# EDGAR Filing Document

**Accession Number:** 0001724826
**File Stem:** 0001752724-23-040933
**Filing Date:** 2023-2
**Character Count:** 140720
**Document Hash:** 5dec7ac5d752d53bff8b6dbd79cd9f72
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-040933.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-040933

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Six Circles Trust
- **CENTRAL INDEX KEY:** 0001724826
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23325
- **FILM NUMBER:** 23670590

**BUSINESS ADDRESS:**
- **STREET 1:** C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
- **STREET 2:** 383 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179
- **BUSINESS PHONE:** 212-270-6000

**MAIL ADDRESS:**
- **STREET 1:** C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
- **STREET 2:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 23Wall Trust
- **DATE OF NAME CHANGE:** 20171208

## Series and Classes Contracts Data

### Six Circles Tax Aware Ultra Short Duration Fund (Series ID: S000061648)

| Class ID   | Class Name                                      | Ticker Symbol   |
|:---|:---|:---|
| C000199640 | Six Circles Tax Aware Ultra Short Duration Fund | CUTAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SIX CIRCLES TRUST

- **b. Investment Company Act file number:** 811-23325

- **c. CIK number of Registrant:** 0001724826

- **d. LEI of Registrant:** 549300NG19QZK8S0N704

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

  - **Street Address 1:** 383 Madison Ave

  - **City:** NY

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10179

  - **Telephone number:** 212-464-2070

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

- **a. Name of Series:** Six Circles Tax Aware Ultra Short Duration Fund

- **b. EDGAR series identifier (if any):** S000061648

- **c. LEI of Series:** 549300JM9VEQKW8WTZ21

**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:** $571963902.92

**Total Liabilities:** $8163769.72

**Net Assets:** $563800133.20

**Cash Not Reported:** $3220890.22

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2349.57887200 | **1-Year:** 22859.43881900 | **5-Year:** 9244.82723600 | **10-Year:** 1069.95655700 | **30-Year:** 153.06652600

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

- **3-Month:** 271.47490700 | **1-Year:** 129.95116900 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000199640 | 0.17%                | 0.35%                | 0.35%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-288827.25              | $-203772.75                                |
| Month 2  | $-219158.74              | $3779744.57                                |
| Month 3  | $24258.44                | $554637.66                                 |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GSMBS 2021-RPL1  V/R 12/25/60   | GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021 SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.75000000 | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    263296 | NS      | $238231.38    | 0.04%             | 2060-12-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GMCAR 2022-3 A2B V/R 09/16/25   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST  SER 2022-3 CL A2B V/R REGD 4.40799000      | CUSIP: 36265WAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | NS      | $901042.47    | 0.16%             | 2025-09-16      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY I V/R 09/15/23  | DOMINION ENERGY INC REGD V/R SER D 5.29900000                                                  | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    800000 | NS      | $798418.21    | 0.14%             | 2023-09-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL IN 0.95% 02/15/24  | BERRY GLOBAL INC REGD 0.95000000                                                               | CUSIP: 08576PAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1137169.91   | 0.20%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| SAINT LOUIS MO ARP 5% 07/01/24  | SAINT LOUIS MO ARPT REVENUE REGD N/C B/E AGM 5.00000000                                        | CUSIP: 791638D63<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | NS      | $2057747.20   | 0.36%             | 2024-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OSCAR 2019-2A  2.68% 08/12/24   | OSCAR US FUNDING XI LLC SER 2019-2A CL A4 REGD 144A P/P 2.68000000                             | CUSIP: 68784EAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JP        |    259760 | NS      | $254560.92    | 0.05%             | 2026-09-10      | Fixed         | 2.68%                 | Yes           |                  2 | On Loan: No      |
| GMALT 2022-3 A 4.01% 01/20/24   | GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-3 SER 2022-3 CL A2A REGD 4.01000000                 | CUSIP: 380130AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $991995.10    | 0.18%             | 2024-10-21      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| SALT LAKE CITY UT  5% 02/01/25  | SALT LAKE CITY UT PUBLIC UTILS REGD N/C B/E 5.00000000                                         | CUSIP: 795604BW6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1550000 | NS      | $1622497.22   | 0.29%             | 2025-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASU ZCP 01/16/23/JPY/  | JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1113 0.00000000                                    | CUSIP: J2S39LWX8<br>LEI: N/A                  | Long             | STIV             | USGA              | JP        | 390000000 | PA      | $2971808.62   | 0.53%             | 2023-01-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN Q V/R 12/16/24/AUD/  | TRANSURBAN QLD FINANCE /AUD/ REGD V/R REG S MTN 5.23840000                                     | CUSIP: Q8803EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   1000000 | NS      | $689701.02    | 0.12%             | 2024-12-16      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA 4% 06/29/23      | LOS ANGELES CA REGD N/C B/E 4.00000000                                                         | CUSIP: 544351QM4<br>LEI: 549300E7TO710PTXPJ65 | Long             | STIV             | MUN               | US        |   5000000 | PA      | $5025703.50   | 0.89%             | 2023-06-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JERSEY CITY NJ RED 4% 12/15/24  | JERSEY CITY NJ REDEV AGY REGD N/C B/E MUN GOV 4.00000000                                       | CUSIP: 476637AP8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5350000 | NS      | $5473345.86   | 0.97%             | 2024-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MISSOURI ST HLTH  V/R 06/01/36  | MISSOURI ST HLTH & EDUCTNL FAC REGD V/R B/E 3.40000000                                         | CUSIP: 60637AMU3<br>LEI: 549300IWTBCMX5JB3277 | Long             | DBT              | MUN               | US        |   4235000 | NS      | $4235000.00   | 0.75%             | 2036-06-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| THOMSON REUTERS DISC 01/25/23   | THOMSON REUTERS DISC 01/25/23 0.00000000                                                       | CUSIP: 88513BNR7<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1700000 | PA      | $1694489.79   | 0.30%             | 2023-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL CME CDS SAL USD | CASH COLLATERAL CME CDS SAL USD 4.23000000                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    236000 | NS      | $236000.00    | 0.04%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNR 2022-H01 FA V/R 01/20/72    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-H01 CL FA V/R 4.17571000                     | CUSIP: 38382YKM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    776788 | NS      | $746422.83    | 0.13%             | 2072-01-20      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| BMWC 202 3.649% 02/20/24 /CAD/  | BMW CANADA AUTO TRUST SER 2022-1A CL A1 REGD 144A P/P /CAD/ 3.64900000                         | CUSIP: 05570XBX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    660705 | NS      | $483207.41    | 0.09%             | 2024-12-20      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| KINDER MORGAN  5.625% 11/15/23  | KINDER MORGAN INC REGD P/P 5.62500000                                                          | CUSIP: 49456BAB7<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1500795.59   | 0.27%             | 2023-11-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| AVON 2X A V/R 09/20/23 /GBP/    | AVON FINANCE NO 2 PLC SER 2X CL A V/R REGD REG S /GBP/ 4.22855000                              | CUSIP: G06848AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    132511 | NS      | $157261.81    | 0.03%             | 2048-09-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY T 5% 11/01/23  | NEW YORK CITY NY TRANSITIONAL REGD N/C B/E 5.00000000                                          | CUSIP: 64971XYW2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | NS      | $1017553.10   | 0.18%             | 2023-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                             | JPY/USD FWD 20230117 000011553 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-318701.52   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| NRZT 2018-3A A1 V/R 05/25/58    | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3 SER 2018-3A CL A1 V/R REGD 144A P/P 4.50000000      | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    117034 | NS      | $109964.58    | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| PRET 2021-NPL6 A V/R 11/25/54   | PRET 2021-NPL6 LLC SER 2021-NPL6 CL A1 V/R REGD 144A P/P 2.48710000                            | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    477806 | NS      | $441702.12    | 0.08%             | 2051-07-25      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FORT WORTH TX INDE 5% 02/15/25  | FORT WORTH TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000                                   | CUSIP: 349461BA0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1150000 | NS      | $1204838.56   | 0.21%             | 2025-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SK BROADBAND C 3.875% 08/13/23  | SK BROADBAND CO LTD REGD REG S 3.87500000                                                      | CUSIP: Y8065GAU6<br>LEI: N/A                  | Long             | DBT              | CORP              | KR        |    200000 | NS      | $198272.00    | 0.04%             | 2023-08-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJ 0.7% 05/21/24  | FED CAISSES DESJARDINS REGD 144A P/P 0.70000000                                                | CUSIP: 31429KAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1100000 | NS      | $1030797.77   | 0.18%             | 2024-05-21      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| SK HYNIX INC 1% 01/19/24        | SK HYNIX INC REGD 144A P/P 1.00000000                                                          | CUSIP: 78392BAA5<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    300000 | NS      | $285011.59    | 0.05%             | 2024-01-19      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 11/29/23  | GOLDMAN SACHS GROUP INC REGD V/R MTN 6.33386000                                                | CUSIP: 38141EB81<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1400000 | NS      | $1410684.20   | 0.25%             | 2023-11-29      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S V/R 09/12/23    | DANSKE BANK A/S REGD V/R REG S EMTN 5.79514000                                                 | CUSIP: 23636BAP4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    600000 | NS      | $600051.25    | 0.11%             | 2023-09-12      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| NEW HAMPSHIRE ST  V/R 07/01/33  | NEW HAMPSHIRE ST HLTH & EDU FA REGD V/R B/E 3.40000000                                         | CUSIP: 644614N88<br>LEI: 549300CNCK7OT82W5653 | Long             | DBT              | MUN               | US        |   6000000 | NS      | $6000000.00   | 1.06%             | 2033-07-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN  2.875% 04/16/24  | SAUDI ARABIAN OIL CO REGD REG S EMTN 2.87500000                                                | CUSIP: M8237RAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | SA        |   1600000 | NS      | $1549920.00   | 0.27%             | 2024-04-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CASH COLL ISDA V/R 12/31/49     | CASH COLLATERAL ISDA BSP USD 4.23000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    196000 | NS      | $196000.00    | 0.03%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 05/16/24       | BARCLAYS PLC REGD V/R MTN 6.02386000                                                           | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1300000 | NS      | $1299783.37   | 0.23%             | 2024-05-16      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST SPL 4% 05/01/23  | CONNECTICUT ST SPL TAX OBLIG R REGD N/C B/E 4.00000000                                         | CUSIP: 207758B36<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1530000 | NS      | $1535213.63   | 0.27%             | 2023-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE 3.7% 09/15/26  | WOODSIDE FINANCE LT REGD REG S 3.70000000                                                      | CUSIP: Q98236AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   1000000 | NS      | $936119.43    | 0.17%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| HUMANA INC DISC 01/10/23        | HUMANA INC DISC 01/10/23 0.00000000                                                            | CUSIP: 44486JNA3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1200000 | PA      | $1198286.88   | 0.21%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORDF 2020-1 A1 0.7% 09/15/23   | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2020-1 CL A1 REGD 0.70000000                    | CUSIP: 34528QHK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1700000 | NS      | $1645106.49   | 0.29%             | 2025-09-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE  V/R 12/15/23  | BAYER US FINANCE II LLC REGD V/R 144A P/P 5.77900000                                           | CUSIP: 07274NAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | NS      | $3492103.55   | 0.62%             | 2023-12-15      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| GNR 2021-H09 FG V/R 06/20/71    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-H09 CL FG V/R 5.32571000                     | CUSIP: 38380Q4V1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1461794 | NS      | $1494821.45   | 0.27%             | 2071-06-20      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CO 5% 11/12/24  | ISRAEL ELECTRIC CORP LTD REGD SER 6 5.00000000                                                 | CUSIP: 465077AK1<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |    300000 | NS      | $296625.00    | 0.05%             | 2024-11-12      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| SES SA 3.6% 04/04/23            | SES SA REGD P/P 3.60000000                                                                     | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |   1400000 | NS      | $1387405.05   | 0.25%             | 2023-04-04      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| CGCMT 2021-KEYS  V/R 10/15/23   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS SER 2021-KEYS CL A V/R REGD 144A P/P 5.49800000  | CUSIP: 17291GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | NS      | $868889.34    | 0.15%             | 2036-10-15      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| DIST OF COLUMBIA  V/R 11/01/45  | DIST OF COLUMBIA REVENUE REGD V/R B/E 3.58000000                                               | CUSIP: 25483VAE4<br>LEI: 549300HWFOZXPKGOX654 | Long             | DBT              | MUN               | US        |   2325000 | NS      | $2325000.00   | 0.41%             | 2045-11-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST  V/R 07/01/46  | MASSACHUSETTS ST DEV FIN AGY R REGD V/R B/E 3.65000000                                         | CUSIP: 57583R6H3<br>LEI: 549300UZSVMFXJK08K70 | Long             | DBT              | MUN               | US        |   5700000 | NS      | $5700000.00   | 1.01%             | 2046-07-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| ELFI 2021-A A 1.53% 12/26/46    | ELFI GRADUATE LOAN PROGRAM 2021-A LLC SER 2021-A CL A REGD 144A P/P 1.53000000                 | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    901135 | NS      | $788219.16    | 0.14%             | 2046-12-26      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| PRK 2017-280P A V/R 09/15/19    | 280 PARK AVENUE 2017-280P MORTGAGE TRUST SER 2017-280P CL A V/R REGD 144A P/P 5.11700000       | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | NS      | $487394.70    | 0.09%             | 2034-09-15      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| SAN ANTONIO TX IND 5% 08/15/24  | SAN ANTONIO TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000                                  | CUSIP: 796269K49<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1375000 | NS      | $1423794.90   | 0.25%             | 2024-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIV OF NEW MEXIC V/R 06/01/26  | UNIV OF NEW MEXICO NM REGD V/R B/E 3.35000000                                                  | CUSIP: 914692WL8<br>LEI: 549300WZXG6PIBC7KB43 | Long             | DBT              | MUN               | US        |   7045000 | NS      | $7045000.00   | 1.25%             | 2026-06-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY V/R 08/01/44        | NEW YORK NY REGD V/R B/E 3.58000000                                                            | CUSIP: 64966MFY0<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   1090000 | NS      | $1090000.00   | 0.19%             | 2044-08-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST EC 4% 10/15/23  | PENNSYLVANIA ST ECON DEV FING REGD N/C B/E 4.00000000                                          | CUSIP: 70870JCN6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    700000 | NS      | $703817.87    | 0.12%             | 2023-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY 5% 08/01/24         | NEW YORK NY REGD N/C B/E 5.00000000                                                            | CUSIP: 64966QPL8<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   1015000 | NS      | $1050548.35   | 0.19%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 06/15/23/AUD/  | BARCLAYS PLC /AUD/ REGD V/R REG S 4.96690000                                                   | CUSIP: G0809LHP7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    750000 | NS      | $511005.45    | 0.09%             | 2023-06-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG S V/R 03/08/24  | NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 3.76600000                                           | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1400000 | NS      | $1392391.62   | 0.25%             | 2024-03-08      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| N/A                             | CDX 2I65BYDX0 01.000 SP 12/20/2025 SBNYUS33XXX FLOAT                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-28303.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VMWARE INC 0.6% 08/15/23        | VMWARE INC REGD 0.60000000                                                                     | CUSIP: 928563AG0<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1300000 | NS      | $1265995.30   | 0.22%             | 2023-08-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| CNTRL VLY WTR RECL 5% 03/01/24  | CNTRL VLY WTR RECLAMATION FAC REGD N/C B/E 5.00000000                                          | CUSIP: 155796AX3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    500000 | NS      | $512367.45    | 0.09%             | 2024-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GCOLT 20 0.641% 03/20/24 /CAD/  | GMF CANADA LEASING TRUST SER 2021-1A CL A2 REGD 144A P/P /CAD/ 0.64100000                      | CUSIP: 36252MCE8<br>LEI: 549300KHZQ7YBTEOJU80 | Long             | ABS-CBDO         | CORP              | CA        |    143334 | NS      | $105503.45    | 0.02%             | 2024-03-20      | Fixed         | 0.64%                 | Yes           |                  2 | On Loan: No      |
| ALLEN TX INDEP SCH 5% 02/15/23  | ALLEN TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000                                        | CUSIP: 018106TV6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1205000 | NS      | $1207678.47   | 0.21%             | 2023-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM A 4% 10/01/23  | NEW YORK ST DORM AUTH REVENUES REGD N/C B/E 4.00000000                                         | CUSIP: 64990G6M9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   2805000 | NS      | $2828926.93   | 0.50%             | 2023-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV 0.8% 09/24/24     | JDE PEET'S NV REGD 144A P/P 0.80000000                                                         | CUSIP: 47216QAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    400000 | NS      | $365508.66    | 0.06%             | 2024-09-24      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| SAN FRANCISCO CAL V/R 05/01/58  | SAN FRANCISCO CALIF CITY &CNTY REGD V/R B/E 3.10000000                                         | CUSIP: 79766DLB3<br>LEI: 54930055TIDYHNDP4F84 | Long             | DBT              | MUN               | US        |  10000000 | NS      | $10000000.00  | 1.77%             | 2058-05-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| WILLIAMSON CNTY TX 4% 02/15/23  | WILLIAMSON CNTY TX REGD N/C B/E 4.00000000                                                     | CUSIP: 9698875Z7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2315000 | NS      | $2317548.58   | 0.41%             | 2023-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST HL V/R 07/01/42  | CONNECTICUT ST HLTH & EDUCTNL REGD V/R B/E 2.75000000                                          | CUSIP: 20775DTS1<br>LEI: 549300ZOQJ5U8YBS5Q35 | Long             | DBT              | MUN               | US        |   4000000 | NS      | $4000000.00   | 0.71%             | 2042-07-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-NQM5 A V/R 11/25/59   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM5 SER 2019-NQM5 CL A1 V/R REGD 144A P/P 2.70986000 | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    277255 | NS      | $249459.10    | 0.04%             | 2059-11-25      | Variable      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| UNIV OF CALIFORNI V/R 05/15/48  | UNIV OF CALIFORNIA CA REVENUES REGD V/R B/E 2.40000000                                         | CUSIP: 91412GSJ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4800000 | NS      | $4800000.00   | 0.85%             | 2048-05-15      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL4 A V/R 12/27/60   | CSMC 2021-RPL4 TRUST SER 2021-RPL4 CL A1 V/R REGD 144A P/P 1.79561000                          | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    317468 | NS      | $290243.36    | 0.05%             | 2060-12-27      | Variable      | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FIRST ABU DH V/R 02/18/25/AUD/  | FIRST ABU DHABI BANK PJS /AUD/ REGD V/R MTN 4.14500000                                         | CUSIP: M4289DSG7<br>LEI: 2138002Y3WMK6RZS8H90 | Long             | DBT              | CORP              | AE        |    700000 | NS      | $472913.12    | 0.08%             | 2025-02-18      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITI 5% 01/01/24  | SALES TAX SECURITIZATION CORP REGD N/C B/E 5.00000000                                          | CUSIP: 79467BDZ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2700000 | NS      | $2752923.51   | 0.49%             | 2024-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST HS V/R 11/15/48  | CONNECTICUT ST HSG FIN AUTH HS REGD V/R B/E 3.58000000                                         | CUSIP: 20775CZK3<br>LEI: 5493003DXX0NRJKSH186 | Long             | DBT              | MUN               | US        |   5680000 | NS      | $5680000.00   | 1.01%             | 2048-11-15      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP V/R 08/30/23    | NORDEA BANK ABP REGD V/R 144A P/P 5.67486000                                                   | CUSIP: 65557CAZ6<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    200000 | NS      | $200229.59    | 0.04%             | 2023-08-30      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI CAPITA 4.125% 06/08/23  | HYUNDAI CAPITAL AMERICA REGD REG S 4.12500000                                                  | CUSIP: 44891CAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | NS      | $397560.00    | 0.07%             | 2023-06-08      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.25% 06/15/23  | PACIFIC GAS & ELECTRIC REGD 3.25000000                                                         | CUSIP: 694308HC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | NS      | $197767.37    | 0.04%             | 2023-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                             | IRS RUS3MPUS1M 01/13/23 SBNYUS33 FLOAT                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $23531.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PPSI 2005-WCW2 M V/R 07/25/35   | PARK PLACE SECURITIES INC ASSET-BACKED PASS-THROUG SER 2005-WCW2 CL M2 V/R REGD 5.18371000     | CUSIP: 70069FLH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    761201 | NS      | $745225.91    | 0.13%             | 2035-07-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                             | ILS/USD FWD 20230302 000006038 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3072.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2015-H04 FA V/R 12/20/64    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H04 CL FA V/R 3.49350000                     | CUSIP: 38378U8L4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1140388 | NS      | $1117335.97   | 0.20%             | 2064-12-20      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERG DISC 02/01/23    | DOMINION ENERG DISC 02/01/23 0.00000000                                                        | CUSIP: 2574P1P14<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000000 | PA      | $995722.80    | 0.18%             | 2023-02-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FKH 2020-SFR2 1.266% 11/17/25   | FIRSTKEY HOMES 2020-SFR2 TRUST SER 2020-SFR2 CL A REGD 144A P/P 1.26600000                     | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    889994 | NS      | $789325.45    | 0.14%             | 2037-10-19      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| SMI 2022-1A 1A V/R 04/21/24     | SILVERSTONE MASTER ISSUER PLC SER 2022-1A CL 1A V/R REGD 144A P/P 4.03266000                   | CUSIP: 82846GAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    700000 | NS      | $697021.50    | 0.12%             | 2070-01-21      | Variable      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| CITM 2007-1 1A V/R 08/25/24     | CIT MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 1A V/R REGD 144A P/P 5.73871000                   | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108169 | NS      | $107551.24    | 0.02%             | 2037-10-25      | Variable      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| ALASKA ST HSG FIN V/R 12/01/40  | ALASKA ST HSG FIN CORP HOME MT REGD V/R B/E 3.65000000                                         | CUSIP: 01170PDX1<br>LEI: 549300HJ8NOJNYW6ER36 | Long             | DBT              | MUN               | US        |   2400000 | NS      | $2400000.00   | 0.43%             | 2040-12-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FRANKLIN CNTY OH  V/R 07/01/29  | FRANKLIN CNTY OH HOSP REVENUE REGD V/R B/E 3.62000000                                          | CUSIP: 3531863Q0<br>LEI: 549300VCBUC1RZE7KL42 | Long             | DBT              | MUN               | US        |   2300000 | NS      | $2300000.00   | 0.41%             | 2029-07-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GMALT 2022-2 A 2.93% 10/21/24   | GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-2 SER 2022-2 CL A2 REGD 2.93000000                  | CUSIP: 36266FAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    764829 | NS      | $755987.65    | 0.13%             | 2024-10-21      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERAL 4.25% 09/14/23  | SOCIETE GENERALE REGD 144A P/P MTN 4.25000000                                                  | CUSIP: 83368RAL6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | NS      | $495575.55    | 0.09%             | 2023-09-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI CAPITAL 1.25% 09/18/23  | HYUNDAI CAPITAL AMERICA REGD REG S 1.25000000                                                  | CUSIP: 44891CBM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | NS      | $96913.26     | 0.02%             | 2023-09-18      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| AREIT 2019-CRE3  V/R 01/14/22   | AREIT 2019-CRE3 TRUST SER 2019-CRE3 CL A V/R REGD 144A P/P 5.71020000                          | CUSIP: 00217LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23476 | NS      | $22961.20     | 0.00%             | 2036-09-14      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| ENEL FINANCE IN 4.25% 06/15/25  | ENEL FINANCE INTL NV REGD 144A P/P 4.25000000                                                  | CUSIP: 29278GAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    300000 | NS      | $290732.40    | 0.05%             | 2025-06-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| MSBAM 2013-C11 A V/R 04/15/23   | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUS SER 2013-C11 CL AAB V/R REGD 3.84500000      | CUSIP: 61762TAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85814 | NS      | $85429.67     | 0.02%             | 2046-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM A 5% 10/01/23  | NEW YORK ST DORM AUTH REVENUES REGD N/C B/E ST AID 5.00000000                                  | CUSIP: 64990GAK8<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   1245000 | NS      | $1264683.57   | 0.22%             | 2023-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEACOAST FL UTILIT 5% 03/01/23  | SEACOAST FL UTILITY AUTH REGD N/C B/E 5.00000000                                               | CUSIP: 81170TEA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2215000 | NS      | $2221912.35   | 0.39%             | 2023-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST 5% 01/01/25    | MASSACHUSETTS ST REGD N/C B/E 5.00000000                                                       | CUSIP: 57582RWF9<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |   2000000 | NS      | $2091663.40   | 0.37%             | 2025-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/ 5.375% 01/12/24  | DANSKE BANK A/S REGD REG S 5.37500000                                                          | CUSIP: 23636BAT6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1100000 | NS      | $1091187.98   | 0.19%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TEXAS ST 5% 04/01/25            | TEXAS ST REGD N/C B/E 5.00000000                                                               | CUSIP: 8827234H9<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |   3000000 | NS      | $3152016.00   | 0.56%             | 2025-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49    | CASH COLLATERAL USD 4.23000000                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |    -68000 | NS      | $-68000.00    | -0.01%            | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C4 3.091% 09/10/25   | CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4 SER 2016-C4 CL ASB REGD 3.09100000                     | CUSIP: 12531YAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    661969 | NS      | $635781.48    | 0.11%             | 2058-05-10      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| INDIANA ST MUNI P V/R 01/01/42  | INDIANA ST MUNI PWR AGY REGD V/R B/E 3.62000000                                                | CUSIP: 454898XD4<br>LEI: AX0ZCCVOQ71Z4RXBL233 | Long             | DBT              | MUN               | US        |   1300000 | NS      | $1300000.00   | 0.23%             | 2042-01-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISS V/R 05/26/23/AUD/  | CREDIT SUISSE/SYDNEY /AUD/ REGD V/R MTN 4.25980000                                             | CUSIP: Q2R8CZKP5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |   2500000 | NS      | $1689418.92   | 0.30%             | 2023-05-26      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                             | CDX 2I65BYDY8 01.000 BP 06/20/2026 SBNYUS33XXX FLOAT                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-115105.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CCCIT 2017-A5 A5 V/R 04/22/24   | CITIBANK CREDIT CARD ISSUANCE TRUST SER 2017-A5 CL A5 V/R REGD 4.98129000                      | CUSIP: 17305EGD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $1000253.30   | 0.18%             | 2026-04-22      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| MF1 2021-W10 A V/R 12/15/24     | MF1 2021-W10X SER 2021-W10 CL A V/R REGD 144A P/P 5.40632700                                   | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | NS      | $848887.02    | 0.15%             | 2034-12-15      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| LOS ANGELES CA DE V/R 07/01/34  | LOS ANGELES CA DEPT WTR & PWR REGD V/R B/E 3.00000000                                          | CUSIP: 544495DN1<br>LEI: 549300S8NXV6YU61GG95 | Long             | DBT              | MUN               | US        |   5500000 | NS      | $5500000.00   | 0.98%             | 2034-07-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GARLAND TX ELEC UT 5% 03/01/25  | GARLAND TX ELEC UTILITY SYS RE REGD N/C B/E 5.00000000                                         | CUSIP: 366133NG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2190000 | NS      | $2284957.52   | 0.41%             | 2025-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2022-8 D 2% 08/25/38        | FANNIE MAE REMICS SER 2022-8 CL D 2.00000000                                                   | CUSIP: 3136BLW30<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1567367 | NS      | $1420874.26   | 0.25%             | 2038-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA ST BRD OF  5% 07/01/25  | FLORIDA ST BRD OF EDU LOTTERY REGD N/C B/E 5.00000000                                          | CUSIP: 341507P54<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | NS      | $2108319.00   | 0.37%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC V/R 06/12/24           | AT&T INC REGD V/R 5.91514000                                                                   | CUSIP: 00206RGD8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    800000 | NS      | $805716.89    | 0.14%             | 2024-06-12      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ST CLG BL 5% 02/01/24  | VIRGINIA ST CLG BLDG AUTH EDUC REGD N/C B/E 5.00000000                                         | CUSIP: 927781QV9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1285000 | NS      | $1315183.24   | 0.23%             | 2024-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HERTZ 2022-3A  3.37% 03/25/24   | HERTZ VEHICLE FINANCING III LLC SER 2022-3A CL A REGD 144A P/P 3.37000000                      | CUSIP: 42806MAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | NS      | $97489.95     | 0.02%             | 2025-03-25      | Fixed         | 3.37%                 | Yes           |                  2 | On Loan: No      |
| ISRAEL MAKAM ZCP 03/02/23/ILS/  | ISRAEL MAKAM BILL /ILS/ REGD ZCP SER 0313 0.00000000                                           | CUSIP: M1R796FU6<br>LEI: N/A                  | Long             | STIV             | USGA              | IL        |    330000 | PA      | $93354.95     | 0.02%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 3.7% 05/09/23  | GENERAL MOTORS FINL CO REGD 3.70000000                                                         | CUSIP: 37045XBK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1194047.90   | 0.21%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-HY2 A1 V/R 05/25/58   | TOWD POINT MORTGAGE TRUST 2019-HY2 SER 2019-HY2 CL A1 V/R REGD 144A P/P 5.38871000             | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    309676 | NS      | $306768.43    | 0.05%             | 2058-05-25      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| SREIT 2021-IND A V/R 10/15/23   | SREIT TRUST 2021-IND SER 2021-IND CL A V/R REGD 144A P/P 5.01800000                            | CUSIP: 78473JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | NS      | $96018.30     | 0.02%             | 2038-10-15      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| BANCO BILBAO V 0.875% 09/18/23  | BANCO BILBAO VIZCAYA ARG REGD 0.87500000                                                       | CUSIP: 05946KAH4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   1800000 | NS      | $1743071.99   | 0.31%             | 2023-09-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST HLT 4% 07/01/23  | CONNECTICUT ST HLTH & EDUCTNL REGD N/C B/E 4.00000000                                          | CUSIP: 20775DJY9<br>LEI: 549300ZOQJ5U8YBS5Q35 | Long             | DBT              | MUN               | US        |    550000 | NS      | $550598.95    | 0.10%             | 2023-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SGSHR 1A A V/R 11/17/25 /GBP/   | SAGE AR FUNDING NO 1 PLC SER 1A CL A V/R REGD 144A P/P /GBP/ 4.27569000                        | CUSIP: G7770JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    800000 | NS      | $924700.67    | 0.16%             | 2030-11-17      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| OHIO ST MENTAL HLT 5% 02/01/24  | OHIO ST MENTAL HLTH CAPITAL FA REGD N/C B/E 5.00000000                                         | CUSIP: 677587DL8<br>LEI: 5493005LEB5E170OMX59 | Long             | DBT              | MUN               | US        |    500000 | NS      | $511155.85    | 0.09%             | 2024-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VMC 2021-FL4 A V/R 06/16/36     | VMC FINANCE 2021-FL4 LLC SER 2021-FL4 CL A V/R REGD 144A P/P 5.43914000                        | CUSIP: 91835RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    297176 | NS      | $286340.85    | 0.05%             | 2036-06-16      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NOMURA HOLDING 1.851% 07/16/25  | NOMURA HOLDINGS INC REGD 1.85100000                                                            | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2300000 | NS      | $2097882.19   | 0.37%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| OREGON ST DEPT OF  5% 04/01/24  | OREGON ST DEPT OF ADMIN SVCS L REGD N/C B/E 5.00000000                                         | CUSIP: 68607V2E4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1100000 | NS      | $1129317.20   | 0.20%             | 2024-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FASTR 20 1.162% 08/15/24 /CAD/  | FORD AUTO SECURITIZATION TRUST 2021-A SER 2021-AA CL A2 REGD 144A P/P /CAD/ 1.16200000         | CUSIP: 345213JH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    572024 | NS      | $410363.94    | 0.07%             | 2025-10-15      | Fixed         | 1.16%                 | Yes           |                  2 | On Loan: No      |
| NEW JERSEY ST HGR  5% 12/01/23  | NEW JERSEY ST HGR EDU ASSISTAN REGD N/C B/E AMT 5.00000000                                     | CUSIP: 646080VQ1<br>LEI: 5493007OOYUHTF8GSL63 | Long             | DBT              | MUN               | US        |    300000 | NS      | $303814.11    | 0.05%             | 2023-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  JUN24     | FUTURE CONTRACT ON           3 MONTH SOFR FUT  JUN24 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -133 | NC      | $-31996475.00 | -5.68%            |  |  |  | No            |                  1 | On Loan: No      |
| GNR 2019-54 KF V/R 05/20/44     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-54 CL KF V/R 2.50000000                      | CUSIP: 38381R7J2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    437303 | NS      | $416392.60    | 0.07%             | 2044-05-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ALBEMARLE CNTY VA V/R 10/01/48  | ALBEMARLE CNTY VA ECON DEV AUT REGD V/R B/E 3.50000000                                         | CUSIP: 012663AM2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4350000 | NS      | $4350000.00   | 0.77%             | 2048-10-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SNOHOMISH CNTY WA  5% 12/01/23  | SNOHOMISH CNTY WA SCH DIST #6M REGD N/C B/E SCH BD 5.00000000                                  | CUSIP: 833136QL1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | NS      | $1019466.90   | 0.18%             | 2023-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AOZORA BANK 1.05% 09/09/24      | AOZORA BANK REGD REG S 1.05000000                                                              | CUSIP: J0172K8V2<br>LEI: X0XUGKC9FD2CYUQNC010 | Long             | DBT              | CORP              | JP        |   1100000 | NS      | $1016884.00   | 0.18%             | 2024-09-09      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC 2.95% 05/15/23       | LEIDOS INC REGD SER WI 2.95000000                                                              | CUSIP: 52532XAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | NS      | $992004.56    | 0.18%             | 2023-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLB 0.96% 03/05/26             | FEDERAL HOME LOAN BANKS 0.96000000                                                             | CUSIP: 3130ALHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2400000 | NS      | $2153401.61   | 0.38%             | 2026-03-05      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| COOK CNTY IL 5% 11/15/23        | COOK CNTY IL REGD N/C B/E 5.00000000                                                           | CUSIP: 213185LQ2<br>LEI: 5493004UMR7OX4YITE10 | Long             | DBT              | MUN               | US        |   2250000 | NS      | $2280694.95   | 0.40%             | 2023-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 05/18/24  | HSBC HOLDINGS PLC REGD V/R 5.67429000                                                          | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    800000 | NS      | $796787.65    | 0.14%             | 2024-05-18      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| STAR 2020-3 A1 V/R 04/25/65     | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 SER 2020-3 CL A1 V/R REGD 144A P/P 1.48600000       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    258456 | NS      | $236603.08    | 0.04%             | 2065-04-25      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| LLOYDS BANKI V/R 03/20/23/AUD/  | LLOYDS BANKING GROUP PLC /AUD/ REGD V/R MTN 4.50720000                                         | CUSIP: G55365GP2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    300000 | NS      | $204220.76    | 0.04%             | 2023-03-20      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| UNIV OF MICHIGAN  V/R 12/01/24  | UNIV OF MICHIGAN MI REGD V/R B/E 3.50000000                                                    | CUSIP: 914455MB3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2170000 | NS      | $2170000.00   | 0.38%             | 2024-12-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS AG AUSTR V/R 07/30/25/AUD/  | UBS AG AUSTRALIA /AUD/ REGD V/R REG S SER . 3.95630000                                         | CUSIP: Q9T799BR8<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |   2200000 | NS      | $1493586.65   | 0.26%             | 2025-07-30      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS 3.8% 01/10/24       | BNP PARIBAS REGD REG S EMTN 3.80000000                                                         | CUSIP: 05581LAB5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | NS      | $196568.70    | 0.03%             | 2024-01-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NEW HAMPSHIRE ST  V/R 09/01/32  | NEW HAMPSHIRE ST HLTH & EDU FA REGD V/R B/E 3.65000000                                         | CUSIP: 644614N21<br>LEI: 549300CNCK7OT82W5653 | Long             | DBT              | MUN               | US        |   1965000 | NS      | $1965000.00   | 0.35%             | 2032-09-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FSQ 2020-2A V/R 06/16/70 /GBP/  | FINSBURY SQUARE 2020-2 PLC SER 2020-2A CL A V/R REGD 144A P/P /GBP/ 4.51507000                 | CUSIP: G345AHAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    218577 | NS      | $264252.84    | 0.05%             | 2070-06-16      | Variable      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| PWNE 2021-1 A2 1.1% 02/15/25    | PAWNEEE EQUIPMENT RECEIVABLES SERIES 2021-1 LLC SER 2021-1 CL A2 REGD 144A P/P 1.10000000      | CUSIP: 704100AB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    835185 | NS      | $801173.47    | 0.14%             | 2027-07-15      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| ROCHESTER MN HLTH V/R 11/15/38  | ROCHESTER MN HLTH CARE FACS RE REGD V/R B/E 3.60000000                                         | CUSIP: 771902FB4<br>LEI: 549300006EX3INSHXA95 | Long             | DBT              | MUN               | US        |   3000000 | NS      | $3000000.00   | 0.53%             | 2038-11-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| HIGHLANDS CNTY FL V/R 11/15/37  | HIGHLANDS CNTY FL HLTH FACS AU REGD V/R B/E 3.66000000                                         | CUSIP: 431022KG6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2800000 | NS      | $2800000.00   | 0.50%             | 2037-11-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNR 2020-29 FC V/R 05/25/50     | FANNIE MAE REMICS SER 2020-29 CL FC V/R 3.49924100                                             | CUSIP: 3136B9TM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1719080 | NS      | $1726427.25   | 0.31%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC DISC 01/17/23        | FISERV INC DISC 01/17/23 0.00000000                                                            | CUSIP: 33774LNH7<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1800000 | PA      | $1795825.80   | 0.32%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACH V/R 05/02/24/AUD/  | GOLDMAN SACHS GROUP INC /AUD/ REGD V/R REG S MTN 4.60450000                                    | CUSIP: Q4164JAN4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | NS      | $341289.06    | 0.06%             | 2024-05-02      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FSQ 2019-3  V/R 12/16/69 /GBP/  | FINSBURY SQUARE 2019-3 PLC SER 2019-3 CL A V/R REGD REG S /GBP/ 4.22507000                     | CUSIP: G345AEAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    118636 | NS      | $143311.68    | 0.03%             | 2069-12-16      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC V/R 11/01/23  | AMERICAN ELECTRIC POWER REGD V/R SER A 4.91957000                                              | CUSIP: 025537AS0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1300000 | NS      | $1293996.13   | 0.23%             | 2023-11-01      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| PRET 2021-RN1 A1 V/R 07/25/24   | PRETIUM MORTGAGE CREDIT PARTNERS LLC SER 2021-RN1 CL A1 V/R REGD 144A P/P 1.99170000           | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    252847 | NS      | $228247.18    | 0.04%             | 2061-02-25      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| PHILADELPHIA PA WT 5% 06/01/25  | PHILADELPHIA PA WTR & WSTWTR R REGD N/C B/E 5.00000000                                         | CUSIP: 717893X55<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1355000 | NS      | $1421580.23   | 0.25%             | 2025-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY V/R 10/01/46        | NEW YORK NY REGD V/R B/E 3.40000000                                                            | CUSIP: 64966MSB6<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   2000000 | NS      | $2000000.00   | 0.35%             | 2046-10-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| UNIV OF TEXAS TX V/R 08/01/39   | UNIV OF TEXAS TX REGD V/R B/E 3.55000000                                                       | CUSIP: 915137U35<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |  19400000 | NS      | $19400000.00  | 3.44%             | 2039-08-01      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| AHT1 2018-KEYS A V/R 06/15/20   | ASHFORD HOSPITALITY TRUST 2018-KEYS SER 2018-KEYS CL A V/R REGD 144A P/P 5.31800000            | CUSIP: 04410CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | NS      | $481334.70    | 0.09%             | 2035-06-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FLORIDA ST GULF C V/R 02/01/39  | FLORIDA ST GULF COAST UNIV FIN REGD V/R B/E 3.66000000                                         | CUSIP: 34073XCL0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3340000 | NS      | $3340000.00   | 0.59%             | 2039-02-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| WICHITA FALLS TX W 5% 08/01/24  | WICHITA FALLS TX WTR & SWR REV REGD N/C B/E 5.00000000                                         | CUSIP: 967222US7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1540000 | NS      | $1592969.84   | 0.28%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.85% 11/15/23  | PACIFIC GAS & ELECTRIC REGD 3.85000000                                                         | CUSIP: 694308HE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | NS      | $394259.36    | 0.07%             | 2023-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELEC  DISC 01/04/23    | AMERICAN ELEC  DISC 01/04/23 0.00000000                                                        | CUSIP: 0255E3N46<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    500000 | PA      | $499683.80    | 0.09%             | 2023-01-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| F/C US 10YR ULTRA FUT MAR23     | FUTURE CONTRACT ON           US 10YR ULTRA FUT MAR23 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -40 | NC      | $-4731250.00  | -0.84%            |  |  |  | No            |                  1 | On Loan: No      |
| CALIFORNIA PUBLIC V/R 08/01/52  | CALIFORNIA PUBLIC FIN AUTH REV REGD V/R B/E 2.20000000                                         | CUSIP: 13057EBE3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | NS      | $2000000.00   | 0.35%             | 2052-08-01      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                             | AUD/USD FWD 20230216 000016440 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10272.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                             | CDX 2I65BYDZ5 01.000 BP 12/20/2026 SBNYUS33XXX FLOAT                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-221625.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LANCASTER PA HGR E 5% 10/01/23  | LANCASTER PA HGR EDU AUTH REGD N/C B/E BAM 5.00000000                                          | CUSIP: 514328HK2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    600000 | NS      | $608909.22    | 0.11%             | 2023-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI  0.8% 09/16/24  | SUMITOMO MITSUI TR BK LT REGD 144A P/P MTN 0.80000000                                          | CUSIP: 86563VAW9<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |    400000 | NS      | $369655.58    | 0.07%             | 2024-09-16      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| BWAY 2021-1450 A V/R 09/15/23   | BWAY 2021-1450 MORTGAGE TRUST SER 2021-1450 CL A V/R REGD 144A P/P 5.56787000                  | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | NS      | $485196.40    | 0.09%             | 2036-09-15      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| AT&T INC V/R 09/19/23/AUD/      | AT&T INC /AUD/ REGD V/R 4.45140000                                                             | CUSIP: U04644DD6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    800000 | NS      | $546037.19    | 0.10%             | 2023-09-19      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| OHIO ST HOSP FAC  V/R 01/01/52  | OHIO ST HOSP FAC REVENUE REGD V/R B/E 3.60000000                                               | CUSIP: 677561KZ4<br>LEI: 5493005LEB5E170OMX59 | Long             | DBT              | MUN               | US        |  14000000 | NS      | $14000000.00  | 2.48%             | 2052-01-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT  V/R 02/01/24  | CHARTER COMM OPT LLC/CAP REGD V/R 6.08957000                                                   | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | NS      | $1707827.11   | 0.30%             | 2024-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC /  5.45% 06/15/23  | DELL INT LLC / EMC CORP REGD 5.45000000                                                        | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | NS      | $600374.51    | 0.11%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  0.8% 04/03/23  | HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 0.80000000                                           | CUSIP: 44891ABU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1186004.56   | 0.21%             | 2023-04-03      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| KOMATSU FINANC 0.849% 09/09/23  | KOMATSU FINANCE AMERICA REGD REG S 0.84900000                                                  | CUSIP: U50040ED9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | NS      | $970125.36    | 0.17%             | 2023-09-09      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FI V/R 07/26/23  | MITSUBISHI UFJ FIN GRP REGD V/R 5.18686000                                                     | CUSIP: 606822AZ7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2500000 | NS      | $2504255.40   | 0.44%             | 2023-07-26      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL N 4.5% 08/15/23  | CNH INDUSTRIAL NV REGD 4.50000000                                                              | CUSIP: 12594KAA0<br>LEI: 549300WGC2HZ5J67V817 | Long             | DBT              | CORP              | NL        |   1700000 | NS      | $1689199.53   | 0.30%             | 2023-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KANSAI ELECTRIC 2.55% 09/17/24  | KANSAI ELECTRIC POWER CO REGD REG S 2.55000000                                                 | CUSIP: J30169LT1<br>LEI: 353800PFUKP5ONPJNZ86 | Long             | DBT              | CORP              | JP        |   1800000 | NS      | $1713726.00   | 0.30%             | 2024-09-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S C V/R 03/08/24/AUD/  | MCDONALD'S CORP /AUD/ REGD V/R MTN 4.25220000                                                  | CUSIP: U58013DD9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    600000 | NS      | $409165.57    | 0.07%             | 2024-03-08      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| OSCAR 2021-1A A 0.4% 02/10/23   | OSCAR US FUNDING XII LLC SER 2021-1A CL A2 REGD 144A P/P 0.40000000                            | CUSIP: 68785AAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JP        |    125494 | NS      | $124883.86    | 0.02%             | 2024-03-11      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| OCBC/SYDNEY V/R 08/12/24/AUD/   | OCBC/SYDNEY /AUD/ REGD V/R MTN 3.29300000                                                      | CUSIP: Q7S56EAV1<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |   1000000 | NS      | $676459.08    | 0.12%             | 2024-08-12      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| NEW MEXICO ST FIN  5% 06/15/25  | NEW MEXICO ST FIN AUTH ST TRAN REGD N/C B/E 5.00000000                                         | CUSIP: 64711RMK9<br>LEI: 549300L6217Y7X40SP94 | Long             | DBT              | MUN               | US        |   2795000 | NS      | $2943520.71   | 0.52%             | 2025-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST FIN A V/R 01/01/37  | ILLINOIS ST FIN AUTH REVENUE REGD V/R B/E 3.70000000                                           | CUSIP: 45200B3G1<br>LEI: 549300ZG6UBPNNNRN315 | Long             | DBT              | MUN               | US        |   1770000 | NS      | $1770000.00   | 0.31%             | 2037-01-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| ROCHESTER MN HLTH V/R 11/15/38  | ROCHESTER MN HLTH CARE FACS RE REGD V/R B/E 3.60000000                                         | CUSIP: 771902FC2<br>LEI: 549300006EX3INSHXA95 | Long             | DBT              | MUN               | US        |   3900000 | NS      | $3900000.00   | 0.69%             | 2038-11-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC 1% 01/19/24        | SK HYNIX INC REGD REG S 1.00000000                                                             | CUSIP: Y8085FAZ3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   1000000 | NS      | $950038.64    | 0.17%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL OI V/R 07/16/23  | KOREA NATIONAL OIL CORP REGD V/R REG S EMTN SER GMTN 4.95414000                                | CUSIP: Y48216AB4<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |    500000 | NS      | $500545.00    | 0.09%             | 2023-07-16      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| SMB 2020-PTA A2 1.6% 09/15/54   | SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SER 2020-PTA CL A2A REGD 144A P/P 1.60000000        | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    520107 | NS      | $462386.47    | 0.08%             | 2054-09-15      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| JAPAN TREASU ZCP 01/11/23/JPY/  | JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1111 0.00000000                                    | CUSIP: J2S39LWV2<br>LEI: N/A                  | Long             | STIV             | USGA              | JP        |  90000000 | PA      | $685786.39    | 0.12%             | 2023-01-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX MUN 5% 02/01/23  | SAN ANTONIO TX MUNI DRAIN UTIL REGD N/C B/E 5.00000000                                         | CUSIP: 796311CR7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | NS      | $1001487.40   | 0.18%             | 2023-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICA V/R 05/15/25  | VERIZON COMMUNICATIONS REGD V/R 5.70614000                                                     | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    900000 | NS      | $907136.89    | 0.16%             | 2025-05-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL12 A V/R 08/19/38    | BDS 2022-FL12 LLC SER 2022-FL12 CL A V/R REGD 144A P/P 6.46106000                              | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | NS      | $888399.45    | 0.16%             | 2038-08-19      | Variable      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN CO V/R 05/10/23        | SOUTHERN CO REGD V/R SER 2021 3.08121000                                                       | CUSIP: 842587DK0<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1400000 | NS      | $1396176.26   | 0.25%             | 2023-05-10      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| ORANGE CNTY FL HL V/R 01/01/39  | ORANGE CNTY FL HLTH FACS AUTH REGD V/R B/E 3.45000000                                          | CUSIP: 6845036V2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1900000 | NS      | $1900000.00   | 0.34%             | 2039-01-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| MCCT 2021-1A A 0.53% 05/21/24   | MASTER CREDIT CARD TRUST SER 2021-1A CL A REGD 144A P/P 0.53000000                             | CUSIP: 576339CJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    900000 | NS      | $845355.42    | 0.15%             | 2025-11-21      | Fixed         | 0.53%                 | Yes           |                  2 | On Loan: No      |
| BRITISH TELECOMM 4.5% 12/04/23  | BRITISH TELECOMMUNICATIO REGD 4.50000000                                                       | CUSIP: 111021AM3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    400000 | NS      | $396530.86    | 0.07%             | 2023-12-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CANBY 1 A2 V/R 05/16/56 /GBP/   | CANTERBURY FINANCE NO 1 PLC SER 1 CL A2 V/R REGD REG S /GBP/ 4.37370000                        | CUSIP: G1825MAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    445343 | NS      | $537259.82    | 0.10%             | 2056-05-16      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| PIEDMONT SC MUNI P 5% 01/01/23  | PIEDMONT SC MUNI PWR AGY ELEC REGD N/C B/E 5.00000000                                          | CUSIP: 720175A40<br>LEI: 549300C7VOBGIG4OD375 | Long             | DBT              | MUN               | US        |   2250000 | NS      | $2250000.00   | 0.40%             | 2023-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-121 PE 3% 07/20/46     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-121 CL PE 3.00000000                         | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    194771 | NS      | $186137.41    | 0.03%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAYNE CNTY MI ARPT 4% 12/01/23  | WAYNE CNTY MI ARPT AUTH REVENU REGD N/C B/E AMT 4.00000000                                     | CUSIP: 944514YH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  12715000 | NS      | $12761814.09  | 2.26%             | 2023-12-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| LLOYDS BANKING  4.05% 08/16/23  | LLOYDS BANKING GROUP PLC REGD 4.05000000                                                       | CUSIP: 539439AS8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1390000 | NS      | $1380516.50   | 0.24%             | 2023-08-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MAINE HLTH & HGR E 5% 07/01/23  | MAINE HLTH & HGR EDUCTNL FACS REGD N/C B/E AGM ST 5.00000000                                   | CUSIP: 56042RF49<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    550000 | NS      | $555129.58    | 0.10%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                             | AUD/USD FWD 20230216 000006038 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-64993.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TPAT 2021-SL1 A2 V/R 11/20/26   | TOWD POINT ASSET TRUST 2021-SL1 SER 2021-SL1 CL A2 V/R REGD 144A P/P 5.05286000                | CUSIP: 89179XAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    201345 | NS      | $198296.97    | 0.04%             | 2061-11-20      | Variable      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| TEXAS ST PUBLIC FI 5% 02/01/25  | TEXAS ST PUBLIC FIN AUTH LEASE REGD N/C B/E 5.00000000                                         | CUSIP: 882669AZ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2980000 | NS      | $3118766.38   | 0.55%             | 2025-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRIBOROUGH NY BRI V/R 01/01/32  | TRIBOROUGH NY BRIDGE & TUNNEL REGD V/R B/E 3.56000000                                          | CUSIP: 89602REB7<br>LEI: 54930020ZN4LQF7K3456 | Long             | DBT              | MUN               | US        |   1430000 | NS      | $1430000.00   | 0.25%             | 2032-01-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST 5% 07/01/23    | MASSACHUSETTS ST REGD N/C B/E 5.00000000                                                       | CUSIP: 57582RJS6<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |   4650000 | NS      | $4697921.04   | 0.83%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LMAT 2021-GS3 A1 V/R 07/25/61   | LEGACY MORTGAGE ASSET TRUST 2021-GS3 SER 2021-GS3 CL A1 V/R REGD 144A P/P 1.75000000           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1316351 | NS      | $1191664.70   | 0.21%             | 2061-07-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| NEW YORK ST DORM A 5% 07/01/23  | NEW YORK ST DORM AUTH REVENUES REGD N/C B/E 5.00000000                                         | CUSIP: 65000BAB4<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    500000 | NS      | $505103.80    | 0.09%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALASKA ST MUNI BON 5% 12/01/24  | ALASKA ST MUNI BOND BANK AUTH REGD N/C B/E AMT 5.00000000                                      | CUSIP: 01179RTP8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1215000 | NS      | $1254761.00   | 0.22%             | 2024-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MD SUB V/R 06/01/23  | WASHINGTON MD SUBURBAN SAN DIS REGD V/R B/E CNTY GT 3.65000000                                 | CUSIP: 940157WA4<br>LEI: 549300EZUWNTQF827C24 | Long             | DBT              | MUN               | US        |   7700000 | NS      | $7700000.00   | 1.37%             | 2023-06-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| COMET 2017-A5 A5 V/R 09/15/24   | CAPITAL ONE MULTI-ASSET EXECUTION TRUST SER 2017-A5 CL A5 V/R REGD 4.89786000                  | CUSIP: 14041NFP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $998209.30    | 0.18%             | 2027-07-15      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST V/R 05/01/33      | CALIFORNIA ST REGD V/R B/E 2.65000000                                                          | CUSIP: 13063BCW0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1445000 | NS      | $1445000.00   | 0.26%             | 2033-05-01      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| WASHINGTON CNTY OR 5% 06/15/24  | WASHINGTON CNTY OR SCH DIST #4 REGD N/C B/E SCH BD 5.00000000                                  | CUSIP: 938429Y50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | NS      | $2063018.00   | 0.37%             | 2024-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLMA 2004-10 A7B V/R 10/25/29   | SLM STUDENT LOAN TRUST 2004-10 SER 2004-10 CL A7B V/R 4.95843000                               | CUSIP: 78442GNK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    919314 | NS      | $912294.92    | 0.16%             | 2029-10-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS V/R 01/10/25        | BNP PARIBAS REGD V/R 144A P/P 4.70500000                                                       | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1300000 | NS      | $1287358.45   | 0.23%             | 2025-01-10      | Variable      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| HOUSTON TX UTILIT V/R 05/15/34  | HOUSTON TX UTILITY SYS REVENUE REGD V/R B/E 3.65000000                                         | CUSIP: 44244CRZ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5000000 | NS      | $5000000.00   | 0.89%             | 2034-05-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| DCENT 2017-A5 A5 V/R 06/15/24   | DISCOVER CARD EXECUTION NOTE TRUST SER 2017-A5 CL A5 V/R REGD 4.91786000                       | CUSIP: 254683CA1<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $999995.00    | 0.18%             | 2026-12-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| PWNE 2022-1 A2 4.84% 05/15/24   | PAWNEEE EQUIPMENT RECEIVABLES SERIES 2022-1 LLC SER 2022-1 CL A2 REGD 144A P/P 4.84000000      | CUSIP: 70410DAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | NS      | $892758.96    | 0.16%             | 2028-02-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 06/25/24  | NATWEST GROUP PLC REGD V/R 6.27386000                                                          | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    700000 | NS      | $700176.74    | 0.12%             | 2024-06-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE U S INC DISC 1/26/23   | ENBRIDGE U S INC DISC 1/26/23 0.00000000                                                       | CUSIP: 29251VNS1<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1800000 | PA      | $1793471.40   | 0.32%             | 2023-01-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCBC/SYDNEY V/R 03/18/24/AUD/   | OCBC/SYDNEY /AUD/ REGD V/R P/P MTN 3.55140000                                                  | CUSIP: Q7S56EAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    500000 | NS      | $339402.78    | 0.06%             | 2024-03-18      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| COOK CNTY IL 5% 11/15/24        | COOK CNTY IL REGD N/C B/E 5.00000000                                                           | CUSIP: 213185MS7<br>LEI: 5493004UMR7OX4YITE10 | Long             | DBT              | MUN               | US        |   5000000 | NS      | $5161073.50   | 0.92%             | 2024-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-3 A1 V/R 09/25/23     | GCAT 2020-3 LLC SER 2020-3 CL A1 V/R REGD 144A P/P 2.98140000                                  | CUSIP: 36168CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    634846 | NS      | $613117.49    | 0.11%             | 2025-09-25      | Variable      | 2.98%                 | Yes           |                  2 | On Loan: No      |
| OHIO ST UNIV V/R 12/01/44       | OHIO ST UNIV REGD V/R B/E 3.58000000                                                           | CUSIP: 677632E56<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |   6725000 | NS      | $6725000.00   | 1.19%             | 2044-12-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERA 3.875% 03/28/24  | SOCIETE GENERALE REGD 144A P/P MTN 3.87500000                                                  | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | NS      | $488527.41    | 0.09%             | 2024-03-28      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| ARIZONA BRD OF RG V/R 07/01/34  | ARIZONA BRD OF RGTS ST UNIV SY REGD V/R B/E 3.55000000                                         | CUSIP: 04048RAA4<br>LEI: 254900BLZ1MCZ5JLK411 | Long             | DBT              | MUN               | US        |  13295000 | NS      | $13295000.00  | 2.36%             | 2034-07-01      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| F/C US ULTRA BOND CBT MAR23     | FUTURE CONTRACT ON           US ULTRA BOND CBT MAR23 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-134312.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BRASS 8A A1 V/R 11/16/66        | BRASS NO 8 PLC SER 8A CL A1 V/R REGD 144A P/P 5.34386000                                       | CUSIP: 10554MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     40063 | NS      | $40054.61     | 0.01%             | 2066-11-16      | Variable      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| NORFOLK VA ECON D V/R 11/01/34  | NORFOLK VA ECON DEV AUTH HOSPF REGD V/R B/E 3.58000000                                         | CUSIP: 65588TAP4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   9440000 | NS      | $9440000.00   | 1.67%             | 2034-11-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV 5.25% 04/15/23    | STELLANTIS NV REGD SER WI 5.25000000                                                           | CUSIP: 31562QAF4<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |   1700000 | NS      | $1697790.00   | 0.30%             | 2023-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NSLT 2019-2A A V/R 09/25/32     | NELNET STUDENT LOAN TRUST 2019-2 SER 2019-2A CL A V/R 144A P/P 5.28871000                      | CUSIP: 64034NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    947084 | NS      | $936900.67    | 0.17%             | 2067-06-27      | Variable      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| NEW YORK CITY NY  V/R 08/01/42  | NEW YORK CITY NY TRANSITIONAL REGD V/R B/E 3.63000000                                          | CUSIP: 64971XHV3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3000000 | NS      | $3000000.00   | 0.53%             | 2042-08-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY V/R 10/01/46        | NEW YORK NY REGD V/R B/E 3.40000000                                                            | CUSIP: 64966MSD2<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   5000000 | NS      | $5000000.00   | 0.89%             | 2046-10-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| ORIX CORP 3.25% 12/04/24        | ORIX CORP REGD 3.25000000                                                                      | CUSIP: 686330AK7<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |    400000 | NS      | $385423.09    | 0.07%             | 2024-12-04      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LOWER COLORADO RIV 5% 05/15/23  | LOWER COLORADO RIVER TX AUTH T REGD N/C B/E 5.00000000                                         | CUSIP: 54811BWZ0<br>LEI: 549300QJFPW2NNBYR215 | Long             | DBT              | MUN               | US        |   1200000 | NS      | $1207700.64   | 0.21%             | 2023-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL SAL USD         | CASH COLLATERAL SAL USD 4.23000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    187000 | NS      | $187000.00    | 0.03%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BOEING CO 1.433% 02/04/24       | BOEING CO REGD 1.43300000                                                                      | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $955359.16    | 0.17%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| N/A                             | CAD/USD FWD 20230110 000011553 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10247.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLB 1.11% 07/27/26             | FEDERAL HOME LOAN BANKS 1.11000000                                                             | CUSIP: 3130ANCD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    600000 | NS      | $533096.84    | 0.09%             | 2026-07-27      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| CHELAN CNTY WA PU V/R 07/01/32  | CHELAN CNTY WA PUBLIC UTILITYD REGD V/R B/E 3.65000000                                         | CUSIP: 163103UP7<br>LEI: 5493004E8FN9GU2SU067 | Long             | DBT              | MUN               | US        |   8270000 | NS      | $8270000.00   | 1.47%             | 2032-07-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                             | IRS R03.55PSOFR 09/02/24 SBNYUS33XXX FIXED                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-74005.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEFT 2021-2 A3 0.53% 04/22/24   | DELL EQUIPMENT FINANCE TRUST 2021-2 SER 2021-2 CL A3 REGD 144A P/P 0.53000000                  | CUSIP: 24702VAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | NS      | $478997.75    | 0.08%             | 2026-12-22      | Fixed         | 0.53%                 | Yes           |                  2 | On Loan: No      |
| SOCIETE GENERA 2.625% 01/22/25  | SOCIETE GENERALE REGD 144A P/P MTN 2.62500000                                                  | CUSIP: 83368RAV4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    800000 | NS      | $752614.07    | 0.13%             | 2025-01-22      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| AREIT 2021-CRE5  V/R 07/17/26   | AREIT 2021-CRE5 TRUST SER 2021-CRE5 CL A V/R REGD 144A P/P 5.41914000                          | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    427995 | NS      | $410360.80    | 0.07%             | 2038-11-17      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| NEW MEXICO ST EDUC 5% 09/01/24  | NEW MEXICO ST EDUCTNL ASSISTAN REGD N/C B/E AMT 5.00000000                                     | CUSIP: 647110FN0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6750000 | NS      | $6919317.68   | 1.23%             | 2024-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.75% 02/15/24  | PACIFIC GAS & ELECTRIC REGD 3.75000000                                                         | CUSIP: 694308HG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | NS      | $97961.84     | 0.02%             | 2024-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                             | GBP/USD FWD 20230110 000006038 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-16388.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.25% 08/31/24     | UNITED STATES TREASURY NOTE 3.25000000                                                         | CUSIP: 91282CFG1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7100000 | NS      | $6954949.20   | 1.23%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 04/25/26  | WELLS FARGO & COMPANY REGD V/R MTN 3.78331000                                                  | CUSIP: 95000U2Y8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1200000 | NS      | $1196292.80   | 0.21%             | 2026-04-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG 0.55% 01/22/24  | NATIONWIDE BLDG SOCIETY REGD 144A P/P 0.55000000                                               | CUSIP: 63859UBG7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    400000 | NS      | $380189.75    | 0.07%             | 2024-01-22      | Fixed         | 0.55%                 | Yes           |                  2 | On Loan: No      |
| DIST OF COLUMBIA  V/R 04/01/41  | DIST OF COLUMBIA UNIV REVENUE REGD V/R B/E 3.63000000                                          | CUSIP: 25484JAQ3<br>LEI: 549300HWFOZXPKGOX654 | Long             | DBT              | MUN               | US        |   3495000 | NS      | $3495000.00   | 0.62%             | 2041-04-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| MFRA 2021-RPL1 A V/R 07/25/60   | MFA 2021-RPL1 TRUST SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.13130000                           | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    439770 | NS      | $385416.48    | 0.07%             | 2060-07-25      | Variable      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS & E 4.25% 08/01/23  | PACIFIC GAS & ELECTRIC REGD 4.25000000                                                         | CUSIP: 694308JB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | NS      | $795897.38    | 0.14%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX UTILIT V/R 05/15/34  | HOUSTON TX UTILITY SYS REVENUE REGD V/R B/E 3.64000000                                         | CUSIP: 44244CZH3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  16000000 | NS      | $16000000.00  | 2.84%             | 2034-05-15      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| PWNE 2022-1 A 3.809% 03/15/23   | PAWNEEE EQUIPMENT RECEIVABLES SERIES 2022-1 LLC SER 2022-1 CL A1 REGD 144A P/P 3.80900000      | CUSIP: 70410DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    201311 | NS      | $201110.11    | 0.04%             | 2023-08-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP IN V/R 10/27/23/AUD/  | CITIGROUP INC /AUD/ REGD V/R 4.77470000                                                        | CUSIP: U1R16GSU7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | NS      | $684283.40    | 0.12%             | 2023-10-27      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTIN  DISC  01/12/23  | BACARDI-MARTIN  DISC  01/12/23 0.00000000                                                      | CUSIP: 05634FNC9<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1700000 | PA      | $1697171.88   | 0.30%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                             | IRS R04.80PSOFR 11/07/24 SBNYUS33XXX FIXED                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $79447.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C US 5YR NOTE (CBT) MAR23     | FUTURE CONTRACT ON           US 5YR NOTE (CBT) MAR23 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -178 | NC      | $-19211484.46 | -3.41%            |  |  |  | No            |                  1 | On Loan: No      |
| LOS ANGELES CA DEP 5% 05/15/25  | LOS ANGELES CA DEPT OF ARPTS A REGD N/C B/E AMT 5.00000000                                     | CUSIP: 544445A41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2475000 | NS      | $2570646.38   | 0.46%             | 2025-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JEA FL WTR & SWR  V/R 10/01/36  | JEA FL WTR & SWR REVENUE REGD V/R B/E 3.60000000                                               | CUSIP: 46613PVY9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   8385000 | NS      | $8385000.00   | 1.49%             | 2036-10-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 1.7% 11/15/23  | PACIFIC GAS & ELECTRIC REGD 1.70000000                                                         | CUSIP: 694308JY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | NS      | $193553.75    | 0.03%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| TAOT 2022-C A2 3.83% 04/15/24   | TOYOTA AUTO RECEIVABLES 2022-C OWNER TRUST SER 2022-C CL A2A REGD 3.83000000                   | CUSIP: 89231CAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | NS      | $1485757.80   | 0.26%             | 2025-08-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST HL V/R 07/01/36  | CONNECTICUT ST HLTH & EDUCTNL REGD V/R B/E 2.75000000                                          | CUSIP: 20774LRT4<br>LEI: 549300ZOQJ5U8YBS5Q35 | Long             | DBT              | MUN               | US        |   2750000 | NS      | $2750000.00   | 0.49%             | 2036-07-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                             | IRS RUS3MPUS1M 01/13/23 SBNYUS33 FLOAT                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $30942.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2022-5 FA V/R 01/20/52      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-5 CL FA V/R 3.50000000                       | CUSIP: 38383FG98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    944888 | NS      | $837333.32    | 0.15%             | 2052-01-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MESQUITE TX 3% 02/15/23         | MESQUITE TX REGD N/C B/E 3.00000000                                                            | CUSIP: 59074PFP1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | NS      | $999850.60    | 0.18%             | 2023-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                             | IRS R04.25PSOFR 09/26/24 SBNYUS33XXX FIXED                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-556.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC 5.36% 11/22/24            | FEDERAL HOME LOAN MORTGAGE CORP 5.36000000                                                     | CUSIP: 3134GY3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1700000 | NS      | $1702915.91   | 0.30%             | 2024-11-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| GNR 2018-H18 FC V/R 08/20/65    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-H18 CL FC V/R 4.19157000                     | CUSIP: 38380LMV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1326986 | NS      | $1316903.00   | 0.23%             | 2065-08-20      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| CENTRL FL EXPRESSW 5% 07/01/23  | CENTRL FL EXPRESSWAY AUTH SR L REGD N/C B/E AGM 5.00000000                                     | CUSIP: 153476GG5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | NS      | $1010305.60   | 0.18%             | 2023-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND C 4.5% 09/15/23  | AERCAP IRELAND CAP/GLOBA REGD 4.50000000                                                       | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1100000 | NS      | $1092734.31   | 0.19%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRA 2021-2 V/R 07/20/60 /GBP/  | STRATTON MORTGAGE FUNDING SER 2021-2A CL A V/R REGD 144A P/P /GBP/ 3.67147000                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |    145860 | NS      | $174677.44    | 0.03%             | 2060-07-20      | Variable      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 05/21/25  | STANDARD CHARTERED PLC REGD V/R 3.78500000                                                     | CUSIP: 853254BN9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1700000 | NS      | $1641123.88   | 0.29%             | 2025-05-21      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| OHIO ST HGR EDUCT V/R 01/01/39  | OHIO ST HGR EDUCTNL FAC COMMIS REGD V/R B/E 3.60000000                                         | CUSIP: 67756DBB1<br>LEI: 5493007MQT6NGNN6BR81 | Long             | DBT              | MUN               | US        |   5000000 | NS      | $5000000.00   | 0.89%             | 2039-01-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| ATLANTA GA ARPT RE 5% 07/01/24  | ATLANTA GA ARPT REVENUE REGD N/C B/E AMT 5.00000000                                            | CUSIP: 04780MZH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    615000 | NS      | $630312.15    | 0.11%             | 2024-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA INC 5% 03/15/24             | HCA INC REGD 5.00000000                                                                        | CUSIP: 404119BN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | NS      | $497292.28    | 0.09%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  3.25% 01/05/23  | GENERAL MOTORS FINL CO REGD 3.25000000                                                         | CUSIP: 37045XCF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | NS      | $899946.02    | 0.16%             | 2023-01-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNR 2022-HJUL FA 0% 01/20/73    | GNR 2022-HJUL FA SOFR30A+90BP  ZCP REGD 0.00000000                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    400000 | NS      | $399875.00    | 0.07%             | 2073-01-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BOEING CO 4.508% 05/01/23       | BOEING CO REGD 4.50800000                                                                      | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1400000 | NS      | $1397395.02   | 0.25%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| CARMX 2022-4 A 5.34% 08/15/24   | CARMAX AUTO OWNER TRUST 2022-4 SER 2022-4 CL A2A REGD 5.34000000                               | CUSIP: 14318UAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | NS      | $701876.70    | 0.12%             | 2025-12-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| NCMS 2022-RRI A V/R 03/15/24    | NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST SER 2022-RRI CL A V/R REGD 144A P/P 6.15921000    | CUSIP: 63875JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | NS      | $874349.37    | 0.16%             | 2035-03-15      | Variable      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| JEA FL WTR & SWR R 5% 10/01/24  | JEA FL WTR & SWR REVENUE REGD B/E 5.00000000                                                   | CUSIP: 46613P2E5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3750000 | NS      | $3850555.13   | 0.68%             | 2024-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DES 2.05% 02/10/25  | FED CAISSES DESJARDINS REGD 144A P/P 2.05000000                                                | CUSIP: 31429KAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    500000 | NS      | $466280.09    | 0.08%             | 2025-02-10      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 03/11/25  | HSBC HOLDINGS PLC REGD V/R 5.96514000                                                          | CUSIP: 404280CA5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1000000 | NS      | $990996.43    | 0.18%             | 2025-03-11      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MIT V/R 10/16/24/AUD/  | SUMITOMO MITSUI FINL GRP /AUD/ REGD V/R REG S EMTN 4.19120000                                  | CUSIP: J7771XBV0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2400000 | NS      | $1629501.37   | 0.29%             | 2024-10-16      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| VERIZON COMM V/R 02/17/23/AUD/  | VERIZON COMMUNICATIONS /AUD/ REGD V/R MTN 4.26330000                                           | CUSIP: U9221ABH0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1500000 | NS      | $1021609.50   | 0.18%             | 2023-02-17      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| STAR 2021-2 A1 V/R 05/25/65     | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 SER 2021-2 CL A1 V/R REGD 144A P/P 0.94300000       | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    322693 | NS      | $297978.41    | 0.05%             | 2065-05-25      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| MISSOURI ST HLTH & 5% 06/01/24  | MISSOURI ST HLTH & EDUCTNL FAC REGD N/C B/E 5.00000000                                         | CUSIP: 60637AGG1<br>LEI: 549300IWTBCMX5JB3277 | Long             | DBT              | MUN               | US        |   2380000 | NS      | $2441123.64   | 0.43%             | 2024-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AREIT 2022-CRE6  V/R 11/17/24   | AREIT 2022-CRE6 TRUST SER 2022-CRE6 CL A V/R REGD 144A P/P 5.05832000                          | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    855618 | NS      | $819083.18    | 0.15%             | 2037-01-16      | Variable      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| W VLY-MISSION CA C 5% 08/01/24  | W VLY-MISSION CA CMNTY CLG DIS REGD N/C B/E 5.00000000                                         | CUSIP: 95640HKN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3000000 | NS      | $3106010.10   | 0.55%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NORTH CAROLINA ST  5% 02/01/24  | NORTH CAROLINA ST TURNPIKE AUT REGD N/C B/E 5.00000000                                         | CUSIP: 65830RCW7<br>LEI: 549300FCT1PN0GJGQ240 | Long             | DBT              | MUN               | US        |   3000000 | NS      | $3055738.80   | 0.54%             | 2024-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST 5% 03/01/23         | ILLINOIS ST REGD N/C B/E 5.00000000                                                            | CUSIP: 452153AB5<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    500000 | NS      | $501065.65    | 0.09%             | 2023-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IBRD 0.65% 02/10/26             | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT MTN SER GDIF 0.65000000                    | CUSIP: 459058JS3<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | USGA              | N/A       |   3400000 | NS      | $2954246.03   | 0.52%             | 2026-02-10      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| N/A                             | JPY/USD FWD 20230111 000011553 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-73456.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TULSA CNTY OK INDE 2% 03/01/23  | TULSA CNTY OK INDEP SCH DIST # REGD N/C B/E 2.00000000                                         | CUSIP: 899525UC1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2130000 | NS      | $2125137.64   | 0.38%             | 2023-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DIST OF COLUMBIA  V/R 04/01/41  | DIST OF COLUMBIA UNIV REVENUE REGD V/R B/E 3.63000000                                          | CUSIP: 25484JAP5<br>LEI: 549300HWFOZXPKGOX654 | Long             | DBT              | MUN               | US        |   1915000 | NS      | $1915000.00   | 0.34%             | 2041-04-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST HLTH 5% 07/01/24  | NEW JERSEY ST HLTH CARE FACS F REGD N/C B/E 5.00000000                                         | CUSIP: 645790PJ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6930000 | NS      | $7145463.40   | 1.27%             | 2024-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TALNT 2020-1A  1.35% 05/27/25   | TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2020-1 SER 2020-1A CL A REGD 144A P/P 1.35000000          | CUSIP: 89237JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1800000 | NS      | $1647882.36   | 0.29%             | 2033-05-25      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| ELECTRICI FRANCE DISC 01/20/23  | ELECTRICITE DE FRANCE DISCOUNT  COMMERCIAL PAPER 0.00000000                                    | CUSIP: 28504HNL4<br>LEI: N/A                  | Long             | STIV             | CORP              | FR        |   1700000 | PA      | $1695403.71   | 0.30%             | 2023-01-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  JUN23     | FUTURE CONTRACT ON           3 MONTH SOFR FUT  JUN23 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       470 | NC      | $111672000.00 | 19.81%            |  |  |  | No            |                  1 | On Loan: No      |
| LOS ANGELES CA DE V/R 07/01/34  | LOS ANGELES CA DEPT WTR & PWR REGD V/R B/E 3.00000000                                          | CUSIP: 544495DM3<br>LEI: 549300S8NXV6YU61GG95 | Long             | DBT              | MUN               | US        |   4000000 | NS      | $4000000.00   | 0.71%             | 2034-07-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NORFOLK VA ECON D V/R 11/01/34  | NORFOLK VA ECON DEV AUTH HOSPF REGD V/R B/E 3.62000000                                         | CUSIP: 65588TAQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6700000 | NS      | $6700000.00   | 1.19%             | 2034-11-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| PRET 2021-NPL3 A V/R 07/25/24   | PRET 2021-NPL3 LLC SER 2021-NPL3 CL A1 V/R REGD 144A P/P 1.86770000                            | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    778562 | NS      | $687915.15    | 0.12%             | 2051-07-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| US T BILL ZCP 02/02/23          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                     | CUSIP: 912796XT1<br>LEI: N/A                  | Long             | STIV             | UST               | US        |    296000 | PA      | $295060.86    | 0.05%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST HLT V/R 07/01/43  | NEW JERSEY ST HLTH CARE FACS F REGD V/R B/E 2.20000000                                         | CUSIP: 64579FYK3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3475000 | NS      | $3475000.00   | 0.62%             | 2043-07-01      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| SDART 2022-2 A 2.12% 06/15/23   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2 SER 2022-2 CL A2 REGD 2.12000000                 | CUSIP: 80286MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    375420 | NS      | $374249.51    | 0.07%             | 2026-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 02/16/23          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                     | CUSIP: 912796YA1<br>LEI: N/A                  | Long             | STIV             | UST               | US        |      1000 | PA      | $995.03       | 0.00%             | 2023-02-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HARRIS CNTY TX TOL 5% 08/15/23  | HARRIS CNTY TX TOLL ROAD REVEN REGD N/C B/E 5.00000000                                         | CUSIP: 41423PBG1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1600000 | NS      | $1620807.04   | 0.29%             | 2023-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 05/25/24  | MIZUHO FINANCIAL GROUP REGD V/R 5.38729000                                                     | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   3400000 | NS      | $3380677.80   | 0.60%             | 2024-05-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| TPMF 2019-A V/R 07/20/45 /GBP/  | TOWD POINT MORTGAGE FUNDING SER 2019-A13A CL A1 V/R REGD 144A P/P /GBP/ 0.00000000             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |    604512 | NS      | $720081.62    | 0.13%             | 2045-07-20      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| NEW YORK ST DORM A 4% 10/01/23  | NEW YORK ST DORM AUTH REVENUES REGD N/C B/E AGM 4.00000000                                     | CUSIP: 64990G5P3<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   1150000 | NS      | $1159809.62   | 0.21%             | 2023-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RC R/P BNP PA  4.310% 01/03/23  | RC R/P BNP PA  4.310% 01/03/23 4.31000000                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDIS V/R 04/03/23  | SOUTHERN CAL EDISON REGD V/R 4.96292200                                                        | CUSIP: 842400HA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | NS      | $1697451.68   | 0.30%             | 2023-04-03      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| MSC 2019-PLND A V/R 05/15/21    | MORGAN STANLEY CAPITAL I TRUST 2019-PLND SER 2019-PLND CL A V/R REGD 144A P/P 5.31800000       | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | NS      | $668806.46    | 0.12%             | 2036-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| BAMLL 2019-RLJ A V/R 04/15/36   | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUS SER 2019-RLJ CL A V/R REGD 144A P/P 5.36800000       | CUSIP: 05492HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | NS      | $390831.56    | 0.07%             | 2036-04-15      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| CCCIT 2018-A5 A5 V/R 08/07/25   | CITIBANK CREDIT CARD ISSUANCE TRUST SER 2018-A5 CL A5 V/R REGD 4.82729000                      | CUSIP: 17305EGP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | NS      | $999131.80    | 0.18%             | 2027-08-07      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| AMXCA 2022-2 A 3.39% 05/15/25   | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST SER 2022-2 CL A REGD 3.39000000                   | CUSIP: 02582JJT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | NS      | $1165656.36   | 0.21%             | 2027-05-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| IDAHO ST HLTH FAC V/R 03/01/48  | IDAHO ST HLTH FACS AUTH REVENU REGD V/R B/E 3.62000000                                         | CUSIP: 451295ZZ5<br>LEI: 549300X43KY1C2WW0J97 | Long             | DBT              | MUN               | US        |   4500000 | NS      | $4500000.00   | 0.80%             | 2048-03-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GARLAND TX INDEP S 5% 02/15/23  | GARLAND TX INDEP SCH DIST REGD N/C B/E PSF-GTD 5.00000000                                      | CUSIP: 366155H36<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1160000 | NS      | $1162578.45   | 0.21%             | 2023-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST URBAN  5% 03/15/24  | NEW YORK ST URBAN DEV CORP REV REGD N/C B/E 5.00000000                                         | CUSIP: 650035W79<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |   1630000 | NS      | $1671969.40   | 0.30%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CYPRESS-FAIRBANKS  5% 02/15/25  | CYPRESS-FAIRBANKS TX INDEP SCH REGD N/C B/E PSF-GTD 5.00000000                                 | CUSIP: 232769HY8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2140000 | NS      | $2241597.14   | 0.40%             | 2025-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DLLST 2022-1A  1.56% 05/22/23   | DLLST 2022-1 LLC SER 2022-1A CL A1 REGD 144A P/P 1.56000000                                    | CUSIP: 23292GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16348 | NS      | $16318.65     | 0.00%             | 2023-05-22      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| SMB 2016-C A2A 2.34% 08/15/25   | SMB PRIVATE EDUCATION LOAN TRUST 2016-C SER 2016-C CL A2A REGD 144A P/P 2.34000000             | CUSIP: 78449KAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    406398 | NS      | $387057.96    | 0.07%             | 2034-09-15      | Fixed         | 2.34%                 | Yes           |                  2 | On Loan: No      |
| TEXAS ST A & M UNI 5% 05/15/25  | TEXAS ST A & M UNIV REVENUES REGD N/C B/E 5.00000000                                           | CUSIP: 88213AGS8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3000000 | NS      | $3162837.30   | 0.56%             | 2025-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 03/02/23          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                     | CUSIP: 912796YB9<br>LEI: N/A                  | Long             | STIV             | UST               | US        |     23000 | PA      | $22842.93     | 0.00%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST THRUWA 5% 01/01/23  | NEW YORK ST THRUWAY AUTH REGD N/C B/E 5.00000000                                               | CUSIP: 650009V59<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   8905000 | NS      | $8905000.00   | 1.58%             | 2023-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHESH 2020- V/R 08/20/25 /GBP/  | CHESHIRE 2020-1 PLC SER 2020-1 CL A V/R REGD REG S /GBP/ 3.93485000                            | CUSIP: G2R3Z7AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    466348 | NS      | $553776.05    | 0.10%             | 2045-08-20      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| NRZT 2021-NQ2R A V/R 10/25/58   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021- SER 2021-NQ2R CL A1 V/R REGD 144A P/P 0.94054000     | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    636646 | NS      | $550906.36    | 0.10%             | 2058-10-25      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| AUSGRID FINANCE 3.85% 05/01/23  | AUSGRID FINANCE PTY LTD REGD 144A P/P 3.85000000                                               | CUSIP: 052113AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    700000 | NS      | $696430.00    | 0.12%             | 2023-05-01      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| LOS ANGELES CNTY C 4% 06/30/23  | LOS ANGELES CNTY CA REGD N/C B/E 4.00000000                                                    | CUSIP: 544657HZ5<br>LEI: 254900NGUPWO7FB6II89 | Long             | STIV             | MUN               | US        |   3000000 | PA      | $3016110.90   | 0.53%             | 2023-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC 0.625% 02/10/23    | 7-ELEVEN INC REGD 144A P/P 0.62500000                                                          | CUSIP: 817826AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | NS      | $1790774.19   | 0.32%             | 2023-02-10      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| ISRAEL ELECTRI 6.875% 06/21/23  | ISRAEL ELECTRIC CORP LTD REGD P/P 6.87500000                                                   | CUSIP: 46507MAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | IL        |    500000 | NS      | $502246.00    | 0.09%             | 2023-06-21      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| OSCAR 2021-2A  0.39% 07/10/23   | OSCAR US FUNDING XIII LLC SER 2021-2A CL A2 REGD 144A P/P 0.39000000                           | CUSIP: 68785BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JP        |    296667 | NS      | $292565.90    | 0.05%             | 2024-08-12      | Fixed         | 0.39%                 | Yes           |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Six Circles Trust

**Signature:** Gregory McNeil

**Name of Signer:** Gregory McNeil

**Title:** Treasurer/Principal Financial Officer