                                                    | CUSIP: 09261XAB8<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |     97000 | PA      | $85220.01     | 0.07%             | 2026-09-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Cedar Funding IX CLO Ltd.                                                           | Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1                                                | CUSIP: 15033EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246532.50    | 0.21%             | 2031-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| JAB Holdings B.V.                                                                   | JAB Holdings B.V.                                                                                  | CUSIP: 46653KAC2<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |    378000 | PA      | $257840.14    | 0.22%             | 2052-04-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 3137FGV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     18400 | PA      | $1367.63      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Willis North America Inc.                                                           | Willis North America Inc.                                                                          | CUSIP: 970648AL5<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     34000 | PA      | $32895.69     | 0.03%             | 2027-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                          | RALI Trust, Series 2007-QS6, Class A28                                                             | CUSIP: 75116CBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3542 | PA      | $2745.33      | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                                 | Bank of New York Mellon Corp. (The)                                                                | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    163000 | PA      | $169491.58    | 0.14%             | 2033-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                                       | MetLife, Inc.                                                                                      | CUSIP: 59156RCC0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     48000 | PA      | $45980.90     | 0.04%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                 | Synchrony Financial                                                                                | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7821.29      | 0.01%             | 2024-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                               | Bank of America Corp., Series Z                                                                    | CUSIP: 060505EL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5932.99      | 0.01%             | N/A             | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                                 | Realty Income Corp.                                                                                | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1627.58      | 0.00%             | 2032-12-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| American Equity Investment Life Holding Co.                                         | American Equity Investment Life Holding Co.                                                        | CUSIP: 025676AM9<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23713.97     | 0.02%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 40 Ltd.                                          | Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class A                               | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246321.75    | 0.21%             | 2033-04-16      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                               | DB Master Finance LLC, Series 2019-1A, Class A2II                                                  | CUSIP: 233046AK7<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |     48375 | PA      | $45040.15     | 0.04%             | 2049-05-20      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                            | COLT Mortgage Loan Trust, Series 2022-2, Class A1                                                  | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254141 | PA      | $229487.09    | 0.19%             | 2067-02-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                                 | Union Pacific Corp.                                                                                | CUSIP: 907818GD4<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    286000 | PA      | $276654.64    | 0.23%             | 2063-01-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs, IO                                                                             | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     30600 | PA      | $1974.42      | 0.00%             | 2039-12-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                | JPMorgan Chase & Co.                                                                               | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146463.78    | 0.12%             | 2028-07-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31397M4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |         5 | PA      | $0.01         | 0.00%             | 2024-02-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                         | AbbVie Inc.                                                                                        | CUSIP: 00287YCV9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     16000 | PA      | $15762.16     | 0.01%             | 2024-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                                | Energy Transfer L.P.                                                                               | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    141000 | PA      | $138220.19    | 0.12%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM Mortgage Trust, Series 2014-CR21, Class AM                                                    | CUSIP: 12592RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715000 | PA      | $679244.21    | 0.57%             | 2047-12-10      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                 | Petroleos Mexicanos                                                                                | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    303000 | PA      | $284536.94    | 0.24%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                 | Anheuser-Busch InBev Worldwide Inc.                                                                | CUSIP: 03523TBF4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     11000 | PA      | $13799.13     | 0.01%             | 2039-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136APZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    192617 | PA      | $24164.60     | 0.02%             | 2035-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                                                        | U.S. Bancorp                                                                                       | CUSIP: 91159HJF8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146739.57    | 0.12%             | 2028-07-22      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| California State University                                                         | California State University, Series 2021 B, Ref. RB                                                | CUSIP: 13077DRV6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    220000 | PA      | $149280.32    | 0.13%             | 2052-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM Mortgage Trust, Series 2015-CR25, Class B                                                     | CUSIP: 12593PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72000 | PA      | $66564.63     | 0.06%             | 2048-08-10      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                                   | Duke Energy Corp.                                                                                  | CUSIP: 26441CBP9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     14000 | PA      | $10239.94     | 0.01%             | 2082-01-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1261 | PA      | $185.29       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PETRONAS Capital Ltd.                                                               | PETRONAS Capital Ltd.                                                                              | CUSIP: 71675CAB4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |    200000 | PA      | $165820.95    | 0.14%             | 2032-01-28      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                                       | Enbridge Inc.                                                                                      | CUSIP: 29250NBM6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $9949.40      | 0.01%             | 2024-02-16      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Mylan Inc.                                                                          | Mylan Inc.                                                                                         | CUSIP: 628530AV9<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10991.69     | 0.01%             | 2023-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                                  | Freddie Mac REMICs                                                                                 | CUSIP: 3133TDPP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     55448 | PA      | $56700.24     | 0.05%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                          | Cooperatieve Rabobank U.A.                                                                         | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $240356.12    | 0.20%             | 2028-08-22      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| ArcelorMittal S.A.                                                                  | ArcelorMittal S.A.                                                                                 | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    340000 | PA      | $342182.66    | 0.29%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                              | Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 3A                                    | CUSIP: 59020UL52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6396 | PA      | $5822.90      | 0.00%             | 2035-11-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 3136FCYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     38295 | PA      | $6175.27      | 0.01%             | 2035-09-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Moody's Corp.                                                                       | Moody's Corp.                                                                                      | CUSIP: 615369AE5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1935.27      | 0.00%             | 2044-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                                 | Union Pacific Corp.                                                                                | CUSIP: 907818GB8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    223000 | PA      | $218768.91    | 0.18%             | 2033-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CubeSmart, L.P.                                                                     | CubeSmart, L.P.                                                                                    | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4130.11      | 0.00%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                 | U.S. Treasury 5 Year Notes Future                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        57 | NC      | $-11174.61    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Roblox Corp.                                                                        | Roblox Corp.                                                                                       | CUSIP: 771049AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     57000 | PA      | $45001.50     | 0.04%             | 2030-05-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                               | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K088, Class AM                       | CUSIP: 3137FL6F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     92000 | PA      | $88451.19     | 0.07%             | 2029-01-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc.                                                                                     | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     67000 | PA      | $64945.81     | 0.05%             | 2028-05-24      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| CDI Escrow Issuer, Inc.                                                             | CDI Escrow Issuer, Inc.                                                                            | CUSIP: 12511VAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $30538.26     | 0.03%             | 2030-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                                   | Chase Home Lending Mortgage Trust, Series 2019-ATR1, Class A1                                      | CUSIP: 16158RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4369 | PA      | $4026.88      | 0.00%             | 2049-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                        | UBS Group AG                                                                                       | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    213000 | PA      | $204165.13    | 0.17%             | 2028-05-12      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                                               | Lockheed Martin Corp.                                                                              | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18784.28     | 0.02%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Ctfs.                       | Structured Asset Securities Corp. Mortgage Pass-Through Ctfs., Series 2003-34A, Class 5A5          | CUSIP: 86359A5N9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33647 | PA      | $30570.48     | 0.03%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                                                         | Visio Trust, Series 2020-1R, Class A1                                                              | CUSIP: 92837MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60725 | PA      | $54918.38     | 0.05%             | 2055-11-25      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Twilio Inc.                                                                         | Twilio Inc.                                                                                        | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |     29000 | PA      | $23597.30     | 0.02%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust, Series 2022-LBA6, Class A                                                                | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $309709.50    | 0.26%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                          | Fannie Mae Interest STRIPS, IO                                                                     | CUSIP: 31364HS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      6171 | PA      | $596.51       | 0.00%             | 2028-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                           | MFA Trust, Series 2021-INV2, Class A1                                                              | CUSIP: 552732AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287684 | PA      | $236213.63    | 0.20%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                             | UnitedHealth Group Inc.                                                                            | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    373000 | PA      | $385283.75    | 0.33%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                    | United States Treasury Note/Bond                                                                   | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1862600 | PA      | $1850522.19   | 1.56%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc.                                                                      | AEP Texas Inc.                                                                                     | CUSIP: 00108WAG5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    162000 | PA      | $152212.93    | 0.13%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                                   | Duke Energy Corp.                                                                                  | CUSIP: 26441CBW4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     88000 | PA      | $87659.56     | 0.07%             | 2027-12-08      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                            | Fannie Mae Connecticut Avenue Securities, Series 2022-R04, Class 1M1                               | CUSIP: 20753YCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180262 | PA      | $179710.90    | 0.15%             | 2042-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                      | Citigroup Inc.                                                                                     | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10920.25     | 0.01%             | N/A             | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Progressive Corp. (The)                                                             | Progressive Corp. (The)                                                                            | CUSIP: 743315AY9<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1844.26      | 0.00%             | 2027-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                                  | State Street Corp.                                                                                 | CUSIP: 857477BV4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25021.37     | 0.02%             | 2033-08-04      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                               | Sumitomo Mitsui Financial Group, Inc.                                                              | CUSIP: 86562MCJ7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $154771.82    | 0.13%             | 2031-09-17      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                               | Athene Global Funding                                                                              | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     13000 | PA      | $11747.80     | 0.01%             | 2026-11-12      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                                  | State Street Corp.                                                                                 | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     67000 | PA      | $69310.41     | 0.06%             | 2028-11-04      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                                   | Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3                                      | CUSIP: 16159GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23398 | PA      | $20909.04     | 0.02%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                                       | Banc of America Funding Trust, Series 2007-C, Class 1A4                                            | CUSIP: 059522AW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10618 | PA      | $9995.66      | 0.01%             | 2036-05-20      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                                | American Express Co.                                                                               | CUSIP: 025816CS6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4555.88      | 0.00%             | 2027-03-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments, L.P.                                                        | Mid-America Apartments, L.P.                                                                       | CUSIP: 59523UAU1<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1284.74      | 0.00%             | 2051-09-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Kaiser Foundation Hospitals                                                         | Kaiser Foundation Hospitals, Series 2021                                                           | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    205000 | PA      | $149365.10    | 0.13%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       375 | PA      | $38.37        | 0.00%             | 2032-04-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Co.                                                                 | Ameren Illinois Co.                                                                                | CUSIP: 02361DAZ3<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     80000 | PA      | $87399.88     | 0.07%             | 2052-12-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                        | Barclays PLC                                                                                       | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    342000 | PA      | $359394.13    | 0.30%             | 2033-11-02      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                    | Federal Home Loan Mortgage Corp.                                                                   | CUSIP: 31298EX67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2608 | PA      | $2705.78      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                                   | Fannie Mae REMICs, IO                                                                              | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     47101 | PA      | $4729.30      | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                          | Cooperatieve Rabobank U.A.                                                                         | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $427285.91    | 0.36%             | 2033-04-06      | Variable      | 3.76%                 | No            |                  2 | On Loan: —       |
| BPCE S.A.                                                                           | BPCE S.A.                                                                                          | CUSIP: 05578AAW8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $245032.14    | 0.21%             | 2025-01-14      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III L.P.                                                    | Hertz Vehicle Financing III L.P., Series 2021-2A, Class B                                          | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103000 | PA      | $88452.55     | 0.07%             | 2027-12-27      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Lehman Structured Securities Corp.                                                  | Lehman Structured Securities Corp., Series 2002-GE1, Class A                                       | CUSIP: 52518RBE5<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |      9564 | PA      | $1395.31      | 0.00%             | 2024-07-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                     | Goldman Sachs Group, Inc. (The), Series FRN                                                        | CUSIP: 38141GXN9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    282000 | PA      | $271659.19    | 0.23%             | 2026-12-09      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** AIM Variable Insurance Funds (Invesco Variable Insurance Funds)

**Signature:** Sheri Morris

**Name of Signer:** Sheri Morris

**Title:** President