# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004409
**Filing Date:** 2025-11
**Character Count:** 277282
**Document Hash:** 4e5f3d8ba2f7ba93bac55d8dbca527d4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004409.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004409

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528213

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Total Return Fund II (Series ID: S000009709)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026656 | Institutional | PMBIX           |
| C000082492 | I-2           | PMTPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO Total Return Fund II

- **b. EDGAR series identifier (if any):** S000009709

- **c. LEI of Series:** T7JTTTWHW1CB4D04VW48

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

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

- **b. Date as of which information is reported:** 2025-09-30

**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:** $931666859.51

**Total Liabilities:** $331796100.37

**Net Assets:** $599870759.14

**Delayed Delivery Securities:** $6300000.00

**Cash Not Reported:** $5908876.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 15022.695300 | **1-Year:** 29055.771100 | **5-Year:** 150298.445600 | **10-Year:** 42548.266200 | **30-Year:** 1701.649200

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

- **3-Month:** 83.692700 | **1-Year:** 450.686000 | **5-Year:** 535.914200 | **10-Year:** 13.275600 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000082492 | -0.16%               | 1.42%                | 1.01%                |
| Class ID C000026656 | -0.15%               | 1.43%                | 1.02%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $149231.22               | $-5065616.91                               |
| Month 2  | $830918.25               | $6279877.92                                |
| Month 3  | $1267508.40              | $4973574.27                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                              | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                               | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-253.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 932511 FN 02/40 FIXED 5.5                     | CUSIP: 31412RAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2908 | PA      | $3017.62      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-54                                         | FANNIE MAE FNR 2024 54 FC                               | CUSIP: 3136BSSC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1163650 | PA      | $1169161.68   | 0.19%             | 2054-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORPORATION                                           | HF SINCLAIR CORP SR UNSECURED 01/31 5.75                | CUSIP: 403949AR1<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    400000 | PA      | $414204.02    | 0.07%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT2092 FR 06/34 FIXED 3.5             | CUSIP: 3132AEKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20456 | PA      | $20073.03     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03968 FG 12/36 FIXED 5.5             | CUSIP: 3128M5W55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       619 | PA      | $643.24       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C                    | HYUNDAI AUTO LEASE SECURITIZAT HALST 2023 C A3 144A     | CUSIP: 44935VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    535010 | PA      | $536440.29    | 0.09%             | 2026-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11817.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2488757 | PA      | $2489560.36   | 0.42%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A48628 FG 05/36 FIXED 6               | CUSIP: 3128K9SR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2879 | PA      | $2998.11      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | CITIGROUP INC SR UNSECURED 03/31 VAR                    | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299567.09    | 0.05%             | 2031-03-31      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783771 GN 04/41 FIXED 5                       | CUSIP: 3622A2FL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46308 | PA      | $47515.95     | 0.01%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782468 GN 11/38 FIXED 5                       | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    177932 | PA      | $182573.57    | 0.03%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03941 FG 02/38 FIXED 6               | CUSIP: 3128M5WA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6761 | PA      | $7135.18      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $32.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO/THE SR UNSECURED 05/27 6.259                  | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $308796.33    | 0.05%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                           | CENTERPOINT ENER HOUSTON GENL REF MOR 03/30 4.8         | CUSIP: 15189XBG2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204747.46    | 0.03%             | 2030-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    783635 | PA      | $770676.49    | 0.13%             | 2036-06-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2023-A                                      | SBNA AUTO LEASE TRUST SBALT 2023 A A3 144A              | CUSIP: 78436TAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    684229 | PA      | $687798.04    | 0.11%             | 2027-04-20      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55000 08/21/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4447.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/43 4.375                             | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14700000 | PA      | $14191529.35  | 2.37%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NLG GLOBAL FUNDING                                                | NLG GLOBAL FUNDING SECURED 144A 01/30 5.4               | CUSIP: 62915W2A0<br>LEI: 635400SKBQOWEJZLTW68 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518297.49    | 0.09%             | 2030-01-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1515 FN 12/30 FIXED 4                       | CUSIP: 3138A2VH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44620 | PA      | $44414.40     | 0.01%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3866 FN 12/34 FIXED 3.5                     | CUSIP: 31418DJL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7448 | PA      | $7271.30      | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                              | BAYER US FINANCE LLC BAYER US FINANCE LLC               | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203526.23    | 0.03%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56900 08/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2448.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3122 FN 03/52 FIXED 3                       | CUSIP: 3140QNPG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3383877 | PA      | $2981723.53   | 0.50%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/27 4.7              | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1506157.34   | 0.25%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 985525 FN 06/38 FIXED 5.5                     | CUSIP: 31415PYW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76571 | PA      | $79528.72     | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8716 FR 09/33 FIXED 3.5             | CUSIP: 3132A9VH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    146623 | PA      | $144684.69    | 0.02%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 11/42 0.00000                                    | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $196445.53    | 0.03%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS & ELECTRIC                                         | LOUISVILLE GAS + ELEC 1ST MORTGAGE 04/33 5.45           | CUSIP: 546676AZ0<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209454.20    | 0.03%             | 2033-04-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                              | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/31 FIXED 2.951 | CUSIP: 88880LAN3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $910324.60    | 0.15%             | 2031-06-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 985720 FN 06/38 FIXED 5.5                     | CUSIP: 31415QAV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1525 | PA      | $1538.74      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H18 FA          | CUSIP: 38376RXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    315180 | PA      | $315839.54    | 0.05%             | 2066-08-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q06186 FG 02/42 FIXED 4               | CUSIP: 3132GRF30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35675 | PA      | $34757.61     | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL CORP                                              | BLOCK FINANCIAL LLC COMPANY GUAR 09/32 5.375            | CUSIP: 093662AK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $907618.29    | 0.15%             | 2032-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04701 FG 01/38 FIXED 6               | CUSIP: 3128M6RW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12063 | PA      | $12691.67     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5548 FN 05/38 FLOATING VAR                  | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    179433 | PA      | $186302.04    | 0.03%             | 2038-05-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 714055 GN 05/39 FIXED 5                       | CUSIP: 36297KH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29432 | PA      | $30200.71     | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                          | AMERICAN EXPRESS CO SR UNSECURED 07/33 VAR              | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203540.11    | 0.03%             | 2033-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX              | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1730084.58   | 0.29%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 780165 FN 05/34 FIXED 5.5                     | CUSIP: 31404VW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25679 | PA      | $26592.55     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP/THE SR UNSECURED 06/28 5.45                    | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512227.31    | 0.09%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                         | INDYMAC ARM TRUST INARM 2001 H2 A2                      | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2181 | PA      | $2112.79      | 0.00%             | 2032-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8225 FR 07/52 FIXED 3               | CUSIP: 3132DWD67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30510774 | PA      | $26836587.98  | 4.47%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04219 FG 04/38 FIXED 5.5             | CUSIP: 3128M6AU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2417 | PA      | $2509.49      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2821234.26   | 0.47%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                     | SIXTH STREET LENDING PAR SR UNSECURED 03/29 6.5         | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    300000 | PA      | $311951.48    | 0.05%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO MORTGAGE BACKED SECURITI PIMCO MBS ACTIVE ETF     | CUSIP: 72201R569<br>LEI: 2549001WTPP9QU7A6W04 | Long             | EC               | RF                | US        |    457100 | NS      | $22698260.41  | 3.78%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H25 FB          | CUSIP: 38375UZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    703449 | PA      | $712507.11    | 0.12%             | 2067-11-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 09/28 4.625                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4600000 | PA      | $4729824.24   | 0.79%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2017-1AA                       | SPIRIT AIR 2017 1 PTT AA PASS THRU CE 08/31 3.375       | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120061 | PA      | $112010.24    | 0.02%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                | VICI PROPERTIES LP SR UNSECURED 04/28 4.75              | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    400000 | PA      | $404386.90    | 0.07%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                         | AMGEN INC SR UNSECURED 03/33 5.25                       | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1036149.07   | 0.17%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                         | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/30 4.9         | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201649.32    | 0.03%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255364 FN 09/34 FIXED 6                       | CUSIP: 31371LTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       852 | PA      | $885.97       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 PHH A 144A    | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1453629 | PA      | $1248582.00   | 0.21%             | 2035-06-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1232583 | PA      | $1067362.50   | 0.18%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA          | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    269346 | PA      | $270100.64    | 0.05%             | 2066-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM1842 FN 06/34 FIXED VAR                     | CUSIP: 3140X5BL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30378 | PA      | $29959.60     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/44 3.625                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1302480.47   | 0.22%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19700000 | PA      | $20122968.65  | 3.35%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN18                                                    | BANK BANK 2019 BN18 ASB                                 | CUSIP: 065402BA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521335 | PA      | $513368.55    | 0.09%             | 2062-05-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 2A1        | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64477 | PA      | $59527.41     | 0.01%             | 2036-02-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0620 G2 09/55 FIXED 4                    | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $470445.08    | 0.08%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6100000 | PA      | $4901921.88   | 0.82%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3               | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3040195 | PA      | $2680051.35   | 0.45%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO/THE SR UNSECURED 05/34 6.528                  | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $221252.03    | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 09/29 3.875                             | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12600000 | PA      | $12688347.67  | 2.12%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INTEGRIS BAPTIST MEDICAL CENTER                                   | INTEGRIS BAPTIST MEDICAL SR SECURED 08/50 3.875         | CUSIP: 45834QAA7<br>LEI: 549300S00ZKDLJSB3927 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1538610.97   | 0.26%             | 2050-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                               | PAYPAL HOLDINGS INC SR UNSECURED 04/35 5.1              | CUSIP: 70450YAT0<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306980.03    | 0.05%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO/THE SR UNSECURED 05/31 6.388                  | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    400000 | PA      | $435854.28    | 0.07%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                        | AVIATION CAPITAL GROUP SR UNSECURED 144A 04/30 5.125    | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $508135.29    | 0.08%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO THE BANK OF NOVA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1436750 | PA      | $-1437798.83  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04626 FG 05/31 FIXED 6               | CUSIP: 3128M6PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $93.43        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                            | MARVELL TECHNOLOGY INC SR UNSECURED 02/29 5.75          | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    925000 | PA      | $965326.83    | 0.16%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                            | SEMPRA JR SUBORDINA 04/56 VAR                           | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    300000 | PA      | $308056.57    | 0.05%             | 2056-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1766.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A     | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1205809.03   | 0.20%             | 2039-03-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4834.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                              | JACKSON NATL LIFE GLOBAL SECURED 144A 01/30 5.35        | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    300000 | PA      | $310580.94    | 0.05%             | 2030-01-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $12507.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804701 FN 01/35 FLOATING VAR                  | CUSIP: 31406BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27295 | PA      | $27609.41     | 0.00%             | 2035-01-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3632 FN 04/34 FIXED 3.5                     | CUSIP: 31418DBA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2066 | PA      | $2036.66      | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4           | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1659209.52   | 0.28%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                              | CANTOR FITZGERALD LP CANTOR FITZGERALD LP               | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |    500000 | PA      | $534362.78    | 0.09%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04719 FG 01/38 FIXED 5.5             | CUSIP: 3128M6SG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2573 | PA      | $2681.83      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.99400 07/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-35358.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS INC                                        | ZIMMER BIOMET HOLDINGS ZIMMER BIOMET HOLDINGS           | CUSIP: 98956PAZ5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204859.23    | 0.03%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL PROPERTIES LP                                           | ESSENTIAL PROPERTIES LP COMPANY GUAR 12/35 5.4          | CUSIP: 29670VAB5<br>LEI: 254900XX9FNFCDE1NX02 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200869.52    | 0.03%             | 2035-12-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR          | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3108 | PA      | $3151.25      | 0.00%             | 2030-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST              | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3           | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    717949 | PA      | $691168.18    | 0.12%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60364 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-44517.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 6                                          | SEQUOIA MORTGAGE TRUST SEMT 6 A                         | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34387 | PA      | $34062.53     | 0.01%             | 2027-04-19      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA2207 FN 03/39 FIXED 5.5                     | CUSIP: 31416KNZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56 | PA      | $56.81        | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        63 | NC      | $26256.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA9360 G2 12/53 FIXED 4.5                  | CUSIP: 36179YMH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1871681 | PA      | $1823342.44   | 0.30%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                            | EQUITABLE HOLDINGS INC SR UNSECURED 04/28 4.35          | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    133000 | PA      | $133502.59    | 0.02%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -20 | NC      | $-4284.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080107 G2 08/27 FLOATING VAR               | CUSIP: 36225CDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13628 | PA      | $13724.23     | 0.00%             | 2027-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06238 FG 01/38 FIXED 6               | CUSIP: 3128M8HP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114221 | PA      | $120538.76    | 0.02%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33983 | PA      | $29514.98     | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 02/42 0.00000                                    | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $173481.39    | 0.03%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56477 FG 01/37 FIXED 6               | CUSIP: 3128KKFS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1053 | PA      | $1076.58      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO/THE SR UNSECURED 05/54 6.858                  | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $342438.95    | 0.06%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080096 G2 07/27 FLOATING VAR               | CUSIP: 36225CDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11313 | PA      | $11306.76     | 0.00%             | 2027-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                  | TENN VALLEY AUTHORITY SR UNSECURED 09/31 1.5            | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1700000 | PA      | $1479982.58   | 0.25%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844615 FN 12/35 FIXED 5.5                     | CUSIP: 31407YK40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7490 | PA      | $7773.82      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST ELECTRIC & GAS CORP                                   | NY STATE ELECTRIC + GAS SR UNSECURED 144A 10/31 2.15    | CUSIP: 649840CT0<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1479752.57   | 0.25%             | 2031-10-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                        | FISERV INC SR UNSECURED 02/31 4.55                      | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301245.57    | 0.05%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST                 | BRITISH AIR 21 1 A PPT PASS THRU CE 144A 09/36 2.9      | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    652018 | PA      | $593286.44    | 0.10%             | 2036-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                      | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    107135 | PA      | $107651.99    | 0.02%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F+G GLOBAL FUNDING F+G GLOBAL FUNDING                   | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    600000 | PA      | $615862.23    | 0.10%             | 2027-06-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST SECURED 144A 09/30 4.5          | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148889.69    | 0.02%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                  | TENN VALLEY AUTHORITY SR UNSECURED 05/35 4.875          | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3500000 | PA      | $3630459.07   | 0.61%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04216 FG 12/37 FIXED 5.5             | CUSIP: 3128M6AR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1145 | PA      | $1193.71      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $4921029.28   | 0.82%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                        | COPT DEFENSE PROP LP COMPANY GUAR 10/30 4.5             | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99389.08     | 0.02%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6448440 | PA      | $6105510.86   | 1.02%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/44 3.125                             | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $961171.87    | 0.16%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICALS                                         | REGENERON PHARMACEUTICAL SR UNSECURED 09/30 1.75        | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1411640.72   | 0.24%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1872 FR 04/34 FIXED 3.5             | CUSIP: 3132AECH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50679 | PA      | $49960.76     | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/43 2.875                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1410750.00   | 0.24%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                          | AMERICAN EXPRESS CO SR UNSECURED 04/31 VAR              | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102850.67    | 0.02%             | 2031-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 649265 GN 11/35 FIXED 5                       | CUSIP: 36292HJJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3174 | PA      | $3250.84      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP INC                                       | SAMMONS FINANCIAL GROUP SAMMONS FINANCIAL GROUP         | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |    600000 | PA      | $661234.06    | 0.11%             | 2034-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5761.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                               | SYNCHRONY FINANCIAL SR UNSECURED 03/31 VAR              | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    700000 | PA      | $713546.28    | 0.12%             | 2031-03-06      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-38427.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MSCI INC                                                          | MSCI INC SR UNSECURED 09/35 5.25                        | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    400000 | PA      | $403463.29    | 0.07%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                              | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    400000 | PA      | $409031.81    | 0.07%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                           | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV5 A12 144A    | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1414543 | PA      | $1222584.73   | 0.20%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 940804 FN 07/37 FIXED 6                       | CUSIP: 31413BU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    108058 | PA      | $113584.86    | 0.02%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                    | OMEGA HLTHCARE INVESTORS COMPANY GUAR 01/28 4.75        | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    600000 | PA      | $605463.74    | 0.10%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1732 FR 02/34 FIXED 3.5             | CUSIP: 3132AD4R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10363 | PA      | $10219.34     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781830 GN 11/34 FIXED 5                       | CUSIP: 36241KA73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5131 | PA      | $5248.74      | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC1841 FN 09/39 FIXED 4.5                     | CUSIP: 31417LBK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12477 | PA      | $12559.82     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA4067 FN 08/34 FIXED 3.5                     | CUSIP: 3140QBQV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3516 | PA      | $3432.27      | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                   | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A              | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182520 | PA      | $179837.99    | 0.03%             | 2040-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A        | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $511777.70    | 0.09%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-15763.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                | META PLATFORMS INC META PLATFORMS INC                   | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197753.54    | 0.03%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10920412 | PA      | $10587794.99  | 1.77%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 11/41 0.00000                                    | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    180000 | PA      | $83361.97     | 0.01%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                  | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    132038 | PA      | $130616.56    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77766 FG 06/38 FIXED 6               | CUSIP: 3128LBTX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    263855 | PA      | $277679.10    | 0.05%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                         | FANNIE MAE FNR 2024 38 AF                               | CUSIP: 3136BR5A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1077369 | PA      | $1077861.52   | 0.18%             | 2047-12-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                          | BROADSTONE NET LEASE LLC COMPANY GUAR 11/32 5           | CUSIP: 11134GAA8<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99446.74     | 0.02%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INC (AKA: PSEG INC)               | PUBLIC SERVICE ENTERPRIS PUBLIC SERVICE ENTERPRIS       | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    300000 | PA      | $310741.07    | 0.05%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2021-1A                                    | LENDMARK FUNDING TRUST LFT 2021 1A A 144A               | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1646714.01   | 0.27%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0219 FN 04/41 FLOATING VAR                  | CUSIP: 3138EGG57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3518 | PA      | $3625.31      | 0.00%             | 2041-04-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03330 FG 09/37 FIXED 6               | CUSIP: 3128M5A75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53268 | PA      | $56216.98     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OAKTREE SPECIALTY LENDING CORPORATION                             | OAKTREE SPECIALTY LEND SR UNSECURED 02/30 6.34          | CUSIP: 67401PAE8<br>LEI: 549300J6MGCEU5928620 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200971.69    | 0.03%             | 2030-02-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/28 2.875                             | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2547289.06   | 0.42%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3822 FN 09/29 FIXED 3.5                     | CUSIP: 31418DG89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69374 | PA      | $68846.97     | 0.01%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2 LLC                             | ENTERPRISE FLEET FINANCING LLC EFF 2024 2 A2 144A       | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090403 | PA      | $1095844.07   | 0.18%             | 2026-12-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735227 FN 02/35 FIXED VAR                     | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    273601 | PA      | $284140.26    | 0.05%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080086 G2 06/27 FLOATING VAR               | CUSIP: 36225CCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4866 | PA      | $4896.05      | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 649509 GN 10/35 FIXED 5                       | CUSIP: 36292HR62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2781 | PA      | $2837.95      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/30 3.75                              | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2602285.17   | 0.43%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                 | BDS LTD BDS 2022 FL11 ATS 144A                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1812095 | PA      | $1815525.96   | 0.30%             | 2039-03-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 05/29 5.55          | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514875.03    | 0.09%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/54 4.625                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1867269.54   | 0.31%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H30 FD          | CUSIP: 38376RLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    128474 | PA      | $128717.69    | 0.02%             | 2065-10-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                           | ARTHUR J GALLAGHER + CO SR UNSECURED 12/29 4.85         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306372.44    | 0.05%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                 | HEALTHPEAK OP LLC COMPANY GUAR 07/29 3.5                | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1260686.84   | 0.21%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88000 07/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-47588.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -530 | NC      | $-634938.49   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BANK OF AMERICA REVERSE REPO               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -679875 | PA      | $-679956.40   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORPORATION                                         | SOUTHWEST GAS CORP SR UNSECURED 03/32 4.05              | CUSIP: 845011AE5<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1731621.06   | 0.29%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.67000 01/08/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2653.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HANOVER INSURANCE GROUP INC (AKA: ALLMERICA FINANCIAL CORP)       | HANOVER INSURANCE GROUP SR UNSECURED 09/30 2.5          | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1444695.47   | 0.24%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                              | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1           | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11485 | PA      | $3670.85      | 0.00%             | 2036-11-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                    | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                 | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37170 | PA      | $17206.06     | 0.00%             | 2037-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889174 FN 08/37 FIXED VAR                     | CUSIP: 31410G2F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6243 | PA      | $6490.96      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                | ESSEX PORTFOLIO LP COMPANY GUAR 04/35 5.375             | CUSIP: 29717PBB2<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206631.38    | 0.03%             | 2035-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03551 FG 11/37 FIXED 6               | CUSIP: 3128M5H45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14155 | PA      | $14938.48     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFFA0 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-145.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60933 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13110.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING ATHENE GLOBAL FUNDING             | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    800000 | PA      | $814913.06    | 0.14%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                     | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A3 144A     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235018 | PA      | $1021789.92   | 0.17%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555417 FN 05/33 FIXED VAR                     | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       506 | PA      | $523.23       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL            | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A    | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1577893 | PA      | $1519172.51   | 0.25%             | 2038-08-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60000 01/17/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2889.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190175.00    | 0.03%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22569 | PA      | $23558.65     | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080076 G2 05/27 FLOATING VAR               | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2332 | PA      | $2337.50      | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BANK OF MONTREAL REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -47717875 | PA      | $-47763684.16 | -7.96%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24700000 | PA      | $24482353.48  | 4.08%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DIRECT LENDING FUND                                | MORGAN STANLEY DIRECT SR UNSECURED 02/27 4.5            | CUSIP: 61774AAD5<br>LEI: 549300QEX22T2J8IB029 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1698043.30   | 0.28%             | 2027-02-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER COMPANY OF MINNESOTA                        | NORTHERN STATES PWR MINN 1ST MORTGAGE 04/31 2.25        | CUSIP: 665772CT4<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1452919.06   | 0.24%             | 2031-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 10/30 4.875                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3784851.58   | 0.63%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                  | LPL HOLDINGS INC COMPANY GUAR 04/28 4.9                 | CUSIP: 50212YAN4<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202210.49    | 0.03%             | 2028-04-03      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701692 GN 02/39 FIXED 5                       | CUSIP: 36296URM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22909 | PA      | $23507.88     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA7171 FN 05/39 FIXED 4.5                     | CUSIP: 31416Q6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16447 | PA      | $16511.12     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03781 FG 01/38 FIXED 6               | CUSIP: 3128M5RA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5335 | PA      | $5631.56      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL          | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236535 | PA      | $236540.31    | 0.04%             | 2065-06-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                     | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A               | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1745158.32   | 0.29%             | 2036-09-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3609                                                  | FREDDIE MAC FHR 3609 F                                  | CUSIP: 31398LN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240134 | PA      | $241079.10    | 0.04%             | 2036-08-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GENERAL MOTORS COMPANY SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $36217.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER LP SR UNSECURED 12/26 6.05              | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    900000 | PA      | $917056.99    | 0.15%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                 | BROWN + BROWN INC BROWN + BROWN INC                     | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    600000 | PA      | $622864.80    | 0.10%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.81358 03/10/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $24513.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1362660 | PA      | $1224642.47   | 0.20%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.78750 05/03/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-189638.69   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                   | TYSON FOODS INC TYSON FOODS INC                         | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    300000 | PA      | $316272.13    | 0.05%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                    | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A1                  | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674432 | PA      | $554205.67    | 0.09%             | 2035-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                | AMERICAN TOWER CORP SR UNSECURED 03/29 3.95             | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198016.48    | 0.03%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H06                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H06 FD          | CUSIP: 38376RSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    470907 | PA      | $473090.76    | 0.08%             | 2065-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888890 FN 10/37 FIXED VAR                     | CUSIP: 31410GRK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       623 | PA      | $659.83       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03339 FG 08/37 FIXED 6               | CUSIP: 3128M5BG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24874 | PA      | $26251.60     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                   | TYSON FOODS INC TYSON FOODS INC                         | CUSIP: 902494BL6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    300000 | PA      | $310413.89    | 0.05%             | 2029-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1         | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17176 | PA      | $17329.83     | 0.00%             | 2033-04-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR22     | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR22 3A1       | CUSIP: 22541QRL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325599 | PA      | $328265.42    | 0.05%             | 2033-09-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 794994 FN 10/34 FIXED 5.5                     | CUSIP: 31405PGB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       316 | PA      | $328.48       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX9727 FN 04/53 FIXED 5                       | CUSIP: 3140NEYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    736220 | PA      | $733480.61    | 0.12%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 08/28 4.8                      | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305090.42    | 0.05%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 04/60 3.85                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $894675.81    | 0.15%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-LTV2                              | JP MORGAN MORTGAGE TRUST JPMMT 2022 LTV2 A3 144A        | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1336875 | PA      | $1199784.84   | 0.20%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.61882 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-19847.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 548695 FN 10/30 FIXED 8                       | CUSIP: 31385PRQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89 | PA      | $88.82        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1476690.30   | 0.25%             | 2036-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                      | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A       | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1186569 | PA      | $1172966.33   | 0.20%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26625 | PA      | $25612.81     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPU STATE STREET GLOBAL MARKE USD REPU SSB T           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -37431345 | PA      | $-37435888.75 | -6.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-76122.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1073 FN 03/52 FIXED VAR                     | CUSIP: 3140XGFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1735044 | PA      | $1527400.35   | 0.25%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE1265 FN 09/41 FIXED 4                       | CUSIP: 31419BMP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121078 | PA      | $117875.27    | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 12/21/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4964369.43   | 0.83%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 766177 FN 02/34 FIXED 5.5                     | CUSIP: 31404EFS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12574 | PA      | $12725.94     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BB4481 GN 07/47 FIXED 5                       | CUSIP: 3617AU6S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    148846 | PA      | $148563.47    | 0.02%             | 2047-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647734 GN 08/35 FIXED 5                       | CUSIP: 36292FSX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1577 | PA      | $1616.10      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER COMPANY                                         | APPALACHIAN POWER CO SR UNSECURED 04/31 2.7             | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1459262.03   | 0.24%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A63820 FG 08/37 FIXED 6               | CUSIP: 3128KUG50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       474 | PA      | $500.28       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 633286 GN 11/35 FIXED 5                       | CUSIP: 36291NRF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1371 | PA      | $1404.82      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB2503 FN 03/31 FIXED 4.5                     | CUSIP: 31416XX96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6911 | PA      | $6950.53      | 0.00%             | 2031-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 06/32 4                                 | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7300000 | PA      | $7338923.82   | 1.22%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5             | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60404 | PA      | $62835.71     | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 08/41 0.00000                                    | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    370000 | PA      | $173737.13    | 0.03%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                | PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/35 5.15         | CUSIP: 744448DC2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202658.11    | 0.03%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-19499.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 09/28 1.25                              | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2425566.42   | 0.40%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                  | WILLIAMS COMPANIES INC SR UNSECURED 11/29 4.8           | CUSIP: 969457CL2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    600000 | PA      | $611224.15    | 0.10%             | 2029-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/45 4.75                              | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $5334367.21   | 0.89%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08793 FG 12/47 FIXED 4               | CUSIP: 3128MJ3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29922 | PA      | $28808.49     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                    | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A    | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130300 | PA      | $126588.59    | 0.02%             | 2034-06-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM1107 FN 06/49 FIXED VAR                     | CUSIP: 3140X4GR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    426956 | PA      | $410614.21    | 0.07%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP              | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP A 144A   | CUSIP: 50085PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1339506.50   | 0.22%             | 2044-11-05      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A90393 FG 12/39 FIXED 5               | CUSIP: 312938NJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6570 | PA      | $6697.48      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                   | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC           | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1035359.08   | 0.17%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                  | PUGET ENERGY INC SR SECURED 03/35 5.725                 | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    600000 | PA      | $619910.77    | 0.10%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357628 FN 10/34 FIXED 5.5                     | CUSIP: 31376KHD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5174 | PA      | $5373.21      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.8724* 03/20/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $31621.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -223 | NC      | $-550332.38   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1904 FN 03/26 FIXED 4                       | CUSIP: 3138A3DJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $61.45        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H31                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H31 FT          | CUSIP: 38376RMX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34921 | PA      | $35001.21     | 0.01%             | 2065-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST                 | BRITISH AIR 19 1 A PTT PASS THRU CE 144A 12/30 3.35     | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    545785 | PA      | $526421.93    | 0.09%             | 2030-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOEING CO/THE SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $10646.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                 | CAPITAL ONE FINANCIAL CO SR UNSECURED 09/31 VAR         | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1091466.12   | 0.18%             | 2031-09-11      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69852 FG 12/37 FIXED 5.5             | CUSIP: 3128L15M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2335 | PA      | $2432.19      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS COMPANY                                           | AMEREN ILLINOIS CO 1ST MORTGAGE 11/30 1.55              | CUSIP: 02361DAV2<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1315682.36   | 0.22%             | 2030-11-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                          | CONSTELLATION BRANDS INC SR UNSECURED 01/29 4.8         | CUSIP: 21036PBQ0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304837.31    | 0.05%             | 2029-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-3049.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11732.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2023-2A                                  | OCTANE RECEIVABLES TRUST OCTL 2023 2A A2 144A           | CUSIP: 67571QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89740 | PA      | $89830.49     | 0.01%             | 2031-06-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13700000 | PA      | $13283306.42  | 2.21%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/42 2.375                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1260291.02   | 0.21%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -28 | NC      | $-5687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                        | HPS CORPORATE LENDING FU SR UNSECURED 144A 06/27 5.3    | CUSIP: 40440VAL9<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502923.97    | 0.08%             | 2027-06-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/45 2.5                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    880000 | PA      | $630609.37    | 0.11%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3610 FN 03/34 FIXED 3.5                     | CUSIP: 31418DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23502 | PA      | $23174.22     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                   | ANGEL OAK MORTGAGE TRUST AOMT 2024 4 A1 144A            | CUSIP: 034943AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    552662 | PA      | $559741.89    | 0.09%             | 2069-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN6656 FN 05/34 FIXED 3.5                     | CUSIP: 3140JPME2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    498914 | PA      | $491789.70    | 0.08%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                               | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A       | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1730949.97   | 0.29%             | 2038-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST 2023-A2                             | SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A2 A           | CUSIP: 87166PAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1426333.72   | 0.24%             | 2029-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95              | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1626796.16   | 0.27%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H18 FB          | CUSIP: 38376REZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    364617 | PA      | $364665.23    | 0.06%             | 2065-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/44 4.5                               | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3700000 | PA      | $3619785.15   | 0.60%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                           | BOOZ ALLEN HAMILTON INC COMPANY GUAR 144A 09/28 3.875   | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196276.50    | 0.03%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                          | AMERICAN EXPRESS CO SR UNSECURED 01/31 VAR              | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    800000 | PA      | $825168.26    | 0.14%             | 2031-01-30      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| LINCOLN FINANCIAL GLOBAL FUNDING                                  | LINCOLN FIN GLBL FUNDING SECURED 144A 08/30 4.625       | CUSIP: 53359KAC5<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    700000 | PA      | $704753.70    | 0.12%             | 2030-08-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0563 FN 11/30 FIXED 4                       | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       713 | PA      | $709.72       | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468604 | PA      | $466950.21    | 0.08%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                              | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1861403.59   | 0.31%             | 2039-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05531 FG 08/38 FIXED 6               | CUSIP: 3128M7PQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2899 | PA      | $3059.07      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                 | AMCOR FLEXIBLES NORTH AM COMPANY GUAR 03/28 4.8         | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505771.83    | 0.08%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A65652 FG 09/37 FIXED 6               | CUSIP: 3128KWH55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16170 | PA      | $17017.88     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647841 GN 10/35 FIXED 5                       | CUSIP: 36292FWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2370 | PA      | $2429.32      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                           | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1430346.30   | 0.24%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                           | ENTERGY MISSISSIPPI LLC 1ST MORTGAGE 09/33 5            | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    800000 | PA      | $816487.18    | 0.14%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13560 | PA      | $12909.68     | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.08000 06/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-46736.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                              | GCAT GCAT 2022 INV2 A5 144A                             | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1292594 | PA      | $1116103.46   | 0.19%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BP1218 GN 09/49 FIXED 4                       | CUSIP: 3617L7K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41074 | PA      | $39007.72     | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H09 FB          | CUSIP: 38376RTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125917 | PA      | $126371.23    | 0.02%             | 2066-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37105 | PA      | $36010.91     | 0.01%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST              | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15         | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1473292 | PA      | $1382762.55   | 0.23%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                        | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9    | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199009.68    | 0.03%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782011 GN 12/35 FIXED 5                       | CUSIP: 36241KGU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7255 | PA      | $7287.32      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                  | MORGAN STANLEY PVT BANK SR UNSECURED 07/31 VAR          | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304625.28    | 0.05%             | 2031-07-18      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT2021 FR 05/34 FIXED 3.5             | CUSIP: 3132AEG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4936 | PA      | $4865.55      | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $1963914.06   | 0.33%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-14.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2504                                                  | FREDDIE MAC FHR 2504 Z                                  | CUSIP: 31392UEE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30936 | PA      | $32090.85     | 0.01%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $522231.87    | 0.09%             | 2030-04-18      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $4150351.53   | 0.69%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 05/41 0.00000                                    | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $14311.81     | 0.00%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORPORATION                              | SALES TAX SECURITIZATION CORP STSGEN 01/34 FIXED 3.057  | CUSIP: 79467BDH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1400000 | PA      | $1261178.66   | 0.21%             | 2034-01-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13662 | PA      | $13976.57     | 0.00%             | 2035-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0534 FN 10/30 FIXED 4                       | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4803 | PA      | $4782.67      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995938 FN 01/39 FIXED VAR                     | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    342628 | PA      | $361248.40    | 0.06%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H07 FG          | CUSIP: 38376RY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119835 | PA      | $119822.62    | 0.02%             | 2067-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2           | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72347 | PA      | $71931.20     | 0.01%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.85000 08/29/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-30218.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $19279.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02168 FG 04/36 FIXED 6               | CUSIP: 3128LXMR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25010 | PA      | $26392.53     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1515624.74   | 0.25%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                  | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A          | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1293679 | PA      | $1303532.26   | 0.22%             | 2064-10-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69880 | PA      | $65504.76     | 0.01%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889176 FN 03/38 FIXED VAR                     | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114538 | PA      | $118822.75    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799982 FN 12/34 FIXED 5.5                     | CUSIP: 31405UXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1138 | PA      | $1148.20      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    800000 | PA      | $811643.79    | 0.14%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/30 2.25             | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1345404.36   | 0.22%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 04/28 1.25                              | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2544064.44   | 0.42%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781766 GN 07/34 FIXED 5                       | CUSIP: 36225B6B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2925 | PA      | $2993.24      | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008788 G2 01/26 FLOATING VAR               | CUSIP: 36202KXR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59 | PA      | $59.21        | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                           | MPLX LP SR UNSECURED 04/35 5.4                          | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504305.12    | 0.08%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LENDING FUND                                   | BLACKSTONE SECURED LEND SR UNSECURED 11/27 5.875        | CUSIP: 09261XAH5<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1127391.44   | 0.19%             | 2027-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 03/30 3.625                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2589792.97   | 0.43%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C73627 FG 11/32 FIXED 6               | CUSIP: 31288CA43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5847 | PA      | $6064.87      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08809 FG 04/48 FIXED 4               | CUSIP: 3128MJ3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    102840 | PA      | $98996.00     | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                   | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A             | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1047710 | PA      | $903936.50    | 0.15%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60806 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-25963.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.59500 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1722.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        28 | NC      | $4888.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/54 4.5                               | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3467250.00   | 0.58%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                               | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M1           | CUSIP: 86358ELZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117578 | PA      | $112761.87    | 0.02%             | 2034-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92821 FG 07/40 FIXED 5               | CUSIP: 312941D20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19782 | PA      | $20293.76     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3340 FN 05/35 FIXED VAR                     | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2785720 | PA      | $2740719.31   | 0.46%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A1                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32259 | PA      | $31569.02     | 0.01%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                  | OCCIDENTAL PETROLEUM COR SR UNSECURED 03/40 6.2         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    400000 | PA      | $406832.40    | 0.07%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS COMPANY                                         | KRAFT HEINZ FOODS CO COMPANY GUAR 03/32 5.2             | CUSIP: 50077LBM7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205039.54    | 0.03%             | 2032-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1B 144A      | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    834450 | PA      | $834518.30    | 0.14%             | 2052-06-17      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03616 FG 12/37 FIXED 6               | CUSIP: 3128M5K58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $135.36       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 962003 FN 03/38 FIXED 5.5                     | CUSIP: 31414CGL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5823 | PA      | $6043.50      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                 | SYSCO CORPORATION COMPANY GUAR 09/30 5.1                | CUSIP: 871829BU0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206310.22    | 0.03%             | 2030-09-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91325 FG 08/30 FIXED 4               | CUSIP: 3128P7PJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19751 | PA      | $19699.15     | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                      | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                     | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17272 | PA      | $17669.98     | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267118 | PA      | $256117.48    | 0.04%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $14035.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC COMPANY GUAR 03/35 5.75                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1987320.39   | 0.33%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602434 GN 03/35 FIXED 5                       | CUSIP: 36200JHK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3759 | PA      | $3793.47      | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 744075 GN 06/41 FIXED 5                       | CUSIP: 3620AYT89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4319 | PA      | $4408.83      | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                            | EXTRA SPACE STORAGE LP COMPANY GUAR 01/33 4.95          | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    400000 | PA      | $402568.59    | 0.07%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV2 TRUST                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV2 A3 144A     | CUSIP: 12659TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119654 | PA      | $972368.64    | 0.16%             | 2056-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.64750 01/08/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-430.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831377 FN 04/36 FIXED 6.5                     | CUSIP: 31407HUA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       348 | PA      | $361.93       | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1781006 | PA      | $1694737.00   | 0.28%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 09/30 4.625                             | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3742593.77   | 0.62%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 06/28 4                                 | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1918888.68   | 0.32%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                           | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A3 144A     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1768253 | PA      | $1466822.36   | 0.24%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT COMPANY                                     | FLORIDA POWER + LIGHT CO 1ST MORTGAGE 12/47 3.7         | CUSIP: 341081FP7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1012450.31   | 0.17%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F           | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    429866 | PA      | $431042.93    | 0.07%             | 2066-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC                                     | JEFFERIES FIN GROUP INC JEFFERIES FIN GROUP INC         | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1489035.66   | 0.25%             | 2034-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                      | GS MORTGAGE BACKED SECURITIES GSMBS 2022 GR2 A2 144A    | CUSIP: 36267BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1593143 | PA      | $1378598.42   | 0.23%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 641582 GN 08/35 FIXED 5                       | CUSIP: 36291XXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3707 | PA      | $3756.83      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 08/42 0.00000                                    | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1970000 | PA      | $872226.82    | 0.15%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH3620 FN 01/26 FIXED 3.5                     | CUSIP: 3138A5AW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       339 | PA      | $337.15       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.71500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9637.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UWM-2021-INV2                                                     | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV2 A9 144A     | CUSIP: 90354TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290614 | PA      | $1201124.23   | 0.20%             | 2051-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       789 | NC      | $534458.98    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                | RGA GLOBAL FUNDING SECURED 144A 12/31 5.05              | CUSIP: 76209PAF0<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    400000 | PA      | $408232.48    | 0.07%             | 2031-12-06      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA          | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    269744 | PA      | $270473.90    | 0.05%             | 2066-06-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1403 FR 11/33 FIXED 3.5             | CUSIP: 3132ADRY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116957 | PA      | $115425.73    | 0.02%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                  | KILROY REALTY LP COMPANY GUAR 01/36 6.25                | CUSIP: 49427RAS1<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207045.21    | 0.03%             | 2036-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3559 FN 01/34 FIXED 3.5                     | CUSIP: 31418C5V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32300 | PA      | $31861.36     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745423 FN 04/36 FIXED VAR                     | CUSIP: 31403DD48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44092 | PA      | $46486.01     | 0.01%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H29                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H29 SA          | CUSIP: 38375BZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    584959 | PA      | $585400.15    | 0.10%             | 2062-10-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                         | INVITATION HOMES OP COMPANY GUAR 01/33 4.95             | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502686.12    | 0.08%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                              | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR         | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100408.68    | 0.02%             | 2028-01-14      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                        | PACIFICORP JR SUBORDINA 09/55 VAR                       | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    400000 | PA      | $421727.07    | 0.07%             | 2055-09-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1       | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458999 | PA      | $435175.91    | 0.07%             | 2035-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6300000 | PA      | $6300000.00   | 1.05%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| US BANCORP                                                        | US BANCORP SR UNSECURED 02/31 VAR                       | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    600000 | PA      | $615560.45    | 0.10%             | 2031-02-12      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0804 FN 07/31 FIXED 4                       | CUSIP: 31417Y3N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17528 | PA      | $17445.69     | 0.00%             | 2031-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS7122 FR 08/27 FIXED 3.5             | CUSIP: 3132A74F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110 | PA      | $109.45       | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                      | WP CAREY INC SR UNSECURED 07/30 4.65                    | CUSIP: 92936UAN9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201269.64    | 0.03%             | 2030-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-66.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6400000 | PA      | $4813500.03   | 0.80%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                          | AMERICAN EXPRESS CO SR UNSECURED 04/36 VAR              | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105702.37    | 0.02%             | 2036-04-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-714.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7937 G2 03/52 FIXED 3                    | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9396392 | PA      | $8397394.71   | 1.40%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORPORATION                                           | BLACK HILLS CORP SR UNSECURED 01/31 4.55                | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    900000 | PA      | $900539.61    | 0.15%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.95561 02/11/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1328.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080354 G2 12/29 FLOATING VAR               | CUSIP: 36225CMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24315 | PA      | $24409.01     | 0.00%             | 2029-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 685628 GN 04/38 FIXED 5                       | CUSIP: 36296AVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14773 | PA      | $15090.41     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TPG OPERATING GROUP II LP                                         | TPG OPERATING GROUP II TPG OPERATING GROUP II           | CUSIP: 872652AA0<br>LEI: 2549001H9RJQNZT7MU11 | Long             | DBT              | CORP              | US        |    600000 | PA      | $633291.27    | 0.11%             | 2034-03-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 04/28 3.5                               | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $4487607.41   | 0.75%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC         | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4290524.21   | 0.72%             | 2030-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05337 FG 12/38 FIXED 5.5             | CUSIP: 3128M7HN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2655 | PA      | $2747.06      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA PASS THROUGH TRUST                        | JETBLUE 2019 1 CLASS AA PASS THRU CE 11/33 2.75         | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1190320 | PA      | $1057055.11   | 0.18%             | 2033-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/41 4.75                              | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $164187.50    | 0.03%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 739289 FN 09/33 FIXED 5.5                     | CUSIP: 31402VKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       305 | PA      | $310.83       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK40                                                   | BANK BANK 2022 BNK40 A4                                 | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1399033.95   | 0.23%             | 2064-03-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                | VICI PROPERTIES LP SR UNSECURED 11/31 5.125             | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203039.82    | 0.03%             | 2031-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                  | EQUITABLE AMERICA GLOBAL SECURED 144A 09/32 4.7         | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199129.60    | 0.03%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 06/28 VAR            | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1555674.64   | 0.26%             | 2028-06-02      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                  | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1083768 | PA      | $1042839.23   | 0.17%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                  | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3 144A          | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1358517 | PA      | $1128052.51   | 0.19%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04222 FG 04/38 FIXED 5.5             | CUSIP: 3128M6AX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8089 | PA      | $8427.93      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER COMPANY                                             | ALABAMA POWER CO SR UNSECURED 09/30 1.45                | CUSIP: 010392FU7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $964707.37    | 0.16%             | 2030-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA TOWER TRUST ASSET BACKED 144A 07/50 1.884           | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1389448.06   | 0.23%             | 2050-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -20 | NC      | $-2229.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91236 FG 02/29 FIXED 4.5             | CUSIP: 3128P7LR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18796 | PA      | $18898.40     | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8921.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37650000 | PA      | $36523972.08  | 6.09%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                 | GXO LOGISTICS INC SR UNSECURED 05/29 6.25               | CUSIP: 36262GAF8<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1470850.92   | 0.25%             | 2029-05-06      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2021-A                             | MARINER FINANCE ISSUANCE TRUST MFIT 2021 AA A 144A      | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1665130.62   | 0.28%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5035.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 642423 GN 11/35 FIXED 5                       | CUSIP: 36291YVQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5459 | PA      | $5566.71      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 1745 A 144A    | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1383892.65   | 0.23%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/43 3.75                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1151464.85   | 0.19%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 07/28 3.875                             | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $9059414.04   | 1.51%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                        | PACIFICORP 1ST MORTGAGE 02/34 5.45                      | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    600000 | PA      | $614921.47    | 0.10%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1347189 | PA      | $1169968.89   | 0.20%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                 | EVERSOURCE ENERGY SR UNSECURED 03/28 5.45               | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    300000 | PA      | $308223.66    | 0.05%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15        | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    824797 | PA      | $806652.40    | 0.13%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING ATHENE GLOBAL FUNDING             | CUSIP: 04685A3S8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    700000 | PA      | $703266.56    | 0.12%             | 2026-02-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832802 FN 09/35 FLOATING VAR                  | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2786 | PA      | $2818.38      | 0.00%             | 2035-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-2A                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 2A A2 144A     | CUSIP: 379924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453184 | PA      | $459016.67    | 0.08%             | 2030-06-17      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV2                                 | HUNDRED ACRE WOOD TRUST HAWT 2021 INV2 A11 144A         | CUSIP: 44555PAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128872 | PA      | $1050321.12   | 0.18%             | 2051-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | AES CORPORATION SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $65919.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 916398 FN 05/37 FIXED 6.5                     | CUSIP: 31411WDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       324 | PA      | $338.08       | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/40 1.375                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18900000 | PA      | $12338525.37  | 2.06%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORPORATION                                             | TD SYNNEX CORP TD SYNNEX CORP                           | CUSIP: 87162WAL4<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    500000 | PA      | $531836.89    | 0.09%             | 2034-04-12      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 901486 FN 11/36 FIXED 6                       | CUSIP: 31410YRF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47541 | PA      | $49071.62     | 0.01%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                              | METROPOLITAN EDISON CO SR UNSECURED 144A 01/29 4.3      | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1402714.39   | 0.23%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE4704 FN 09/30 FIXED 4.5                     | CUSIP: 31419FGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5110 | PA      | $5120.47      | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 06/29 3.25                              | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4900000 | PA      | $4827552.72   | 0.80%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/42 3.375                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26700000 | PA      | $22759142.48  | 3.79%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3100 FN 02/35 FIXED VAR                     | CUSIP: 3140X6NS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21256 | PA      | $20922.79     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815       | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195141.08    | 0.03%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1       | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15974 | PA      | $14132.17     | 0.00%             | 2036-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91365 FG 04/31 FIXED 4               | CUSIP: 3128P7QS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23809 | PA      | $23739.60     | 0.00%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 654184 FN 10/32 FIXED 6                       | CUSIP: 31390RXM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1139 | PA      | $1162.75      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/41 2.25                              | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $4670613.30   | 0.78%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3769 FN 09/34 FIXED 3.5                     | CUSIP: 31418DFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3856 | PA      | $3763.97      | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C37                                    | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2025 5C37 A3       | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1432506.04   | 0.24%             | 2058-09-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10297 | PA      | $9840.14      | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                | CONAGRA BRANDS INC SR UNSECURED 08/30 5                 | CUSIP: 205887CK6<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505153.19    | 0.08%             | 2030-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                           | SIMON PROPERTY GROUP LP SR UNSECURED 10/35 5.125        | CUSIP: 828807EA1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    400000 | PA      | $404854.23    | 0.07%             | 2035-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1481 FN 12/40 FIXED 4.5                     | CUSIP: 3138A2UF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    148415 | PA      | $148625.74    | 0.02%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                   | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80119 | PA      | $43809.01     | 0.01%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                | ALLY FINANCIAL INC ALLY FINANCIAL INC                   | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    600000 | PA      | $634940.40    | 0.11%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                     | BGC GROUP INC SR UNSECURED 144A 04/30 6.15              | CUSIP: 05555LAC5<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    400000 | PA      | $410387.98    | 0.07%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                               | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45    | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1561172.90   | 0.26%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03504 FG 11/37 FIXED 6               | CUSIP: 3128M5GM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2335 | PA      | $2464.55      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888223 FN 01/36 FIXED VAR                     | CUSIP: 31410FYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12017 | PA      | $12490.28     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080046 G2 02/27 FLOATING VAR               | CUSIP: 36225CBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3376 | PA      | $3370.01      | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20400000 | PA      | $21084214.78  | 3.51%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3658 FN 05/34 FIXED 3.5                     | CUSIP: 31418DB43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136058 | PA      | $134112.75    | 0.02%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                      | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A    | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1205145 | PA      | $1000457.96   | 0.17%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7153.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56757 | PA      | $56192.19     | 0.01%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                               | ALEXANDRIA REAL ESTATE E COMPANY GUAR 01/27 3.95        | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1495395.60   | 0.25%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-105728.85   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TRUST 2023-A                                | VOLKSWAGEN AUTO LEASE TRUST VWALT 2023 A A3             | CUSIP: 92867UAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720584 | PA      | $722501.17    | 0.12%             | 2026-10-20      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 676102 FN 12/32 FIXED 5.5                     | CUSIP: 31391TDF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30 | PA      | $29.85        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BT3503 GN 02/50 FIXED 4                       | CUSIP: 3617MR3L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94002 | PA      | $89116.72     | 0.01%             | 2050-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORPORATION                                 | PINNACLE WEST CAPITAL SR UNSECURED 06/26 VAR            | CUSIP: 723484AL5<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    700000 | PA      | $702206.15    | 0.12%             | 2026-06-10      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                              | BLUE OWL FINANCE LLC COMPANY GUAR 04/34 6.25            | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $944467.95    | 0.16%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/55 4.625                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8400000 | PA      | $8259562.50   | 1.38%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       339 | PA      | $341.38       | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-4005.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST               | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5           | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350784 | PA      | $321468.92    | 0.05%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-4A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 4A A1 144A    | CUSIP: 16678RCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127443 | PA      | $123091.02    | 0.02%             | 2035-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688141 GN 12/38 FIXED 5                       | CUSIP: 36296DP28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    292806 | PA      | $293911.40    | 0.05%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-124.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                            | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $993618.10    | 0.17%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-7                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 7 A11 144A    | CUSIP: 16159TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1323355 | PA      | $1324369.68   | 0.22%             | 2055-06-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080093 G2 07/27 FLOATING VAR               | CUSIP: 36225CC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77 | PA      | $77.21        | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 09/27 VAR             | CUSIP: 06051GLV9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305025.75    | 0.05%             | 2027-09-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91310 FG 06/30 FIXED 4               | CUSIP: 3128P7N33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12929 | PA      | $12892.51     | 0.00%             | 2030-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAPITAL COMPANY GUAR 05/27 3.55          | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1487914.71   | 0.25%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13471.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 667571 FN 11/32 FIXED 5.5                     | CUSIP: 31391HT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33537 | PA      | $34585.84     | 0.01%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04170 FG 04/38 FIXED 6               | CUSIP: 3128M56F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22122 | PA      | $23188.01     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                             | GEORGIA POWER CO SR UNSECURED 03/51 3.25                | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1051460.94   | 0.18%             | 2051-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/43 3.625                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2007468.75   | 0.33%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                | CNO GLOBAL FUNDING CNO GLOBAL FUNDING                   | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1231836.67   | 0.21%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745948 FN 10/36 FIXED VAR                     | CUSIP: 31403DWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2363 | PA      | $2497.74      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                     | SUTTER HEALTH UNSECURED 08/32 5.213                     | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    800000 | PA      | $829060.92    | 0.14%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                  | OCCIDENTAL PETROLEUM COR SR UNSECURED 09/30 6.625       | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    200000 | PA      | $214436.60    | 0.04%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC                  | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A     | CUSIP: 05377RHM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2102810.00   | 0.35%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1490185.16   | 0.25%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3588 FN 02/34 FIXED 3.5                     | CUSIP: 31418C7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3071 | PA      | $3028.09      | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL INC                                         | EVERGY KANSAS CENTRAL SR UNSECURED 03/28 4.7            | CUSIP: 30036FAE1<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101281.60    | 0.02%             | 2028-03-13      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/28 1.5                               | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4800000 | PA      | $4495218.77   | 0.75%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888967 FN 12/37 FIXED VAR                     | CUSIP: 31410GTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42136 | PA      | $44425.63     | 0.01%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR            | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1059383.46   | 0.18%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/44 3.375                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $417421.88    | 0.07%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                          | STATE STREET CORP SR UNSECURED 04/30 4.834              | CUSIP: 857477DB6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102703.90    | 0.02%             | 2030-04-24      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03698 FG 12/37 FIXED 6               | CUSIP: 3128M5NP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37815 | PA      | $39908.36     | 0.01%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A80378 FG 12/36 FIXED 5.5             | CUSIP: 312926M39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       460 | PA      | $476.99       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15658112 | PA      | $15737745.71  | 2.62%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06566 FG 01/38 FIXED 6               | CUSIP: 3128M8TX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    115690 | PA      | $122090.37    | 0.02%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/42 2.75                              | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $542363.28    | 0.09%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SR SECURED 144A 05/26 5.62        | CUSIP: 04685A3V1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302607.83    | 0.05%             | 2026-05-08      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 644028 GN 08/35 FIXED 5                       | CUSIP: 36292BPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2721 | PA      | $2789.01      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A3 144A          | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1313716 | PA      | $1091343.31   | 0.18%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES CO                                              | LIBERTY UTILITIES CO SR UNSECURED 144A 01/29 5.577      | CUSIP: 531542AA6<br>LEI: 549300UN1FEYPC5BKW09 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2064116.00   | 0.34%             | 2029-01-31      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA TOWER TRUST ASSET BACKED 144A 07/52 2.328           | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1616215.50   | 0.27%             | 2052-07-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                | AMERICAN TOWER CORP SR UNSECURED 10/26 3.375            | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    800000 | PA      | $794408.65    | 0.13%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MET TOWER GLOBAL FUNDING                                          | MET TOWER GLOBAL FUNDING SR SECURED 144A 09/30 4.2      | CUSIP: 58989V2L7<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |    500000 | PA      | $497056.05    | 0.08%             | 2030-09-16      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $773759.77    | 0.13%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -300 | NC      | $-970281.90   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5700000 | PA      | $5743616.63   | 0.96%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOEING CO/THE SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $16219.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 02/29 VAR                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1021659.64   | 0.17%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SELECTIVE INSURANCE GROUP INC                                     | SELECTIVE INSURANCE GROU SR UNSECURED 04/35 5.9         | CUSIP: 816300AJ6<br>LEI: 549300R3WGJWLE40R258 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207924.54    | 0.03%             | 2035-04-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD9196 FR 03/52 FIXED 3               | CUSIP: 3133B7GD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11471844 | PA      | $10110494.27  | 1.69%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                        | ARES STRATEGIC INCOME FU SR UNSECURED 144A 01/29 4.85   | CUSIP: 04020EAP2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    400000 | PA      | $395957.07    | 0.07%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                | PRP ADVISORS, LLC PRPM 2024 RCF2 A1 144A                | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789306 | PA      | $773759.21    | 0.13%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778975 FN 06/34 FIXED 5.5                     | CUSIP: 31404UMY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1033 | PA      | $1042.08      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFEA1 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-2358.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL INC                                         | EVERGY KANSAS CENTRAL 1ST MORTGAGE 03/35 5.25           | CUSIP: 30036FAD3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306044.00    | 0.05%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                           | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A9 144A     | CUSIP: 90355RAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1306970 | PA      | $1223181.80   | 0.20%             | 2051-11-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 982410 FN 04/38 FIXED 6                       | CUSIP: 31415B3T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3949 | PA      | $4034.45      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                | AMERICAN TOWER CORP SR UNSECURED 11/28 5.8              | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    800000 | PA      | $835666.31    | 0.14%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 11A1       | CUSIP: 07384M3X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163027 | PA      | $166418.69    | 0.03%             | 2035-01-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/45 3                                 | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12810000 | PA      | $9972785.09   | 1.66%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                 | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A          | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    695571 | PA      | $698025.18    | 0.12%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                  | BRIXMOR OPERATING PART SR UNSECURED 02/34 5.5           | CUSIP: 11120VAM5<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    400000 | PA      | $413258.10    | 0.07%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782213 GN 12/36 FIXED 5                       | CUSIP: 36241KN61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49541 | PA      | $50766.56     | 0.01%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                      | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A    | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1179582 | PA      | $979575.59    | 0.16%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A97059 FG 02/41 FIXED 4               | CUSIP: 312945ZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109331 | PA      | $106770.28    | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                        | VMWARE LLC SR UNSECURED 08/28 1.8                       | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1689256.73   | 0.28%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO/THE SR UNSECURED 05/29 6.298                  | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    400000 | PA      | $424612.68    | 0.07%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     15657 | PA      | $152484.94    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                        | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    400000 | PA      | $403226.15    | 0.07%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C4 MORTGAGE TRUST                                       | BMO MORTGAGE TRUST BMO 2024 5C4 A3                      | CUSIP: 09660SAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1278766.32   | 0.21%             | 2057-05-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.00000 12/21/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $345763.49    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804450 FN 12/34 FIXED 5.5                     | CUSIP: 31406AWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4135 | PA      | $4217.90      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                              | LAS VEGAS SANDS CORP LAS VEGAS SANDS CORP               | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1531032.69   | 0.26%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2237                                                  | FREDDIE MAC FHR 2237 ZA                                 | CUSIP: 3133TPB81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49068 | PA      | $51917.03     | 0.01%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A63809 FG 08/37 FIXED 6               | CUSIP: 3128KUGS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8447 | PA      | $8916.37      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL10 A 144A     | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    591185 | PA      | $591983.16    | 0.10%             | 2037-09-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/34 4                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40600000 | PA      | $40502465.00  | 6.75%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV3                          | ONSLOW BAY FINANCIAL LLC OBX 2022 INV3 A1 144A          | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241067 | PA      | $1073935.60   | 0.18%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                      | SYNOPSYS INC SR UNSECURED 04/30 4.85                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305666.52    | 0.05%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/30 4                                 | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2529687.50   | 0.42%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782105 GN 03/36 FIXED 5                       | CUSIP: 36241KKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5777 | PA      | $5919.56      | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                 | MARS INC SR UNSECURED 144A 03/32 5                      | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    600000 | PA      | $614095.93    | 0.10%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INCORPORATED                                 | MICROCHIP TECHNOLOGY INC COMPANY GUAR 03/28 4.9         | CUSIP: 595017BK9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202978.54    | 0.03%             | 2028-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                             | GLP CAPITAL LP / FIN II COMPANY GUAR 11/37 5.75         | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $894440.34    | 0.15%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91389 FG 08/31 FIXED 4               | CUSIP: 3128P7RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5855 | PA      | $5839.67      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5               | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18088741 | PA      | $18028050.70  | 3.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                        | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115799 | PA      | $113055.54    | 0.02%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 741620 FN 10/33 FIXED 5.5                     | CUSIP: 31402X4D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       439 | PA      | $451.63       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH8812 FN 03/26 FIXED 4                       | CUSIP: 3138AAYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $22.89        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-UBS12                         | MORGAN STANLEY CAPITAL I TRUST MSC 2016 UB12 ASB        | CUSIP: 61691EAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514724 | PA      | $511033.55    | 0.09%             | 2049-12-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05   | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    600000 | PA      | $607941.03    | 0.10%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB1240 FR 12/32 FIXED 2.5             | CUSIP: 3132CXLV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    602881 | PA      | $583877.52    | 0.10%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A        | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    472425 | PA      | $474553.43    | 0.08%             | 2040-07-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.15000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-303976.19   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H20 PT          | CUSIP: 38375BVS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67735 | PA      | $67772.06     | 0.01%             | 2062-07-20      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 05/42 0.00000                                    | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    270000 | PA      | $121284.35    | 0.02%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-28302.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $14103241.65  | 2.35%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                                | DTE ENERGY CO SR UNSECURED 04/30 5.2                    | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    500000 | PA      | $515419.68    | 0.09%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 12/26/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7823.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080426 G2 07/30 FLOATING VAR               | CUSIP: 36225CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2354 | PA      | $2363.67      | 0.00%             | 2030-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                          | AMERICAN HOMES 4 RENT SR UNSECURED 06/30 4.95           | CUSIP: 02666TAK3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203728.28    | 0.03%             | 2030-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2022-FL4                                                | FS RIALTO ISSUER LTD FSRIA 2022 FL4 A 144A              | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    636902 | PA      | $636898.66    | 0.11%             | 2039-01-19      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                       | COBANK ACB JR SUBORDINA 12/99 VAR                       | CUSIP: 19075QAF9<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | NUSS              | US        |   2200000 | NS      | $2269608.00   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04589 FG 08/37 FIXED 5.5             | CUSIP: 3128M6NE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1706 | PA      | $1778.29      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    700000 | PA      | $710538.59    | 0.12%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130580 | PA      | $135941.98    | 0.02%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MORTGAGE TRUST                                      | CROSS MORTGAGE TRUST CROSS 2024 H3 A1 144A              | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1337088 | PA      | $1355847.42   | 0.23%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                       | SOUTHERN CO SR UNSECURED 04/30 3.7                      | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1365337.97   | 0.23%             | 2030-04-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC6                            | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC6 M1         | CUSIP: 86358ECL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559233 | PA      | $555819.96    | 0.09%             | 2033-07-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $4901878.89   | 0.82%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3489 FN 10/33 FIXED 3.5                     | CUSIP: 31418C2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100519 | PA      | $99178.35     | 0.02%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-108.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/34 6.95          | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    600000 | PA      | $666374.60    | 0.11%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6042 G2 07/49 FIXED 5                    | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    737468 | PA      | $748901.66    | 0.12%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545827 | PA      | $116692.23    | 0.02%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $15073.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 745325 GN 08/40 FIXED 5                       | CUSIP: 3620C1A22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4295 | PA      | $4407.50      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03776 FG 01/38 FIXED 6               | CUSIP: 3128M5Q52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3266 | PA      | $3446.52      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ELECTRICAL CO                                       | MASSACHUSETTS ELECTRIC SR UNSECURED 144A 11/30 1.729    | CUSIP: 575634AU4<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1305552.45   | 0.22%             | 2030-11-24      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3438 FN 08/33 FIXED 3.5                     | CUSIP: 31418CZC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109499 | PA      | $108057.31    | 0.02%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/41 2                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $491845.70    | 0.08%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.80000 06/03/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-106681.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04630 FG 11/29 FIXED 6               | CUSIP: 3128M6PP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $15.33        | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST SECURED 144A 12/31 5.2          | CUSIP: 36143L2Q7<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    500000 | PA      | $509421.07    | 0.08%             | 2031-12-09      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5712 G2 01/49 FIXED 5                    | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4770 | PA      | $4845.38      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 06/30 3.75                              | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $3101876.96   | 0.52%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A 144A      | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1363023 | PA      | $1318512.79   | 0.22%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                         | STELLANTIS FIN US INC COMPANY GUAR 144A 03/30 5.75      | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    400000 | PA      | $407068.68    | 0.07%             | 2030-03-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5532                                           | FREDDIE MAC FHR 5532 FA                                 | CUSIP: 3137HKPJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    643872 | PA      | $645265.06    | 0.11%             | 2055-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                              | LXP INDUSTRIAL TRUST LXP INDUSTRIAL TRUST               | CUSIP: 529043AF8<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    600000 | PA      | $638341.85    | 0.11%             | 2028-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | HESS CORPORATION SNR S* ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $17624.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NARRAGANSETT ELECTRIC CO/THE                                      | NARRAGANSETT ELECTRIC NARRAGANSETT ELECTRIC             | CUSIP: 631005BK0<br>LEI: VAI0KZ806W8MCH0BCZ61 | Long             | DBT              | CORP              | US        |    600000 | PA      | $619002.00    | 0.10%             | 2034-05-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -28 | NC      | $-3853.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 03/29 2.375                             | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5800000 | PA      | $5558371.07   | 0.93%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                     | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A          | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1367886 | PA      | $1232191.94   | 0.21%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/43 3.875                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9200000 | PA      | $8336062.50   | 1.39%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/43 3.125                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $1959656.26   | 0.33%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/47 2.75                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $1885609.39   | 0.31%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16780 | PA      | $16896.26     | 0.00%             | 2044-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $985.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5               | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2021 5 A1 144A     | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308508 | PA      | $1134743.92   | 0.19%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                         | DUKE ENERGY CAROLINAS 1ST MORTGAGE 04/31 2.55           | CUSIP: 26442CBB9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1465956.48   | 0.24%             | 2031-04-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/30 4.375                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7200000 | PA      | $7404468.77   | 1.23%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/44 4.625                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17900000 | PA      | $17738480.42  | 2.96%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 04/31 VAR              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1859992.18   | 0.31%             | 2031-04-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02781 FG 04/37 FIXED 5.5             | CUSIP: 3128M4M67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11218 | PA      | $11683.56     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB2894 FN 02/52 FIXED 3                       | CUSIP: 3140QNGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3676535 | PA      | $3240926.66   | 0.54%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                  | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    374423 | PA      | $370134.09    | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7330.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 04/31 VAR                   | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1136236.01   | 0.19%             | 2031-04-17      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB8001 FR 07/34 FIXED 3.5             | CUSIP: 3132D53J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25552 | PA      | $25071.98     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.53200 08/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9971.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FB          | CUSIP: 38376RFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    349670 | PA      | $349774.80    | 0.06%             | 2065-08-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                               | DOLP TRUST DOLP 2021 NYC A 144A                         | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1699635.69   | 0.28%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                           | DAIMLER TRUCK FINAN NA COMPANY GUAR 144A 12/26 2        | CUSIP: 233853AF7<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1657589.37   | 0.28%             | 2026-12-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                               | MFRA TRUST MFRA 2020 NQM1 A1 144A                       | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191635 | PA      | $186316.19    | 0.03%             | 2065-03-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                      | BROADCOM INC SR UNSECURED 144A 11/35 3.137              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    707000 | PA      | $611929.68    | 0.10%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/42 3                                 | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $324640.62    | 0.05%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831149 FN 12/35 FIXED 6                       | CUSIP: 31407HL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22641 | PA      | $23766.41     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 10/28 4.875                             | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2693082.03   | 0.45%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                       | EQUINIX INC SR UNSECURED 05/31 2.5                      | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    500000 | PA      | $450909.98    | 0.08%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1         | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    809022 | PA      | $782598.70    | 0.13%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602484 GN 12/35 FIXED 5                       | CUSIP: 36200JJ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3774 | PA      | $3866.63      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                        | MARRIOTT INTERNATIONAL SR UNSECURED 04/32 5.1           | CUSIP: 571903BT9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    400000 | PA      | $410692.66    | 0.07%             | 2032-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                             | BX TRUST BX 2021 21M A 144A                             | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505780 | PA      | $505426.73    | 0.08%             | 2036-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)            | CBRE SERVICES INC COMPANY GUAR 06/30 4.8                | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    500000 | PA      | $508168.50    | 0.08%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                              | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3879070 | PA      | $3882085.64   | 0.65%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.28000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $27481.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS & ELECTRIC COMPANY                                  | SAN DIEGO G + E 1ST MORTGAGE 08/51 2.95                 | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1113489.66   | 0.19%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                 | DELL INT LLC / EMC CORP COMPANY GUAR 04/28 4.75         | CUSIP: 24703TAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $304473.50    | 0.05%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/42 3.25                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7600000 | PA      | $6387562.50   | 1.06%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05922 FG 07/39 FIXED 5.5             | CUSIP: 3128M74F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8178 | PA      | $8491.29      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85400 12/29/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10002.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                      | BROADCOM INC SR UNSECURED 144A 11/36 3.187              | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    500000 | PA      | $426882.10    | 0.07%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 08/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-22309.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7         | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1438090 | PA      | $1321833.22   | 0.22%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO/THE SR UNSECURED 05/64 7.008                  | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $231700.21    | 0.04%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 687984 FN 03/33 FIXED 5.5                     | CUSIP: 31400HJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       316 | PA      | $320.35       | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                             | BBCCRE TRUST BBCCR 2015 GTP A 144A                      | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2126350.00   | 0.35%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/30 4.125                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3700000 | PA      | $3762654.28   | 0.63%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84598 03/20/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $14802.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES INC                                       | SYSTEM ENERGY RESOURCES 1ST REF MORT 12/34 5.3          | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $402876.13    | 0.07%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELECTRIC POWER COMPANY                               | SOUTHWESTERN ELEC POWER SR UNSECURED 09/28 4.1          | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1396125.75   | 0.23%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/29 6.1           | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1255743.89   | 0.21%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-403.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP INC                                      | CITIZENS FINANCIAL GROUP CITIZENS FINANCIAL GROUP       | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1430973.80   | 0.24%             | 2035-04-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ORACLE CORPORATION SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4152.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVANGRID INC                                                      | AVANGRID INC SR UNSECURED 06/29 3.8                     | CUSIP: 05351WAB9<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1080444.70   | 0.18%             | 2029-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 07/28 4.125                             | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1925419.93   | 0.32%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q06448 FG 02/42 FIXED 4               | CUSIP: 3132GRP96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73663 | PA      | $71998.08     | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER COMPANY                               | VIRGINIA ELEC + POWER CO SR UNSECURED 05/27 3.75        | CUSIP: 927804GH1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1493805.21   | 0.25%             | 2027-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 660737 FN 07/31 FIXED 6.5                     | CUSIP: 31391ABE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       232 | PA      | $239.70       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                          | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5         | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302230.69    | 0.05%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer