# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-23-009125
**Filing Date:** 2023-2
**Character Count:** 259027
**Document Hash:** dcd024ea9c43652827ca027d090f9577
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009125.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009125

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Variable Series Trust II
- **CENTRAL INDEX KEY:** 0001413032
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 23663099

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RiverSource Variable Series Trust
- **DATE OF NAME CHANGE:** 20070920

## Series and Classes Contracts Data

### CTIVP - American Century Diversified Bond Fund (Series ID: S000028684)

| Class ID   | Class Name                                             | Ticker Symbol   |
|:---|:---|:---|
| C000087786 | CTIVP - American Century Diversified Bond Fund Class 1 |  |
| C000087787 | CTIVP - American Century Diversified Bond Fund Class 2 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Columbia Funds Variable Series Trust II

- **b. Investment Company Act file number:** 811-22127

- **c. CIK number of Registrant:** 0001413032

- **d. LEI of Registrant:** 54930017CSZ4UCL7G406

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

  - **Street Address 1:** 290 Congress Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 800-345-6611

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

- **a. Name of Series:** CTIVP - American Century Diversified Bond Fund

- **b. EDGAR series identifier (if any):** S000028684

- **c. LEI of Series:** BU04ZZ3Q2TRF08VKW804

**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:** $2239532565.31

**Total Liabilities:** $1075851.32

**Net Assets:** $2238456713.99

**Cash Not Reported:** $653847.96

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 10.815000000000 | **1-Year:** 9171.352000000000 | **5-Year:** 92940.450400000000 | **10-Year:** 254547.425900000000 | **30-Year:** 448297.596200000000

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

- **3-Month:** 56.358700000000 | **1-Year:** 2772.023600000000 | **5-Year:** 2660.136399999990 | **10-Year:** 86354.197700000000 | **30-Year:** 114978.883500000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087786 | -1.68%               | 3.42%                | -0.77%               |
| Class ID C000087787 | -1.69%               | 3.32%                | -0.78%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-25838590.70            | $-8945263.74                               |
| Month 2  | $-26123007.17            | $90556731.07                               |
| Month 3  | $-5956162.49             | $-14197244.20                              |

**Designated Index Information**

- **Index Name:** BBG U.S. Aggregate Index

- **Index Identifier:** LEH_AGG

### Schedule of Portfolio Investments

| Name                                                             | Title                                                                 | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SA GLOBAL SUKUK LTD                                              | SA GLOBAL SUKUK LTD                                                   | CUSIP: 78397PAD3<br>LEI: N/A                  | Long             | DBT              | NUSS              | KY        |   7000000 | PA      | $5982633.30   | 0.27%             | 2031-06-17      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| SBL HOLDINGS LLC                                                 | SBL HOLDINGS LLC                                                      | CUSIP: 78432MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    548000 | PA      | $478321.24    | 0.02%             | 2026-11-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| STONEPEAK SALTT_21-1                                             | SALTT_21-1A                                                           | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4784041 | PA      | $4255863.17   | 0.19%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SLAM LLC SLAM_21-1                                               | SLAM_21-1A                                                            | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5024879 | PA      | $4157283.39   | 0.19%             | 2046-06-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                     | SABINE PASS LIQUEFACTION LLC                                          | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   3455000 | PA      | $3463174.22   | 0.15%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SACRAMENTO CALIF MUN UTIL DIST FING AUTH                         | Sacramento Municipal Utility District                                 | CUSIP: 786005PN2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    900000 | PA      | $977613.30    | 0.04%             | 2036-05-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD OPERATING PARTNERSHIP LP                                | SAFEHOLD OPERATING PARTNERSHIP LP                                     | CUSIP: 78646UAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3257000 | PA      | $2472687.46   | 0.11%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP INC                                      | SAMMONS FINANCIAL GROUP INC                                           | CUSIP: 79588TAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1055000 | PA      | $875939.05    | 0.04%             | 2032-04-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO REG AIRPORT                                            | San Diego County Regional Airport Authority                           | CUSIP: 79742GAF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    910000 | PA      | $883655.59    | 0.04%             | 2043-07-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| SAN FRANCISCO CALIF CITY & CNTY PUB UTILS COMMN                  | City of San Francisco CA Public Utilities Commission Water Revenue    | CUSIP: 79765RSV2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1050000 | PA      | $1128213.45   | 0.05%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANTA CLARA VY CALIF TRANSN AUTH                                 | Santa Clara Valley Transportation Authority                           | CUSIP: 80168NEP0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2220000 | PA      | $2302915.89   | 0.10%             | 2032-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA (KINGDOM OF)                                        | SAUDI ARABIA INTERNATIONAL                                            | CUSIP: 80413TBA6<br>LEI: N/A                  | Long             | DBT              | NUSS              | SA        |   2490000 | PA      | $2625140.32   | 0.12%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER INVESTMENT SA                                       | SCHLUMBERGER INVESTMENT SA                                            | CUSIP: 806854AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2090000 | PA      | $1791666.09   | 0.08%             | 2030-06-26      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES INTERNATIONAL                                   | SCIENTIFIC GAMES INTERNATIONAL INC                                    | CUSIP: 80874YBE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3281000 | PA      | $3148233.84   | 0.14%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                    | SEMPRA ENERGY                                                         | CUSIP: 816851BA6<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $2958988.51   | 0.13%             | 2027-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                   | SHELL INTERNATIONAL FINANCE BV                                        | CUSIP: 822582BF8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    240000 | PA      | $210238.71    | 0.01%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                   | SHELL INTERNATIONAL FINANCE BV                                        | CUSIP: 822582CD2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2170000 | PA      | $1876440.51   | 0.08%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SIERRA RECEIVABLES FUNDING COMPANY SRFC_19-2A                    | SRFC_19-2A                                                            | CUSIP: 82652MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1419445 | PA      | $1332188.86   | 0.06%             | 2036-05-20      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                  | DELTA AIR LINES/SKYMILES IP LTD                                       | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   2577000 | PA      | $2427299.83   | 0.11%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOLRR AIRCRAFT LLC SOLRR_21-1                                    | SOLRR_21-1                                                            | CUSIP: 83438LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |   7736911 | PA      | $6201600.41   | 0.28%             | 2046-10-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| SOLRR AIRCRAFT LLC SOLRR_21-1                                    | SOLRR_21-1                                                            | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |   2856447 | PA      | $2188017.58   | 0.10%             | 2046-10-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS COMPANY                                          | SONOCO PRODUCTS COMPANY                                               | CUSIP: 835495AN2<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |   2795000 | PA      | $2476599.72   | 0.11%             | 2027-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA (REPUBLIC OF)                                       | SOUTH AFRICA (REPUBLIC OF)                                            | CUSIP: 836205AY0<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |    800000 | PA      | $744377.06    | 0.03%             | 2030-06-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTH32 TREASURY LTD                                             | SOUTH32 TREASURY LTD                                                  | CUSIP: 84055BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   2125000 | PA      | $1825321.17   | 0.08%             | 2032-04-14      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                  | SOUTHERN CALIFORNIA GAS COMPANY                                       | CUSIP: 842434CX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1094000 | PA      | $1205213.15   | 0.05%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY GAS CAPITAL CORPORATION                         | SOUTHERN CO GAS CAPITAL CORP                                          | CUSIP: 8426EPAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2835000 | PA      | $2166569.34   | 0.10%             | 2031-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                           | SOUTHWESTERN ENERGY COMPANY                                           | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |   4742000 | PA      | $4312533.75   | 0.19%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                       | SPRINT CORP                                                           | CUSIP: 85207UAJ4<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |   5325000 | PA      | $5513669.54   | 0.25%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| STACK INFRASTRUCTURE ISSUER LLC SIDC_21-1A                       | SIDC_21-1A                                                            | CUSIP: 85236KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3999000 | PA      | $3453697.96   | 0.15%             | 2046-03-26      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                          | STANDARD INDUSTRIES INC                                               | CUSIP: 853496AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2646000 | PA      | $2167485.74   | 0.10%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR_20-2                          | STAR_20-2                                                             | CUSIP: 85573DBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4072460.50   | 0.18%             | 2060-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| START LTD STARR_19-1                                             | STARR_19-1                                                            | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5409829 | PA      | $4612900.70   | 0.21%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| STAR_20-3                                                        | STAR_20-3                                                             | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $2954852.40   | 0.13%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| SAR_04-8                                                         | SARM_04-8                                                             | CUSIP: 86359BWE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    585892 | PA      | $563003.24    | 0.03%             | 2034-07-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                       | SYSCO CORPORATION                                                     | CUSIP: 871829BL0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   5300000 | PA      | $5495870.14   | 0.25%             | 2030-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO TSYMP_17-1A                                     | TSYMP_17-1A                                                           | CUSIP: 87232BAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6700000 | PA      | $6321711.30   | 0.28%             | 2030-07-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                      | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5483000 | PA      | $5342162.57   | 0.24%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                      | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1915000 | PA      | $1643007.44   | 0.07%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                      | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4025000 | PA      | $3546345.71   | 0.16%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                      | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2520000 | PA      | $2182484.58   | 0.10%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL SA                                        | TELECOM ITALIA CAPITAL                                                | CUSIP: 87927VAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   3600000 | PA      | $2961322.52   | 0.13%             | 2033-11-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                         | TELEFONICA EMISIONES SAU                                              | CUSIP: 87938WAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |   1750000 | PA      | $1350053.58   | 0.06%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| TEMPUR SEALY INTERNATIONAL INC                                   | TEMPUR SEALY INTERNATIONAL INC                                        | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |   2336000 | PA      | $1828711.67   | 0.08%             | 2031-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TN VLY AUTHORITY                                                 | TENNESSEE VALLEY AUTHORITY                                            | CUSIP: 880591EX6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2100000 | PA      | $1648529.38   | 0.07%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                            | TIME WARNER CABLE INC                                                 | CUSIP: 88732JBD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3140000 | PA      | $2307944.21   | 0.10%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                        | TORONTO-DOMINION BANK/THE                                             | CUSIP: 89114TZJ4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1897000 | PA      | $1493341.22   | 0.07%             | 2031-09-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                        | TORONTO-DOMINION BANK                                                 | CUSIP: 89114TZQ8<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2000000 | PA      | $1617218.68   | 0.07%             | 2032-01-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                        | TORONTO-DOMINION BANK/THE                                             | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1094000 | PA      | $1039980.72   | 0.05%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                                                         | CUSIP: 893647BP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $966545.64    | 0.04%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TAH_20-SFR1                                | TAH_20-SFR1                                                           | CUSIP: 89613GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7400000 | PA      | $6430094.58   | 0.29%             | 2038-07-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TAH_20-SFR2                                | TAH_20-SFR2                                                           | CUSIP: 89613JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $6177883.50   | 0.28%             | 2039-11-17      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                            | TRUIST FINANCIAL CORP                                                 | CUSIP: 89788MAG7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    984000 | PA      | $942008.35    | 0.04%             | 2028-06-06      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                     | UBS GROUP AG                                                          | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4792000 | PA      | $4121800.56   | 0.18%             | 2027-08-10      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | US TII .375 07/15/23 (TIPS)                                           | CUSIP: 912828VM9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  16645200 | PA      | $16442939.35  | 0.73%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CDZ1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  28000000 | PA      | $26352812.64  | 1.18%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                | UNION ELECTRIC CO                                                     | CUSIP: 906548CU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1456000 | PA      | $1181864.12   | 0.05%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORPORATION                                        | UNION PACIFIC CORPORATION                                             | CUSIP: 907818FD5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   3225000 | PA      | $2660627.74   | 0.12%             | 2039-08-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CEP2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20000000 | PA      | $18437500.00  | 0.82%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CFF3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  33000000 | PA      | $30040312.50  | 1.34%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                              | UNITED AIR LINES INC 2021-1-B PTT                                     | CUSIP: 90932VAA3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   1636014 | PA      | $1540103.30   | 0.07%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                         | UNITED NATURAL FOODS INC                                              | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |   3140000 | PA      | $3020221.59   | 0.13%             | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS (NORTH AMERICA) INC                               | UNITED RENTALS NA INC                                                 | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2278550.00   | 0.10%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                       | US BANCORP                                                            | CUSIP: 91159HJJ0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1075053.97   | 0.05%             | 2033-10-21      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CFJ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3500000 | PA      | $3322812.50   | 0.15%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CFL0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5000000 | PA      | $4964062.50   | 0.22%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810QA9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5500000 | PA      | $5173437.50   | 0.23%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810QS0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2000000 | PA      | $1900937.50   | 0.08%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810QT8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6400000 | PA      | $5532000.00   | 0.25%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810QW1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  15000000 | PA      | $12623437.50  | 0.56%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CFV8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  17500000 | PA      | $17850000.00  | 0.80%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CFW6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  27000000 | PA      | $27170859.51  | 1.21%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810RD2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3000000 | PA      | $2815781.25   | 0.13%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810RE0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    900000 | PA      | $827296.88    | 0.04%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CFY2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  30000000 | PA      | $29798437.50  | 1.33%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CFZ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  75000000 | PA      | $74595703.50  | 3.33%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810RJ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  15000000 | PA      | $12414843.75  | 0.55%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810RZ3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3000000 | PA      | $2353593.75   | 0.11%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 91282CGA3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  55000000 | PA      | $54656250.00  | 2.44%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORPORATION                                | UNITED TECHNOLOGIES CORPORATION                                       | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   3575000 | PA      | $3426025.78   | 0.15%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SE9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   8500000 | PA      | $7534453.13   | 0.34%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SH2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5500000 | PA      | $4445546.88   | 0.20%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 912810SJ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7000000 | PA      | $4949218.75   | 0.22%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SK5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5000000 | PA      | $3637500.00   | 0.16%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC                                                | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   5270000 | PA      | $5458424.48   | 0.24%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC                                                | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1807759.36   | 0.08%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SQ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2000000 | PA      | $1245625.00   | 0.06%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810ST6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3000000 | PA      | $1952343.75   | 0.09%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CALIF REGTS MEDICAL CENTER POOLED REV                 | Regents of the University of California Medical Center Pooled Revenue | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1595000 | PA      | $1033631.93   | 0.05%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SERVICES INC                                    | UNIVERSAL HEALTH SERVICES INC                                         | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   4480000 | PA      | $3561822.52   | 0.16%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SU3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3800000 | PA      | $2427843.75   | 0.11%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SW9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3000000 | PA      | $2122500.00   | 0.09%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SERVICES INC                                    | UNIVERSAL HEALTH SERVICES INC                                         | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   3813000 | PA      | $3272868.23   | 0.15%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CALIFORNIA                                         | CA UNIV OF CALIFORNIA REV                                             | CUSIP: 91412HKE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2185000 | PA      | $1461877.09   | 0.07%             | 2051-05-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SX7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4500000 | PA      | $3244218.75   | 0.14%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SY5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9000000 | PA      | $6766875.00   | 0.30%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| VTR FINANCE NV                                                   | VTR FINANCE BV                                                        | CUSIP: 918374AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   3866000 | PA      | $1508956.55   | 0.07%             | 2028-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                | VENTURE GLOBAL CALCASIEU PASS LLC                                     | CUSIP: 92328MAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1949000 | PA      | $1591183.36   | 0.07%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810SZ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7000000 | PA      | $4606875.00   | 0.21%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TC2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2500000 | PA      | $1788281.25   | 0.08%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                       | VERIZON COMMUNICATIONS INC                                            | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3420000 | PA      | $3056584.13   | 0.14%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                       | VERIZON COMMUNICATIONS INC                                            | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2521000 | PA      | $2426673.86   | 0.11%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_19-4                            | VERUS_19-4                                                            | CUSIP: 92537KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5211000 | PA      | $4086235.35   | 0.18%             | 2059-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-R1                           | VERUS_21-R1                                                           | CUSIP: 92538BAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3030000 | PA      | $2392925.84   | 0.11%             | 2063-10-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TD0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3500000 | PA      | $2446171.88   | 0.11%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TF5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7000000 | PA      | $5348437.50   | 0.24%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-4                            | VERUS_20-4                                                            | CUSIP: 92538LAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $3859334.00   | 0.17%             | 2065-05-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-INV1                         | VERUS_22-INV1                                                         | CUSIP: 92539JAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4498890 | PA      | $4477665.55   | 0.20%             | 2067-08-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TG3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10000000 | PA      | $8053125.00   | 0.36%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TH1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  22000000 | PA      | $19311875.00  | 0.86%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | VIACOM INC                                                            | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    970000 | PA      | $670246.73    | 0.03%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                 | VIACOMCBS INC                                                         | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1056905.75   | 0.05%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TJ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4500000 | PA      | $3730781.25   | 0.17%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TK4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  41000000 | PA      | $36662968.75  | 1.64%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                      | VIATRIS INC                                                           | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    888000 | PA      | $550071.16    | 0.02%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP / VICI NOTE CO                                     | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2770000 | PA      | $2421063.65   | 0.11%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TL2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  18400000 | PA      | $18500625.00  | 0.83%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                         | CUSIP: 912810TM0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6300000 | PA      | $6173015.63   | 0.28%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                         | CUSIP: 9128285C0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  25000000 | PA      | $24164062.50  | 1.08%             | 2025-09-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | US TII .625 01/15/2024 (TIPS)                                         | CUSIP: 912828B25<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  15324480 | PA      | $15000099.22  | 0.67%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_20-2                       | VSTA_20-2                                                             | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1649037.20   | 0.07%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| WAMU_03-S11                                                      | WAMU_03-S11                                                           | CUSIP: 92922FHA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86500 | PA      | $77592.81     | 0.00%             | 2033-11-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| WMRK COMMERCIAL MORTGAGE TRUST WMRK_22-WMRK                      | WMRK 2022-WMRK A                                                      | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5360000 | PA      | $5341064.19   | 0.24%             | 2027-11-15      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                             | WEC ENERGY GROUP INC                                                  | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3135487.24   | 0.14%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                            | WASTE CONNECTIONS INC                                                 | CUSIP: 94106BAE1<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |   2501000 | PA      | $2140844.17   | 0.10%             | 2032-06-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD WELF_22-1A                                     | WELF_22-1A                                                            | CUSIP: 94950TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3150761.25   | 0.14%             | 2034-04-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| WFMBS_06-7                                                       | WFMBS_06-7                                                            | CUSIP: 94982XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    152269 | PA      | $134681.64    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                 | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3995000 | PA      | $2855974.76   | 0.13%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1458000 | PA      | $1226062.12   | 0.05%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                 | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $935377.80    | 0.04%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                 | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1461488.34   | 0.07%             | 2026-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP                         | WESTINGHOUSE AIR BRAKE TECH                                           | CUSIP: 960386AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3442000 | PA      | $3308274.79   | 0.15%             | 2028-09-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                  | XCEL ENERGY INC                                                       | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    869000 | PA      | $832698.19    | 0.04%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                  | XCEL ENERGY INC                                                       | CUSIP: 98389BAY6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   2445000 | PA      | $2180809.19   | 0.10%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                       | ZOETIS INC                                                            | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   2712000 | PA      | $2813863.64   | 0.13%             | 2032-11-16      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US 5YR NOTE MAR 23                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |       510 | NC      | $-562119.35   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | CA        |  -9590238 | OU      | $-30904.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US 2YR NOTE MAR 23                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |       439 | NC      | $-398790.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | US 10YR NOTE MAR 23                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      1514 | NC      | $-3043215.14  | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | US ULTRA 10YR NOTE MAR 23                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |       527 | NC      | $-835975.62   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | US ULTRA T-BOND MAR 23                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |       222 | NC      | $-1236449.29  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                                    | ICE: (CDX.NA.HY.38.V2)                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |  39644550 | OU      | $-820745.66   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | ICE: (CDX.NA.HY.39.V1)                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |  44150000 | OU      | $-248304.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                    | AEP TEXAS INC                                                         | CUSIP: 00108WAM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2760000 | PA      | $2234150.81   | 0.10%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                 | AMC NETWORKS INC                                                      | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |   1541000 | PA      | $961520.96    | 0.04%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                              | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2386000 | PA      | $2170105.84   | 0.10%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                              | CUSIP: 00206RDK5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1211923.78   | 0.05%             | 2049-03-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                              | CUSIP: 00206RFW7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $2219337.09   | 0.10%             | 2037-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                              | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2149000 | PA      | $2045166.17   | 0.09%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                  | AMERICAN AIRLINES/AADVANTAGE                                          | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4938308 | PA      | $4748986.56   | 0.21%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TRUST AASET_21-2A                                   | AASET_21-2A                                                           | CUSIP: 00258BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6905406 | PA      | $5030339.23   | 0.22%             | 2047-01-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                                                            | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4700000 | PA      | $4081298.35   | 0.18%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                                                            | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2749963.78   | 0.12%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL ENERGY COMPANY PJSC                           | ABU DHABI NATIONAL ENERGY COMPANY                                     | CUSIP: 00388WAJ0<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |   2240000 | PA      | $1989527.90   | 0.09%             | 2028-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC                                       | AERCAP IRELAND CAP/AERCAP GLOBAL                                      | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    873000 | PA      | $806164.19    | 0.04%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST        | AERCAP IRELAND CAP/AERCAP GLOBAL                                      | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    161000 | PA      | $140803.43    | 0.01%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AIMCO AIMCO_19-10A                                               | AIMCO_19-10A                                                          | CUSIP: 00901AAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4750000 | PA      | $4464411.00   | 0.20%             | 2032-07-22      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                                    | AIRCASTLE LTD                                                         | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   2396000 | PA      | $2306885.04   | 0.10%             | 2025-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                                    | AIRCASTLE LTD                                                         | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   4445000 | PA      | $3330843.59   | 0.15%             | 2049-12-31      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                      | AKER BP ASA                                                           | CUSIP: 00973RAF0<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   3030000 | PA      | $2665740.64   | 0.12%             | 2030-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                      | AKER BP ASA                                                           | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   1280000 | PA      | $1124981.31   | 0.05%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALBEMARLE CORP                                                   | ALBEMARLE CORP                                                        | CUSIP: 012653AD3<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |   2931000 | PA      | $2865985.55   | 0.13%             | 2027-06-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL EST EQ INC                                       | ALEXANDRIA REAL ESTATE EQUITIES IN                                    | CUSIP: 015271AG4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    264000 | PA      | $249992.30    | 0.01%             | 2029-07-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADC_21-1A                                                        | ADC_21-1A                                                             | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6300000 | PA      | $5188036.14   | 0.23%             | 2046-08-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS ADC_22-1                                    | ADC_22-1A                                                             | CUSIP: 01627AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5800000 | PA      | $5749105.93   | 0.26%             | 2047-10-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                   | AMAZON.COM INC                                                        | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   5315000 | PA      | $4875332.62   | 0.22%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                   | AMAZON.COM INC                                                        | CUSIP: 023135CM6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2199029.87   | 0.10%             | 2024-11-29      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                   | AMAZON.COM INC                                                        | CUSIP: 023135CN4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2197267.73   | 0.10%             | 2025-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                   | AMAZON.COM INC                                                        | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1096809.74   | 0.05%             | 2027-12-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMEREN CORPORATION                                               | AMEREN CORPORATION                                                    | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |   2975000 | PA      | $2626219.00   | 0.12%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS COMPANY                                          | AMEREN ILLINOIS COMPANY                                               | CUSIP: 02361DAY6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1112383.03   | 0.05%             | 2032-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS COMPANY                                          | AMEREN ILLINOIS COMPANY                                               | CUSIP: 02361DAZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    656000 | PA      | $721544.61    | 0.03%             | 2052-12-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | AMERICAN TOWER CORPORATION                                            | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2219416.18   | 0.10%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL CORP                                      | AMERICAN WATER CAPITAL CORP                                           | CUSIP: 03040WBA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3070000 | PA      | $2945389.07   | 0.13%             | 2032-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | AMGEN INC                                                             | CUSIP: 031162DH0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   4715000 | PA      | $4417901.81   | 0.20%             | 2029-08-18      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_19-5                               | AOMT_19-5                                                             | CUSIP: 03464KAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4372652.50   | 0.20%             | 2049-10-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COMPANIES LLC / ANHEUSER-BUSCH INBEV WORLDWIDE IN | ANHEUSER-BUSCH COS LLC / INBEV                                        | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4685000 | PA      | $4287239.66   | 0.19%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WORLDWIDE INC                               | ANHEUSER-BUSCH INBEV WORLDWIDE INC                                    | CUSIP: 035240AQ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4415000 | PA      | $4363839.73   | 0.19%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                              | ANTARES HOLDINGS LP                                                   | CUSIP: 03666HAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1876000 | PA      | $1500797.90   | 0.07%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                            | ANTERO RESOURCES CORP                                                 | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |   1693000 | PA      | $1714981.18   | 0.08%             | 2029-02-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                        | APPLE INC                                                             | CUSIP: 037833EN6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   4065000 | PA      | $3765879.29   | 0.17%             | 2029-08-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                        | APPLE INC                                                             | CUSIP: 037833EQ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   2295000 | PA      | $1959760.97   | 0.09%             | 2052-08-08      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| APPLEBEES / IHOP FUNDING LLC DIN_19-1A                           | DIN_19-1A                                                             | CUSIP: 03789XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4950000 | PA      | $4480298.46   | 0.20%             | 2049-06-07      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| APTIV PLC                                                        | APTIV PLC                                                             | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    970000 | PA      | $574994.70    | 0.03%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_19-52                                          | ARES_19-52A                                                           | CUSIP: 04009AAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3550000 | PA      | $3336261.60   | 0.15%             | 2031-04-22      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| ARES_16-40A                                                      | ARES_16-40A                                                           | CUSIP: 04016GBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6400000 | PA      | $5838022.40   | 0.26%             | 2029-01-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_18-50A                                         | ARES_18-50A                                                           | CUSIP: 04018LAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4150000 | PA      | $3917197.45   | 0.17%             | 2032-01-15      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_19-2                                  | ARRW_19-2                                                             | CUSIP: 042858AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7000000 | PA      | $5813086.30   | 0.26%             | 2049-04-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_20-1                                  | ARRW_20-1                                                             | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2850000 | PA      | $2327153.54   | 0.10%             | 2055-03-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                              | ASHTEAD CAPITAL INC                                                   | CUSIP: 04505AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2271396.10   | 0.10%             | 2032-08-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                                                 | CUSIP: 04685A3C3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1211000 | PA      | $977907.33    | 0.04%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC BBCMS_19-BWAY        | BBCMS_19-BWAY                                                         | CUSIP: 05492NAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8236000 | PA      | $6274506.83   | 0.28%             | 2034-11-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| BDS_21-FL7                                                       | BDS_21-FL7                                                            | CUSIP: 05493FAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8075000 | PA      | $7592196.56   | 0.34%             | 2036-06-16      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_19-OC11                                              | BX_19-OC11                                                            | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3439000 | PA      | $2833718.12   | 0.13%             | 2041-12-09      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-VOLT                          | BX_21-VOLT                                                            | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8900000 | PA      | $8188043.61   | 0.37%             | 2036-09-15      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS AND ELECTRIC CO                                    | BALTIMORE GAS AND ELECTRIC CO                                         | CUSIP: 059165EN6<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   1623000 | PA      | $1316583.22   | 0.06%             | 2031-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS AND ELECTRIC CO                                    | BALTIMORE GAS AND ELECTRIC CO                                         | CUSIP: 059165EP1<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    867000 | PA      | $775450.31    | 0.03%             | 2052-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                               | BANCO SANTANDER SA                                                    | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2600000 | PA      | $2222576.15   | 0.10%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                               | BANCO SANTANDER SA                                                    | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | PA      | $926788.32    | 0.04%             | 2028-03-24      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                  | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6065000 | PA      | $5501146.90   | 0.25%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                  | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4902000 | PA      | $4117713.04   | 0.18%             | 2030-10-22      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                  | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7060000 | PA      | $6188330.53   | 0.28%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                  | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2225000 | PA      | $1640301.64   | 0.07%             | 2036-09-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                  | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1305652.30   | 0.06%             | 2033-04-27      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                  | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1684086.33   | 0.08%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                  | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    400000 | PA      | $411773.82    | 0.02%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                        | BANK OF IRELAND GROUP PLC                                             | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1244000 | PA      | $1050279.53   | 0.05%             | 2027-09-30      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                              | BANK OF NOVA SCOTIA                                                   | CUSIP: 06417XAL5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1932000 | PA      | $1933983.04   | 0.09%             | 2024-12-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                        | BAXTER INTERNATIONAL INC                                              | CUSIP: 071813CL1<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   3375000 | PA      | $2997254.10   | 0.13%             | 2027-02-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                        | BAXTER INTERNATIONAL INC                                              | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   3270000 | PA      | $2604551.66   | 0.12%             | 2032-02-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| BAY AREA TOLL AUTHORITY                                          | Bay Area Toll Authority                                               | CUSIP: 072024NU2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1265000 | PA      | $1478057.37   | 0.07%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BSARM_06-1                                                       | BSARM_06-1                                                            | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    666249 | PA      | $636184.32    | 0.03%             | 2036-02-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT BMIR_17-1                                       | BMIR_17-1                                                             | CUSIP: 078767AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1620951 | PA      | $1621075.13   | 0.07%             | 2027-10-25      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_18-1A                                     | BMIR_18-1A                                                            | CUSIP: 078768AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4765287 | PA      | $4754388.46   | 0.21%             | 2028-04-25      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_21-3A                                     | BMIR_21-3A                                                            | CUSIP: 078777AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9575000 | PA      | $9066879.65   | 0.41%             | 2031-09-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT BMIR_19-3A                                      | BMIR_19-3A                                                            | CUSIP: 07877GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1590000 | PA      | $1575470.90   | 0.07%             | 2029-07-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAPITAL AIRCRAFT LEASE BBIRD_21-1                      | BBIRD_21-1A                                                           | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5280899 | PA      | $4332187.36   | 0.19%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAPITAL AIRCRAFT LEASE BBIRD_21-1                      | BBIRD_21-1A                                                           | CUSIP: 09229CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4927556 | PA      | $3710999.47   | 0.17%             | 2046-07-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL LLC                                              | BLOCK FINANCIAL LLC                                                   | CUSIP: 093662AH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2991000 | PA      | $2619710.00   | 0.12%             | 2030-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS AMERICA INC                                   | BP CAPITAL MARKETS AMERICA INC                                        | CUSIP: 10373QBR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1282733.58   | 0.06%             | 2041-06-17      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                          | BRISTOL-MYERS SQUIBB CO                                               | CUSIP: 110122DS4<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1968000 | PA      | $1242965.30   | 0.06%             | 2050-11-13      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                          | BRISTOL-MYERS SQUIBB CO                                               | CUSIP: 110122DU9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2338006.92   | 0.10%             | 2032-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS PASS THROUGH CERTIFICATES SERIES 2021-1          | BRITISH AIRWAYS 21-1 PASS THRU                                        | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    819690 | PA      | $663104.90    | 0.03%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                         | BROADSTONE NET LEASE LLC                                              | CUSIP: 11135EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1167000 | PA      | $874385.70    | 0.04%             | 2031-09-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | BROADCOM INC                                                          | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1537936.86   | 0.07%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | BROADCOM INC                                                          | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1933000 | PA      | $1689505.79   | 0.08%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                         | BUILDERS FIRSTSOURCE INC                                              | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   5888000 | PA      | $5248918.60   | 0.23%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHERN SANTA FE LLC                                 | BURLINGTON NORTHERN SANTA FE LLC                                      | CUSIP: 12189LAW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2035000 | PA      | $1739703.90   | 0.08%             | 2045-04-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHERN SANTA FE LLC                                 | BURLINGTON NORTHERN SANTA FE LLC                                      | CUSIP: 12189LBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1325000 | PA      | $970494.08    | 0.04%             | 2051-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_20-VIVA                                              | BX_20-VIVA                                                            | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6750000 | PA      | $5055597.45   | 0.23%             | 2044-03-11      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BXMT LTD BXMT_20-FL2                                             | BXMT_20-FL2                                                           | CUSIP: 12434LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7034000 | PA      | $6640842.31   | 0.30%             | 2038-02-15      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                | CF INDUSTRIES INC                                                     | CUSIP: 12527GAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1263158.94   | 0.06%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                | CF INDUSTRIES INC                                                     | CUSIP: 12527GAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1009000 | PA      | $953515.95    | 0.04%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION TRUST CLAF_21-1               | CLAF_21-1                                                             | CUSIP: 12567UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12551882 | PA      | $10120549.68  | 0.45%             | 2037-05-11      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-NQM1                               | CHNGE_22-NQM1                                                         | CUSIP: 12569CAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4872872 | PA      | $4757429.71   | 0.21%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CSMC_19-AFC1                                                     | CSMC_19-AFC1                                                          | CUSIP: 12596XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5775000 | PA      | $4049115.26   | 0.18%             | 2049-07-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                         | CSX CORP                                                              | CUSIP: 126408HU0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1676749.53   | 0.07%             | 2032-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_19-NQM1                        | CSMC_19-NQM1                                                          | CUSIP: 12655VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6224000 | PA      | $4769896.84   | 0.21%             | 2059-10-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST CSMC_21-NQM8                                          | CSMC_21-NQM8                                                          | CUSIP: 12659FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $1315343.92   | 0.06%             | 2066-10-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_20-SPT1                        | CSMC_20-SPT1                                                          | CUSIP: 12659LAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8000000 | PA      | $5981918.40   | 0.27%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                       | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1955000 | PA      | $1791309.28   | 0.08%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                       | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1177982.78   | 0.05%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | CAESARS ENTERTAINMENT INC                                             | CUSIP: 12769GAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1616000 | PA      | $1314129.60   | 0.06%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA (STATE OF)                                            | State of California                                                   | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3445000 | PA      | $4185243.00   | 0.19%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA (STATE OF)                                            | State of California                                                   | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2335000 | PA      | $2198094.75   | 0.10%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST UNIV REV                                           | California State University                                           | CUSIP: 13077DKU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2250000 | PA      | $1556713.13   | 0.07%             | 2051-11-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CGMS_19-2A                      | CGMS_19-2A                                                            | CUSIP: 14316EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2575000 | PA      | $2472296.13   | 0.11%             | 2032-07-15      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORPORATION                                                  | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1370000 | PA      | $977481.79    | 0.04%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TRUST CLAST_18-1                  | CLAST_18-1                                                            | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2703020 | PA      | $2369161.77   | 0.11%             | 2043-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION TRUST CLAST_17-1R             | CLAST_17-1R                                                           | CUSIP: 14856JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4040778 | PA      | $3495404.97   | 0.16%             | 2041-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                                                   | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3567000 | PA      | $3270756.51   | 0.15%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                                                   | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3474000 | PA      | $2940202.91   | 0.13%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC (ALBERTA)                                     | CENOVUS ENERGY INC                                                    | CUSIP: 15135UAW9<br>LEI: 549300EIRQ0Z2B9C1W06 | Long             | DBT              | CORP              | CA        |   1910000 | PA      | $1522676.12   | 0.07%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                           | CENTERPOINT ENERGY INC                                                | CUSIP: 15189TBB2<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   1923000 | PA      | $1584779.80   | 0.07%             | 2031-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECT                                 | CENTERPOINT ENERGY HOUSTON ELEC                                       | CUSIP: 15189XAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2520000 | PA      | $2436870.11   | 0.11%             | 2032-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES                                                 | CHART INDUSTRIES INC                                                  | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1114606.60   | 0.05%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                              | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1022507.61   | 0.05%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                              | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1162718.84   | 0.05%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO (CITY OF)                                                | City of Chicago IL                                                    | CUSIP: 167486M89<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     95000 | PA      | $95000.00     | 0.00%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO (CITY OF)                                                | IL CHICAGO                                                            | CUSIP: 167486M97<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    645000 | PA      | $654843.86    | 0.03%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CHILE (REPUBLIC OF)                                              | CHILE (REPUBLIC OF)                                                   | CUSIP: 168863DW5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CL        |   1750000 | PA      | $1356497.03   | 0.06%             | 2052-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                         | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1355000 | PA      | $1244472.18   | 0.06%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                         | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4244000 | PA      | $3865319.55   | 0.17%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                         | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2381000 | PA      | $2148416.87   | 0.10%             | 2028-02-24      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                         | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1020608.82   | 0.05%             | 2033-03-17      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_15-PS1                   | CMLTI_15-PS1                                                          | CUSIP: 17324VAR5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4572102 | PA      | $4279624.39   | 0.19%             | 2042-09-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| CLOROX COMPANY (THE)                                             | CLOROX COMPANY                                                        | CUSIP: 189054AZ2<br>LEI: 54930044KVSC06Z79I06 | Long             | DBT              | CORP              | US        |   4440000 | PA      | $4261331.96   | 0.19%             | 2032-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| COLOGIX DATA CENTERS CLGIX_22-1CAN                               | CLGIX_22-1CAN                                                         | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10300000 | PA      | $6939704.87   | 0.31%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND                                         | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  27536031 | NS      | $27527769.82  | 1.23%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORPORATION                                              | COMCAST CORPORATION                                                   | CUSIP: 20030NAF8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1840826.89   | 0.08%             | 2035-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                              | COMCAST CORPORATION                                                   | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1567901.30   | 0.07%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                              | COMCAST CORPORATION                                                   | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2295338.94   | 0.10%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                              | COMCAST CORPORATION                                                   | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1940000 | PA      | $1216817.96   | 0.05%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON COMPANY                                      | COMMONWEALTH EDISON COMPANY                                           | CUSIP: 202795JQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2730000 | PA      | $1942969.23   | 0.09%             | 2049-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC                                        | CONTINENTAL RESOURCES INC                                             | CUSIP: 212015AU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2040000 | PA      | $1769132.90   | 0.08%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Corp Office                                                      | CORPORATE OFFICE PROPERTIES LP                                        | CUSIP: 22003BAN6<br>LEI: YY1J47X6LF9TYY8JY420 | Long             | DBT              | CORP              | US        |   1392000 | PA      | $1071609.11   | 0.05%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DI ISSUER LLC LMDC_21-1                                          | LMDC_21-1A                                                            | CUSIP: 23292FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13188560 | PA      | $11536378.70  | 0.52%             | 2051-09-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| D R HORTON INC                                                   | D.R. HORTON INC                                                       | CUSIP: 23331ABM0<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |   2850000 | PA      | $2711936.14   | 0.12%             | 2024-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                  | DAE FUNDING LLC                                                       | CUSIP: 23371DAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1233000 | PA      | $1148931.46   | 0.05%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| DANAHER CORPORATION                                              | DANAHER CORPORATION                                                   | CUSIP: 235851AW2<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $1403802.83   | 0.06%             | 2051-12-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                          | JOHN DEERE CAPITAL CORP                                               | CUSIP: 24422EWL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3110000 | PA      | $3019785.74   | 0.13%             | 2032-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                          | JOHN DEERE CAPITAL CORP                                               | CUSIP: 24422EWN5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1042000 | PA      | $1042383.15   | 0.05%             | 2029-10-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC                                           | DELL INTL LLC / EMC CORP                                              | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    791000 | PA      | $886890.68    | 0.04%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                 | DEUTSCHE BANK AG                                                      | CUSIP: 251525AM3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   6286000 | PA      | $5905382.95   | 0.26%             | 2028-05-24      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| DEWOLF PARK CLO LTD DWOLF_17-1A                                  | DWOLF_17-1A                                                           | CUSIP: 25211AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5000000 | PA      | $4716335.00   | 0.21%             | 2030-10-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                           | DIAMONDBACK ENERGY INC                                                | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   2140000 | PA      | $2173378.41   | 0.10%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DICKS SPORTING GOODS INC.                                        | DICKS SPORTING GOODS INC.                                             | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |   3139000 | PA      | $2461484.52   | 0.11%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                    | DISH DBS CORP                                                         | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1130000 | PA      | $953188.19    | 0.04%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                              | DOMINION RESOURCES INC                                                | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1670229.72   | 0.07%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                              | DOMINION ENERGY INC                                                   | CUSIP: 25746UDQ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1276684.02   | 0.06%             | 2052-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                 | DUKE ENERGY CORP                                                      | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $946654.20    | 0.04%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                 | DUKE ENERGY CORP                                                      | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1381601.70   | 0.06%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                        | DUKE ENERGY CAROLINAS LLC                                             | CUSIP: 26442CBB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1050000 | PA      | $877551.55    | 0.04%             | 2031-04-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                         | DUKE ENERGY PROGRESS LLC                                              | CUSIP: 26442RAD3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   3185000 | PA      | $2664473.22   | 0.12%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                          | DUKE ENERGY FLORIDA LLC                                               | CUSIP: 26444HAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1845000 | PA      | $1470082.27   | 0.07%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                          | DUKE ENERGY FLORIDA LLC                                               | CUSIP: 26444HAN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    875000 | PA      | $936451.87    | 0.04%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| THE ELP COMMERCIAL MORTGAGE TRUST ELP_21-ELP                     | ELP_21-ELP                                                            | CUSIP: 26863LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10484000 | PA      | $9638856.45   | 0.43%             | 2038-11-15      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                         | EQT CORP                                                              | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   2148000 | PA      | $2136023.63   | 0.10%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                   | EPR PROPERTIES                                                        | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    520000 | PA      | $467610.66    | 0.02%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS INC                                              | EAGLE MATERIALS INC                                                   | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |   2119000 | PA      | $1657153.14   | 0.07%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2018-1 LTD EMIR_18-1                                    | EMIR_18-1                                                             | CUSIP: 269826AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8130000 | PA      | $8140178.76   | 0.36%             | 2028-11-25      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2018-1 LTD EMIR_18-1                                    | EMIR_18-1                                                             | CUSIP: 269826AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3054048.00   | 0.14%             | 2028-11-25      | Variable      | 8.39%                 | No            |                  2 | On Loan: No      |
| EDGECONNEX DATA CENTERS ISSUER LLC EDGE_22-1                     | EDGE_22-1                                                             | CUSIP: 28000XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5821927 | PA      | $5647519.26   | 0.25%             | 2052-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                     | ENBRIDGE INC                                                          | CUSIP: 29250NBE4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $546543.56    | 0.02%             | 2051-08-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER PARTNERS LP                                           | CUSIP: 29273RBE8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1664857.73   | 0.07%             | 2035-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER LP                                                    | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2106000 | PA      | $2065772.83   | 0.09%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER OPERATING LP                                          | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4110000 | PA      | $3984660.58   | 0.18%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                             | ENTERGY ARKANSAS LLC                                                  | CUSIP: 29366MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1410000 | PA      | $865191.28    | 0.04%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                | ENTERPRISE PRODUCTS OPERATING LLC                                     | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2795000 | PA      | $2454664.95   | 0.11%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                | ENTERPRISE PRODUCTS OPERATING LLC                                     | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1473000 | PA      | $983693.81    | 0.04%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                      | EQUINIX INC                                                           | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   3820000 | PA      | $3489597.43   | 0.16%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                      | EQUINOR ASA                                                           | CUSIP: 29446MAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | NUSS              | NO        |   1590000 | PA      | $1161346.27   | 0.05%             | 2049-11-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ESCAMBIA CNTY FLA HEALTH FACS AUTH                               | Escambia County Health Facilities Authority                           | CUSIP: 296110GG8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2170000 | PA      | $1637008.72   | 0.07%             | 2040-08-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                          | ESSENTIAL UTILITIES INC                                               | CUSIP: 29670GAD4<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |   2570000 | PA      | $2153564.11   | 0.10%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL PROPERTIES LP                                          | ESSENTIAL PROPERTIES LP                                               | CUSIP: 29670VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2176000 | PA      | $1577927.75   | 0.07%             | 2031-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                               | EXELON CORPORATION                                                    | CUSIP: 30161NAV3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    905000 | PA      | $767480.20    | 0.03%             | 2046-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 31418EJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9927971 | PA      | $9960418.79   | 0.44%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                            | CUSIP: 31419HB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1635467 | PA      | $1619390.68   | 0.07%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                            | CUSIP: 31419LYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4395639 | PA      | $4112623.09   | 0.18%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_20-1                     | EFMT_20-1                                                             | CUSIP: 31574PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4962000 | PA      | $4493909.23   | 0.20%             | 2065-05-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES FKH_20-SFR2                                       | FKH_20-SFR2                                                           | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4406418.50   | 0.20%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                       | FISERV INC                                                            | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2505000 | PA      | $2100386.16   | 0.09%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FLEXENTIAL ISSUER LLC FLX_21-1                                   | FLX_21-1A                                                             | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7994000 | PA      | $6975756.26   | 0.31%             | 2051-11-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                         | FLORIDA POWER & LIGHT COMPANY                                         | CUSIP: 341081FF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1593654.36   | 0.07%             | 2042-02-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                         | FLORIDA POWER & LIGHT CO                                              | CUSIP: 341081GG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1443000 | PA      | $1206293.21   | 0.05%             | 2032-02-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                          | PROGRESS ENERGY FLORIDA                                               | CUSIP: 341099CR8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $273404.05    | 0.01%             | 2042-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FOOTHILL EASTERN TRANSN CORRIDOR AGY CALIF                       | Foothill-Eastern Transportation Corridor Agency                       | CUSIP: 345105JE1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2285000 | PA      | $1725501.76   | 0.08%             | 2049-01-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC                                         | CUSIP: 345397B28<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4245000 | PA      | $3845013.35   | 0.17%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT CO LLC                                              | CUSIP: 345397C35<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1065000 | PA      | $1091305.51   | 0.05%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                         | FOX CORP                                                              | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    935000 | PA      | $850038.79    | 0.04%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA2                      | STACR_20-HQA2                                                         | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1669704 | PA      | $1686768.32   | 0.08%             | 2050-03-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA4                      | STACR_20-HQA4                                                         | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24518 | PA      | $24518.89     | 0.00%             | 2050-09-25      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179M5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3175388 | PA      | $2996294.37   | 0.13%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179MAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2520662 | PA      | $2374898.64   | 0.11%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179ME30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1066532 | PA      | $1004843.57   | 0.04%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179V7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13856394 | PA      | $12063512.59  | 0.54%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179VKL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3148085 | PA      | $2828522.64   | 0.13%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179VMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3207594 | PA      | $2880352.19   | 0.13%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179VN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9107071 | PA      | $8207298.27   | 0.37%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA II 30YR SF - JUMBO-CONFORMING                                    | CUSIP: 36179VQT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8488966 | PA      | $7618436.27   | 0.34%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179VVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  33260777 | PA      | $28073931.09  | 1.25%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179WG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3770244 | PA      | $3496553.35   | 0.16%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9130379 | PA      | $7931884.96   | 0.35%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179XFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8817662 | PA      | $8879785.44   | 0.40%             | 2052-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36179XNG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11466000 | PA      | $11537236.77  | 0.52%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II INC                                       | CUSIP: 361841AH2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   2485000 | PA      | $2450343.99   | 0.11%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                             | LADDER CAP FIN HOLDINGS/CAP FIN                                       | CUSIP: 505742AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1111485.37   | 0.05%             | 2025-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                            | CUSIP: 36202FMA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    416166 | PA      | $402111.22    | 0.02%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                             | CUSIP: 36204DT66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3091831 | PA      | $3071978.71   | 0.14%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                             | LADDER CAP FIN HOLDINGS/FIN CORP                                      | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2989000 | PA      | $2413344.31   | 0.11%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                            | LEVEL 3 FINANCING INC                                                 | CUSIP: 527298BN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2029000 | PA      | $1693278.82   | 0.08%             | 2027-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                                                            | CUSIP: 3620AQ6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1909175 | PA      | $1895250.86   | 0.08%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                                                            | CUSIP: 3620ARC25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1775953 | PA      | $1762910.30   | 0.08%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR PLATINUM                                                   | CUSIP: 3622ABQ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10447804 | PA      | $8785026.90   | 0.39%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                | GXO LOGISTICS INC                                                     | CUSIP: 36262GAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2318000 | PA      | $1718221.19   | 0.08%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORPORATION                                      | LOCKHEED MARTIN CORPORATION                                           | CUSIP: 539830BW8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   1302000 | PA      | $1346070.98   | 0.06%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CALIF CMNTY COLLEGE DIST                             | Los Angeles Community College District/CA                             | CUSIP: 54438CPA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    800000 | PA      | $994520.24    | 0.04%             | 2049-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                           | GSK CONSUMER HEALTHCARE CAPITAL US                                    | CUSIP: 36264FAN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1150000 | PA      | $898532.28    | 0.04%             | 2052-03-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                   | GE HEALTHCARE HOLDING LLC                                             | CUSIP: 36267VAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4935000 | PA      | $5007389.99   | 0.22%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LOWES COMPANIES INC                                              | LOWES COMPANIES INC                                                   | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   4855000 | PA      | $4022347.69   | 0.18%             | 2031-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LOWES COMPANIES INC                                              | LOWES COMPANIES INC                                                   | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   4490000 | PA      | $3595905.18   | 0.16%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                                                            | CUSIP: 36296YCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    230611 | PA      | $229131.64    | 0.01%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                                                            | CUSIP: 36297GEB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    441939 | PA      | $452336.59    | 0.02%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LUNAR AIRCRAFT 2020-1 LTD  LUNRR_20-1A                           | LUNRR_20-1A                                                           | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5889686 | PA      | $4830797.00   | 0.22%             | 2045-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                                                  | MEG ENERGY CORP                                                       | CUSIP: 552704AF5<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |   4635000 | PA      | $4373057.56   | 0.20%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                 | GALAXY PIPELINE ASSETS BIDCO LTD                                      | CUSIP: 36321PAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |   5799180 | PA      | $4669002.46   | 0.21%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                | GENERAL MOTORS CO                                                     | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1303000 | PA      | $1128418.35   | 0.05%             | 2038-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MAPS LTD MAPSL_21-1A                                             | MAPSL_21-1A                                                           | CUSIP: 55292RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5945493 | PA      | $4933171.14   | 0.22%             | 2046-06-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                          | MPLX LP                                                               | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1622657.30   | 0.07%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                  | GENERAL MOTORS FINANCIAL CO INC                                       | CUSIP: 37045XCX2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   5666000 | PA      | $5306114.15   | 0.24%             | 2025-06-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                  | GENERAL MOTORS FINANCIAL CO INC                                       | CUSIP: 37045XDP8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2032000 | PA      | $1690487.39   | 0.08%             | 2028-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ATRIUM CDO CORP ATRM_9A                                          | ATRM_9A                                                               | CUSIP: 55821CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3050000 | PA      | $2959463.80   | 0.13%             | 2030-05-28      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                                                        | CUSIP: 55903VAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1551000 | PA      | $1399844.55   | 0.06%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                                                        | CUSIP: 55903VAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2338000 | PA      | $1797924.48   | 0.08%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                                                        | CUSIP: 55903VAQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    620000 | PA      | $455256.21    | 0.02%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| GEOPARK LTD                                                      | GEOPARK LTD                                                           | CUSIP: 37255BAB5<br>LEI: 529900ZR5QI19AH4KZ07 | Long             | DBT              | CORP              | BM        |   2250000 | PA      | $1940304.62   | 0.09%             | 2027-01-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                              | GEORGIA-PACIFIC LLC                                                   | CUSIP: 37331NAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3105000 | PA      | $2785217.88   | 0.12%             | 2027-04-30      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                       | MARRIOTT INTERNATIONAL INC                                            | CUSIP: 571903BF9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   1437000 | PA      | $1194461.85   | 0.05%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARM_04-13                                                       | MARM_04-13                                                            | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    318994 | PA      | $286183.61    | 0.01%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                   | MERCK & CO INC                                                        | CUSIP: 58933YBC8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   2175000 | PA      | $1931654.11   | 0.09%             | 2027-06-10      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC MLMI_05-A2                  | MLMI_05-A2                                                            | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    653176 | PA      | $597443.63    | 0.03%             | 2035-02-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSPORTATION AUTHORITY                            | Metropolitan Transportation Authority                                 | CUSIP: 59259YDC0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1650000 | PA      | $1705556.00   | 0.08%             | 2040-11-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| MICHIGAN ST STRATEGIC FUND                                       | Michigan Strategic Fund                                               | CUSIP: 594698SJ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3550000 | PA      | $2556776.03   | 0.11%             | 2047-09-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                             | GLENCORE FUNDING LLC                                                  | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2975000 | PA      | $2371634.18   | 0.11%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION CORP                         | Golden State Tobacco Securitization Corp                              | CUSIP: 38122NB50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4635000 | PA      | $3719511.49   | 0.17%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                            | MICRON TECHNOLOGY INC                                                 | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1734850.12   | 0.08%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY COMPANY                                       | MIDAMERICAN ENERGY COMPANY                                            | CUSIP: 595620AN5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2030000 | PA      | $1785503.90   | 0.08%             | 2044-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO1 LTD GLM_19-4A                 | GLM_19-4A                                                             | CUSIP: 38137YAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7785000 | PA      | $7354598.49   | 0.33%             | 2031-04-24      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                               | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    649000 | PA      | $590454.04    | 0.03%             | 2029-04-23      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HOLDINGS LLC                                        | MILEAGE PLUS HLDS/MILEAGE PLUS                                        | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2036851 | PA      | $2029409.59   | 0.09%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MINERA MEXICO SA DE CV                                           | MINERA MEXICO SA DE CV                                                | CUSIP: 60284MAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    668000 | PA      | $508434.65    | 0.02%             | 2050-01-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                               | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5090000 | PA      | $3874667.27   | 0.17%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                               | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4381000 | PA      | $3823390.18   | 0.17%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC/THE                                           | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4350000 | PA      | $4163046.18   | 0.19%             | 2025-01-24      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                               | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4325000 | PA      | $3848087.40   | 0.17%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| MISSOURI HIGHWAYS AND TRANSPORTATION COMMISSION                  | Missouri Highway & Transportation Commission                          | CUSIP: 60636WNU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1700000 | PA      | $1753274.60   | 0.08%             | 2033-05-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                       | MONDELEZ INTERNATIONAL INC                                            | CUSIP: 609207BA2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1907117.44   | 0.09%             | 2027-03-17      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC INC.                                           | GOLUB CAPITAL BDC INC                                                 | CUSIP: 38173MAB8<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $943060.07    | 0.04%             | 2026-08-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST GOODG_21-1A                                      | GOODG_21-1A                                                           | CUSIP: 38217UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2931921 | PA      | $2376606.46   | 0.11%             | 2056-10-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                        | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3455000 | PA      | $2859285.10   | 0.13%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                        | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8081000 | PA      | $8031134.82   | 0.36%             | 2024-01-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST GOODG_18-1A                                      | GOODG_18-1A                                                           | CUSIP: 38218GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3594874 | PA      | $3306469.22   | 0.15%             | 2053-10-15      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GRAY ESCROW II INC                                               | GRAY ESCROW II INC                                                    | CUSIP: 389286AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3640000 | PA      | $2634461.72   | 0.12%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                        | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1036000 | PA      | $755693.42    | 0.03%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                        | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4786000 | PA      | $4403735.10   | 0.20%             | 2025-10-21      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL REAL ESTATE NOTES GSTNE_19-FL2              | GSTNE_19-FL2                                                          | CUSIP: 39809LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4579500 | PA      | $4376964.74   | 0.20%             | 2037-09-15      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL REAL ESTATE NOTES GSTNE_19-FL2              | GSTNE_19-FL2                                                          | CUSIP: 39809LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3969000 | PA      | $3798689.02   | 0.17%             | 2037-09-15      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                        | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2055000 | PA      | $1606159.74   | 0.07%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                        | CUSIP: 61747YEM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5368000 | PA      | $5044783.49   | 0.23%             | 2026-02-18      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                               | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1215270.25   | 0.05%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                     | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1755000 | PA      | $1354726.25   | 0.06%             | 2032-05-24      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                        | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2495000 | PA      | $2610233.07   | 0.12%             | 2033-10-18      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                                                        | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   5835000 | PA      | $5199991.54   | 0.23%             | 2025-12-02      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                     | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3015000 | PA      | $2800715.54   | 0.13%             | 2033-08-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| JORDAN (HASHEMITE KINGDOM OF)                                    | JORDAN (HASHEMITE KINGDOM OF)                                         | CUSIP: 418097AJ0<br>LEI: N/A                  | Long             | DBT              | NUSS              | JO        |   1800000 | PA      | $1543087.82   | 0.07%             | 2047-10-10      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                                                        | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1567000 | PA      | $1181436.31   | 0.05%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NASSAU LTD NCC_19-IA                                             | NCC_19-IA                                                             | CUSIP: 63171NAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7000000 | PA      | $6464969.00   | 0.29%             | 2031-04-15      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| HELMERICH AND PAYNE INC                                          | HELMERICH & PAYNE INC                                                 | CUSIP: 423452AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3232000 | PA      | $2616718.18   | 0.12%             | 2031-09-29      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                   | HOME DEPOT INC                                                        | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   4608000 | PA      | $3808365.05   | 0.17%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD                                      | NATIONAL AUSTRALIA BANK LTD                                           | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   1736000 | PA      | $1318511.69   | 0.06%             | 2030-08-21      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| NATIONAL RETAIL PROPERTIES INC                                   | NATIONAL RETAIL PROPERTIES INC                                        | CUSIP: 637417AM8<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1434317.14   | 0.06%             | 2048-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| HOME RE 2022-1 LTD HMIR_22-1                                     | HMIR_22-1                                                             | CUSIP: 43730GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2550000 | PA      | $2539946.37   | 0.11%             | 2034-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| HOME RE 2018-1 LTD HMIR_18-1                                     | HMIR_18-1                                                             | CUSIP: 43730MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5816433 | PA      | $5799825.67   | 0.26%             | 2028-10-25      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| NAVIGATOR AIRCRAFT ABS LTD NAVTR_21-1                            | NAVTR_21-1                                                            | CUSIP: 63943BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7821279 | PA      | $6569496.96   | 0.29%             | 2046-11-15      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TURNPIKE AUTHORITY                                 | New Jersey Turnpike Authority                                         | CUSIP: 646139W35<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1275000 | PA      | $1580532.71   | 0.07%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-2                     | HOF_20-2                                                              | CUSIP: 43789XAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7075000 | PA      | $5903103.37   | 0.26%             | 2065-05-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| HOUSTON CITY OF                                                  | City of Houston TX                                                    | CUSIP: 4423313K8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    800000 | PA      | $689743.84    | 0.03%             | 2047-03-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| NY ST DORM AUTH PERS REV                                         | New York State Dormitory Authority                                    | CUSIP: 64990FXE9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1265000 | PA      | $931524.12    | 0.04%             | 2043-02-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                              | NEXTERA ENERGY CAPITAL HOLDINGS                                       | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2265000 | PA      | $2229069.74   | 0.10%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                       | HUMANA INC                                                            | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   2730000 | PA      | $2135387.68   | 0.10%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATL BK                                               | HUNTINGTON NATIONAL BANK (THE)                                        | CUSIP: 44644MAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3095000 | PA      | $3107732.30   | 0.14%             | 2030-01-10      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORPORATION                                     | NORFOLK SOUTHERN CORPORATION                                          | CUSIP: 655844CP1<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1127185.38   | 0.05%             | 2053-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER COMPANY (MINNESOTA)                        | NORTHERN STATES POWER COMPANY MN                                      | CUSIP: 665772CU1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1207518.08   | 0.05%             | 2052-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| INFRAESTRUCTURA ENERGETICA NOVA SAB DE CV                        | INFRAESTRUCTURA ENERGETICA NOVA SA                                    | CUSIP: 456829AC4<br>LEI: 715K4H1JYF3O6JOK1411 | Long             | DBT              | CORP              | MX        |   3400000 | PA      | $2576744.64   | 0.12%             | 2051-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                       | INTEL CORPORATION                                                     | CUSIP: 458140BX7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2753000 | PA      | $1738880.03   | 0.08%             | 2061-08-12      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NOVANT HEALTH INC                                                | NOVANT HEALTH INC                                                     | CUSIP: 66988AAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1297046.63   | 0.06%             | 2051-11-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                                       | NUCOR CORPORATION                                                     | CUSIP: 670346AV7<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |   1255000 | PA      | $1066319.22   | 0.05%             | 2032-04-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL GAME TECHNOLOGY PL                                 | INTERNATIONAL GAME TECHNOLOGY PLC                                     | CUSIP: 460599AE3<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |   6160000 | PA      | $5781901.17   | 0.26%             | 2029-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN WEALTH MANAGEMENT JPMWM_21-CL1                         | JPMWM_21-CL1                                                          | CUSIP: 46591HBN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1028145 | PA      | $865804.13    | 0.04%             | 2051-03-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                           | OREILLY AUTOMOTIVE INC                                                | CUSIP: 67103HAL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1687000 | PA      | $1634322.45   | 0.07%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_20-2A                                        | OMIR_20-2A                                                            | CUSIP: 67401JAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    359861 | PA      | $359672.03    | 0.02%             | 2030-10-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST JPMMT_0                                 | JPMMT_06-S1                                                           | CUSIP: 466247M75<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1896432 | PA      | $1877138.85   | 0.08%             | 2036-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST JPMMT_05-S2                             | JPMMT_05-S2                                                           | CUSIP: 466247VM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    182041 | PA      | $169081.28    | 0.01%             | 2032-02-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS XXXI                                 | OCT31_17-1A                                                           | CUSIP: 67575XAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $4988544.75   | 0.22%             | 2030-07-20      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| OCT15_13-1A                                                      | OCT15_13-1A                                                           | CUSIP: 67590EBL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3100000 | PA      | $2917484.40   | 0.13%             | 2030-07-19      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST JPMMT_06-A4                             | JPMMT_06-A4                                                           | CUSIP: 46628LAK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    906593 | PA      | $647443.78    | 0.03%             | 2036-06-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                   | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9197000 | PA      | $7524295.17   | 0.34%             | 2031-04-22      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| OHIO ST TPK COMMN                                                | Ohio Turnpike & Infrastructure Commission                             | CUSIP: 67760HNB3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2640000 | PA      | $1881884.40   | 0.08%             | 2048-02-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| OHIO ST WTR DEV AUTH                                             | Ohio Water Development Authority Water Pollution Control Loan Fund    | CUSIP: 67766WQG0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1160000 | PA      | $1149024.31   | 0.05%             | 2034-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                   | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $1909919.68   | 0.09%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                   | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5700000 | PA      | $4760121.53   | 0.21%             | 2029-06-01      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                   | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4650000 | PA      | $4209234.08   | 0.19%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST JPMMT_19-LTV3                           | JPMMT_19-LTV3                                                         | CUSIP: 46651HBZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6493167 | PA      | $5424981.55   | 0.24%             | 2050-03-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST OMPT_17-1                                 | OMPT_17-1MKT                                                          | CUSIP: 68245HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5370000 | PA      | $5103481.53   | 0.23%             | 2032-02-10      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                    | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1475050.35   | 0.07%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JDE PEETS NV                                                     | JDE PEETS NV                                                          | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   3195000 | PA      | $2381290.79   | 0.11%             | 2031-09-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD KKR_18                                     | KKR_18                                                                | CUSIP: 48251JAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3525000 | PA      | $3355345.28   | 0.15%             | 2030-07-18      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                    | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1017000 | PA      | $831956.01    | 0.04%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                    | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1148251.56   | 0.05%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| KKR STATIC CLO I LTD KSTAT_22-1                                  | KSTAT_22-1A                                                           | CUSIP: 48255QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3625000 | PA      | $3510605.88   | 0.16%             | 2031-07-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPITALS                                      | KAISER FOUNDATION HOSPITALS                                           | CUSIP: 48305QAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1071047.90   | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME CORP                                        | OWL ROCK CORE INCOME CORP                                             | CUSIP: 69120VAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1121343.32   | 0.05%             | 2026-09-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORP                                            | OWL ROCK CAPITAL CORP                                                 | CUSIP: 69121KAE4<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    431000 | PA      | $377374.79    | 0.02%             | 2026-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| KB HOME                                                          | KB HOME                                                               | CUSIP: 48666KAY5<br>LEI: 549300LGUCWQURMWLG09 | Long             | DBT              | CORP              | US        |   2605000 | PA      | $2267749.98   | 0.10%             | 2029-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| KENTUCKY ST TPK AUTH                                             | Kentucky Turnpike Authority                                           | CUSIP: 491552UZ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2050000 | PA      | $2091789.25   | 0.09%             | 2030-07-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                   | PECO ENERGY CO                                                        | CUSIP: 693304BE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2270000 | PA      | $2005341.63   | 0.09%             | 2052-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                           | PNC FINANCIAL SERVICES GROUP INC                                      | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2304000 | PA      | $1824330.08   | 0.08%             | 2049-12-31      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                             | KEURIG DR PEPPER INC                                                  | CUSIP: 49271VAQ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $978173.68    | 0.04%             | 2032-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                 | KINDER MORGAN ENERGY PARTNERS LP                                      | CUSIP: 494550BD7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   1736000 | PA      | $1769059.31   | 0.08%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRKCM_21-AFC1 TRUST                                              | PRKCM_21-AFC1                                                         | CUSIP: 69357TAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6966000 | PA      | $4265873.91   | 0.19%             | 2056-08-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| PFP_21-8                                                         | PFP_21-8                                                              | CUSIP: 69357XAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5700000 | PA      | $5307427.32   | 0.24%             | 2037-08-09      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                 | PACIFIC GAS & ELECTRIC COMPANY                                        | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $816222.65    | 0.04%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                       | PACIFICORP                                                            | CUSIP: 695114CX4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2070000 | PA      | $1492204.75   | 0.07%             | 2051-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD PSTAT_22-2                        | PSTAT_22-2A                                                           | CUSIP: 69701NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3625000 | PA      | $3460787.50   | 0.15%             | 2030-10-15      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD PSTAT_22-1A                       | PSTAT_22-1A                                                           | CUSIP: 69702LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4700000 | PA      | $4158137.00   | 0.19%             | 2030-04-15      | Variable      | 8.86%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT FOODS GROUP INC                                                 | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   2499000 | PA      | $2257521.78   | 0.10%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                                                  | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $1958654.07   | 0.09%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD PSTAT_22-5                        | PSTAT_22-5A                                                           | CUSIP: 69702QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2400000 | PA      | $2369738.40   | 0.11%             | 2031-01-15      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF (GOVERNMENT)                                  | PANAMA (REPUBLIC OF)                                                  | CUSIP: 698299AW4<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |   1000000 | PA      | $1046782.39   | 0.05%             | 2036-01-26      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                           | PENN NATIONAL GAMING INC                                              | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2108000 | PA      | $1667631.91   | 0.07%             | 2029-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                      | PEPSICO INC                                                           | CUSIP: 713448FM5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    873000 | PA      | $825536.72    | 0.04%             | 2032-07-18      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                                                   | CUSIP: 71643VAB1<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   4300000 | PA      | $3385385.96   | 0.15%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                                                   | CUSIP: 71654QBG6<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   1259000 | PA      | $1255834.96   | 0.06%             | 2023-01-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIONEER AIRCRAFT FINANCE LTD PION_19-1                           | PION_19-1                                                             | CUSIP: 72353PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6474642 | PA      | $5145021.09   | 0.23%             | 2044-06-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| PORT AUTHORITY OF NEW YORK AND NEW JERSEY                        | Port Authority of New York & New Jersey                               | CUSIP: 73358WEK6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1885599.40   | 0.08%             | 2051-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC AND GAS COMPANY                          | PUBLIC SERVICE ELECTRIC AND GAS CO                                    | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1753000 | PA      | $1535010.44   | 0.07%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| OOREDOO INTERNATIONAL FINANCE LTD                                | OOREDOO INTERNATIONAL FINANCE LTD                                     | CUSIP: 74735KAA0<br>LEI: N/A                  | Long             | DBT              | NUSS              | BM        |   1900000 | PA      | $1634266.36   | 0.07%             | 2031-04-08      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                     | QUALCOMM INCORPORATED                                                 | CUSIP: 747525BS1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    705000 | PA      | $734631.80    | 0.03%             | 2033-05-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                     | QUALCOMM INCORPORATED                                                 | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    635000 | PA      | $678391.12    | 0.03%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERV INC.                                                 | QUANTA SERVICES INC                                                   | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   3120000 | PA      | $2371462.92   | 0.11%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| RADNOR RE LTD RMIR_18-1                                          | RMIR_18-1                                                             | CUSIP: 750496AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3000000 | PA      | $2998561.20   | 0.13%             | 2028-03-25      | Variable      | 8.19%                 | No            |                  2 | On Loan: No      |
| RADNOR REESSENT RMIR_21-2                                        | RMIR_21-2                                                             | CUSIP: 75049GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3417746 | PA      | $3382478.89   | 0.15%             | 2031-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| RADNOR REESSENT RMIR_21-2                                        | RMIR_21-2                                                             | CUSIP: 75049GAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3088000 | PA      | $2916561.34   | 0.13%             | 2031-11-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORPORATION                                | RAYTHEON TECHNOLOGIES CORPORATION                                     | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $880553.96    | 0.04%             | 2050-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| READYCAP COMMERCIAL MORTGAGE TRUST RCMT_21-FL5                   | RCMT_21-FL5                                                           | CUSIP: 75574YAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3841000 | PA      | $3662536.39   | 0.16%             | 2038-04-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                               | REALTY INCOME CORPORATION                                             | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $1790855.45   | 0.08%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-3                        | RMLT_19-3                                                             | CUSIP: 76119NAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4750000 | PA      | $3923836.78   | 0.18%             | 2059-09-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                               | ROCHE HOLDINGS INC                                                    | CUSIP: 771196BY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2850000 | PA      | $1856310.34   | 0.08%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD ROCKT_20-1A                               | ROCKT_20-1A                                                           | CUSIP: 77341EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5125000 | PA      | $4836411.25   | 0.22%             | 2032-01-20      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                             | ROYAL BANK OF CANADA                                                  | CUSIP: 78016FZU1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   3135000 | PA      | $3264524.69   | 0.15%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RUTGERS UNIVERSITY NEW JERSEY                                    | Rutgers The State University of New Jersey                            | CUSIP: 783186NH8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    525000 | PA      | $540230.09    | 0.02%             | 2040-05-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| SBL HOLDINGS INC                                                 | SBL HOLDINGS INC                                                      | CUSIP: 78397DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2941000 | PA      | $2227733.56   | 0.10%             | 2049-12-31      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                               | EXELON CORPORATION                                                    | CUSIP: 30161NBF7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    513000 | PA      | $412589.69    | 0.02%             | 2052-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FEL ENERGY VI SARL                                               | FEL ENERGY VI SARL                                                    | CUSIP: 30260LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   4342565 | PA      | $3718388.53   | 0.17%             | 2040-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| F.N.B CORP                                                       | FNB CORP                                                              | CUSIP: 30260NAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3670000 | PA      | $3647755.18   | 0.16%             | 2023-02-24      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                              | FS KKR CAPITAL CORP II                                                | CUSIP: 30313RAA7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    782000 | PA      | $734715.26    | 0.03%             | 2025-02-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CAS_14-C02                                                       | CAS_14-C02                                                            | CUSIP: 30711XAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    999242 | PA      | $998201.54    | 0.04%             | 2024-05-25      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS_14-C04                         | CAS_14-C04                                                            | CUSIP: 30711XAP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1246983 | PA      | $1279437.54   | 0.06%             | 2024-11-25      | Variable      | 9.29%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CA                                 | CAS_15-C01                                                            | CUSIP: 30711XAT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    202702 | PA      | $209932.98    | 0.01%             | 2025-02-25      | Variable      | 8.69%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CA                                 | CAS_15-C02                                                            | CUSIP: 30711XAX2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    624367 | PA      | $627476.41    | 0.03%             | 2025-05-25      | Variable      | 8.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SE                                 | CAS_16-C01                                                            | CUSIP: 30711XBM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1467113 | PA      | $1531758.45   | 0.07%             | 2028-08-25      | Variable      | 11.14%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                      | CUSIP: 3128M5YL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    280959 | PA      | $293642.04    | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 5/1 HYBRID ARM                                                  | CUSIP: 3128NGEX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    512474 | PA      | $521287.23    | 0.02%             | 2036-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 12M LIBOR ARM                                                   | CUSIP: 31300L3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    179953 | PA      | $179857.02    | 0.01%             | 2041-07-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 12M LIBOR ARM                                                   | CUSIP: 31300LWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    630638 | PA      | $636016.29    | 0.03%             | 2036-07-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 1YR CMT ARM                                                     | CUSIP: 31300MCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    582700 | PA      | $589667.53    | 0.03%             | 2037-04-01      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 7/1 HYBRID ARM                                                  | CUSIP: 31326FDH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    358107 | PA      | $356584.44    | 0.02%             | 2042-12-01      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 20YR UMBS SUPER                                                 | CUSIP: 3132D9JB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8192319 | PA      | $7124110.84   | 0.32%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                 | CUSIP: 3132DM5Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9051823 | PA      | $7950045.67   | 0.36%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                 | CUSIP: 3132DMWU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8685863 | PA      | $7735387.20   | 0.35%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                 | CUSIP: 3132DNFZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12391878 | PA      | $11380708.93  | 0.51%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                 | CUSIP: 3132DNHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5211255 | PA      | $4928890.34   | 0.22%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                 | CUSIP: 3132DNQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1919845 | PA      | $1759121.98   | 0.08%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                 | CUSIP: 3132DNTZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8762167 | PA      | $8647427.79   | 0.39%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                 | CUSIP: 3132DNXS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4730223 | PA      | $4685468.61   | 0.21%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                 | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6068269 | PA      | $5137237.77   | 0.23%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133BBGD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6829575 | PA      | $6427502.83   | 0.29%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133BBGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5556492 | PA      | $5091286.81   | 0.23%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133KKB57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5200105 | PA      | $4420871.61   | 0.20%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12650662 | PA      | $10784883.06  | 0.48%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133KMEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8882220 | PA      | $7806089.90   | 0.35%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133KMJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16345431 | PA      | $13326520.31  | 0.60%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10573971 | PA      | $8622838.48   | 0.39%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133KNNV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12703440 | PA      | $11207771.48  | 0.50%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133KPGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3283433 | PA      | $3081010.24   | 0.14%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                       | CUSIP: 3133KQDW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  22947970 | PA      | $23399726.35  | 1.05%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_18-HRP1                      | STACR_18-HRP1                                                         | CUSIP: 3137G0VC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    236142 | PA      | $235829.94    | 0.01%             | 2043-04-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138EGXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1426895 | PA      | $1374924.59   | 0.06%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138EHN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    167516 | PA      | $178700.25    | 0.01%             | 2039-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 3/1 HYBRID ARM                                                   | CUSIP: 3138ELNS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    786356 | PA      | $799891.83    | 0.04%             | 2038-03-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138LSL65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    589249 | PA      | $551599.70    | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138WF3X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2150069 | PA      | $2054089.36   | 0.09%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138WFYH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    512734 | PA      | $491116.59    | 0.02%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138WJYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4823107 | PA      | $4474346.55   | 0.20%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138XYCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2292823 | PA      | $2146233.94   | 0.10%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138YGYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1629552 | PA      | $1518308.60   | 0.07%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 3138YL2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3304043 | PA      | $3076420.33   | 0.14%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_05-106                                           | FNMA_05-106                                                           | CUSIP: 31394UJ45<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    355140 | PA      | $352222.11    | 0.02%             | 2035-11-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 6M LIBOR ARM                                                     | CUSIP: 31407GYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    836731 | PA      | $839626.10    | 0.04%             | 2035-06-01      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 6M LIBOR ARM                                                     | CUSIP: 31407GYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    336928 | PA      | $337550.10    | 0.02%             | 2035-06-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 6M LIBOR ARM                                                     | CUSIP: 31407GYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    267110 | PA      | $267363.37    | 0.01%             | 2035-06-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 6M LIBOR ARM                                                     | CUSIP: 31407GYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    230919 | PA      | $231596.55    | 0.01%             | 2035-06-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 10/1 HYBRID ARM                                                  | CUSIP: 3140FS6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1009272 | PA      | $965191.05    | 0.04%             | 2047-03-01      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 10/1 HYBRID ARM                                                  | CUSIP: 3140FTAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    857299 | PA      | $819446.49    | 0.04%             | 2047-04-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 40YR REPERFORMING MODIFIED                                       | CUSIP: 3140FXPC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1088737 | PA      | $1037402.16   | 0.05%             | 2059-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 40YR REPERFORMING MODIFIED                                       | CUSIP: 3140JBHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1116938 | PA      | $1069845.48   | 0.05%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                                             | CUSIP: 3140JN4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    792290 | PA      | $760065.94    | 0.03%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR UMBS                                                        | CUSIP: 3140M2KG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7698090 | PA      | $6694333.76   | 0.30%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140M83L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1798398 | PA      | $1525817.66   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140MHUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9902729 | PA      | $8767393.30   | 0.39%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140MKAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3919717 | PA      | $3703355.28   | 0.17%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140N1WN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10299566 | PA      | $10167160.98  | 0.45%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140N25N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6539759 | PA      | $6474779.24   | 0.29%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140QDU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9066885 | PA      | $8005530.62   | 0.36%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140QN7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22000665 | PA      | $20054021.42  | 0.90%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140QNF31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8987573 | PA      | $7929307.62   | 0.35%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140QNN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8578090 | PA      | $7313175.83   | 0.33%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140QPSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5057314 | PA      | $4871710.77   | 0.22%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 3140QPXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19616810 | PA      | $19350824.92  | 0.86%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140X7RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4689607 | PA      | $4235111.63   | 0.19%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR UMBS SUPER                                                  | CUSIP: 3140XAUZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5720357 | PA      | $5102879.64   | 0.23%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XDS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5186633 | PA      | $4403849.17   | 0.20%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XF4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19020927 | PA      | $15579611.40  | 0.70%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XGMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10620187 | PA      | $10031185.47  | 0.45%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XGST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3024352 | PA      | $2749357.99   | 0.12%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XHCM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7802977 | PA      | $6911643.57   | 0.31%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR UMBS SUPER                                                  | CUSIP: 3140XHHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18969760 | PA      | $16920340.23  | 0.76%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XHN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3571454 | PA      | $3356073.50   | 0.15%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XHR33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3228147 | PA      | $2859383.70   | 0.13%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR UMBS SUPER                                                  | CUSIP: 3140XHX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7335741 | PA      | $6543524.84   | 0.29%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XHXF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8444074 | PA      | $7170875.04   | 0.32%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR UMBS SUPER                                                  | CUSIP: 3140XJAJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2866231 | PA      | $2550564.33   | 0.11%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                  | CUSIP: 3140XJQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9517913 | PA      | $8397296.92   | 0.38%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                            | CUSIP: 31412PG47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    359479 | PA      | $355945.47    | 0.02%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                            | CUSIP: 31413H2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    341472 | PA      | $355387.44    | 0.02%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                            | CUSIP: 31415P4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    306992 | PA      | $317472.95    | 0.01%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1020736 | PA      | $1010439.40   | 0.05%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 31417AEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1538022 | PA      | $1439768.33   | 0.06%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                             | CUSIP: 31417AQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1878255 | PA      | $1803729.27   | 0.08%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                            | CUSIP: 31417MTD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1771729 | PA      | $1756135.30   | 0.08%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                        | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11424771 | PA      | $9693153.08   | 0.43%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR UMBS                                                        | CUSIP: 31418EED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6510911 | PA      | $5672271.06   | 0.25%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Columbia Funds Variable Series Trust II

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer