# EDGAR Filing Document

**Accession Number:** 0000710826
**File Stem:** 0001752724-23-043995
**Filing Date:** 2023-2
**Character Count:** 636764
**Document Hash:** e426a6caefece49250b8f5248bd69e76
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043995.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-043995

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust II
- **CENTRAL INDEX KEY:** 0000710826
- **IRS NUMBER:** 833164113
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03618
- **FILM NUMBER:** 23678661

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 980-949-5121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND
- **DATE OF NAME CHANGE:** 20120430

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Brighthouse/Wellington Balanced Portfolio (Series ID: S000006522)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017830 | Class A      |  |
| C000017831 | Class B      |  |
| C000017832 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust II

- **b. Investment Company Act file number:** 811-03618

- **c. CIK number of Registrant:** 0000710826

- **d. LEI of Registrant:** 549300NPPA08K2CWOV06

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 980-949-4301

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

- **a. Name of Series:** Brighthouse/Wellington Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000006522

- **c. LEI of Series:** NXBVDGYPUHFPZAEIGB14

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

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

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

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $1289127722.46

**Total Liabilities:** $201416874.96

**Net Assets:** $1087710847.50

**Delayed Delivery Securities:** $16630956.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -353.96000000 | **1-Year:** -7582.84000000 | **5-Year:** -30953.51000000 | **10-Year:** -38810.58000000 | **30-Year:** -16525.36000000

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

- **3-Month:** -99.01000000 | **1-Year:** -2648.83000000 | **5-Year:** -6389.18000000 | **10-Year:** -4278.94000000 | **30-Year:** -631.96000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017831 | 3.73%                | 5.03%                | -3.30%               |
| Class ID C000017832 | 3.70%                | 5.06%                | -3.34%               |
| Class ID C000017830 | 3.76%                | 5.05%                | -3.27%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-20257913.79            | $56738569.54                               |
| Month 2  | $-3825703.42             | $58350658.35                               |
| Month 3  | $6829371.10              | $-46721414.72                              |

**Designated Index Information**

- **Index Name:** 60% S&P 500 Index  40% Bloomberg US Agg

- **Index Identifier:** 60%SPX 40%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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WESCO International Inc                           | WESCO International Inc                                                                                    | CUSIP: 95082P105<br>LEI: 529900TXOGREY3WNJ434 | Long             | EC               | CORP              | US        |     11446 | NS      | $1433039.20   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Honeywell International Inc                       | Honeywell International Inc                                                                                | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     22590 | NS      | $4841037.00   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    890000 | PA      | $851127.43    | 0.08%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379JKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42202 | PA      | $6577.60      | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD BRL                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-22680.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FMC Corp                                          | FMC Corp                                                                                                   | CUSIP: 302491303<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | EC               | CORP              | US        |     31357 | NS      | $3913353.60   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B22 Mortgage Trust                                                                          | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2359204 | PA      | $204209.38    | 0.02%             | 2054-01-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2740000 | PA      | $2743853.13   | 0.25%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B12 Mortgage Trust                                                                          | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1984828 | PA      | $82418.80     | 0.01%             | 2052-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10987 | PA      | $11460.97     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                              | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    415000 | PA      | $347466.22    | 0.03%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                        | Evergy Inc                                                                                                 | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    345000 | PA      | $297920.89    | 0.03%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1899442 | PA      | $1697200.66   | 0.16%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140LHCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382798 | PA      | $364065.68    | 0.03%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                             | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    575000 | PA      | $508124.87    | 0.05%             | 2033-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                     | Sempra Energy                                                                                              | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    365000 | PA      | $338756.41    | 0.03%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: —       |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                                                | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    155000 | PA      | $135043.75    | 0.01%             | 2031-03-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-R1                                                                           | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278948 | PA      | $259482.66    | 0.02%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                              | Colombia Government International Bond                                                                     | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    800000 | PA      | $544244.71    | 0.05%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     95000 | PA      | $87947.50     | 0.01%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                     | UBS AG LONDON                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.09%             | 2023-03-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11030000 | PA      | $5935949.58   | 0.55%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                 | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10605000 | PA      | $9741914.41   | 0.90%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM1                                                                  | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207045 | PA      | $171614.88    | 0.02%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                            | Equitable Holdings Inc                                                                                     | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |     75716 | NS      | $2173049.20   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | Credit Suisse First Boston Mortgage Securities Corp                                                        | CUSIP: 225458RW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       749 | PA      | $734.50       | 0.00%             | 2037-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19040000 | PA      | $15330175.00  | 1.41%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Shell PLC                                         | Shell PLC                                                                                                  | CUSIP: 780259305<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |    156784 | NS      | $8928848.80   | 0.82%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368720 | PA      | $351986.46    | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    832771 | PA      | $538641.42    | 0.05%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AZEK Co Inc/The                                   | AZEK Co Inc/The                                                                                            | CUSIP: 05478C105<br>LEI: 5493002LDDDU1RX46815 | Long             | EC               | CORP              | US        |     28411 | NS      | $577311.52    | 0.05%             |  |  |  | No            |                  1 | On Loan: —       |
| Salesforce Inc                                    | Salesforce Inc                                                                                             | CUSIP: 79466L302<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | EC               | CORP              | US        |     28140 | NS      | $3731082.60   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BHAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332308 | PA      | $67592.90     | 0.01%             | 2039-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    390000 | PA      | $360444.08    | 0.03%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62229 | PA      | $63658.05     | 0.01%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61781 | PA      | $60017.99     | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                         | Qorvo Inc                                                                                                  | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    140000 | PA      | $112481.46    | 0.01%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133AGLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564393 | PA      | $463739.83    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp                                 | Hyatt Hotels Corp                                                                                          | CUSIP: 448579102<br>LEI: T27JQIMTYSH41TCD5186 | Long             | EC               | CORP              | US        |     25255 | NS      | $2284314.75   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| BlackRock Inc                                     | BlackRock Inc                                                                                              | CUSIP: 09247X101<br>LEI: 549300LRIF3NWCU26A80 | Long             | EC               | CORP              | US        |      6178 | NS      | $4377916.14   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| NiSource Inc                                      | NiSource Inc                                                                                               | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    425000 | PA      | $400308.81    | 0.04%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                          | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    155000 | PA      | $129003.03    | 0.01%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379XH52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184452 | PA      | $7129.93      | 0.00%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2800 | PA      | $2788.76      | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2020-1                                                          | CUSIP: 35563PNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    497688 | PA      | $422476.51    | 0.04%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-LC24                                                            | CUSIP: 95000HBF8<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $814717.84    | 0.07%             | 2049-10-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                           | Standard Industries Inc/NJ                                                                                 | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    720000 | PA      | $586745.69    | 0.05%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM VII Ltd                                                                                               | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    244274 | PA      | $241316.78    | 0.02%             | 2029-07-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1932019 | PA      | $1676544.75   | 0.15%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        75 | NC      | $-329013.51   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| AMETEK Inc                                        | AMETEK Inc                                                                                                 | CUSIP: 031100100<br>LEI: 549300WZDEF9KKE40E98 | Long             | EC               | CORP              | US        |     10672 | NS      | $1491091.84   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-1F                                                                            | CUSIP: 3622MPBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438883 | PA      | $120898.16    | 0.01%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 3622AAXY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309787 | PA      | $308221.09    | 0.03%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581452 | PA      | $504706.36    | 0.05%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies Inc                             | SS&C Technologies Inc                                                                                      | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |    735000 | PA      | $688251.13    | 0.06%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                               | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23371.10     | 0.00%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                   | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    251000 | PA      | $173173.26    | 0.02%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                      | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    445000 | PA      | $339959.75    | 0.03%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Alnylam Pharmaceuticals Inc                       | Alnylam Pharmaceuticals Inc                                                                                | CUSIP: 02043Q107<br>LEI: 529900S3ZI14OWRJII50 | Long             | EC               | CORP              | US        |      3021 | NS      | $717940.65    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                                              | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52587.87     | 0.00%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| AES CORP/THE                                      | AES Corp/The                                                                                               | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    335000 | PA      | $315871.71    | 0.03%             | 2025-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| Cabot Corp                                        | Cabot Corp                                                                                                 | CUSIP: 127055101<br>LEI: K05C0SER542GQ6VLRO68 | Long             | EC               | CORP              | US        |     34785 | NS      | $2325029.40   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| IHS HOLDING LTD                                   | IHS Holding Ltd                                                                                            | CUSIP: 44963HAB1<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |    390000 | PA      | $314558.40    | 0.03%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |    900000 | PA      | $900000.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    525000 | PA      | $476453.81    | 0.04%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X0Z76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423559 | PA      | $406292.69    | 0.04%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                          | Duke Energy Progress LLC                                                                                   | CUSIP: 26442RAB7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    320000 | PA      | $275147.08    | 0.03%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QS17 Trust                                                                                | CUSIP: 761118PY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124407 | PA      | $104263.09    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                                                | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $176662.16    | 0.02%             | 2026-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455000 | PA      | $428894.48    | 0.04%             | 2024-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Welltower Inc                                     | Welltower Inc                                                                                              | CUSIP: 95040Q104<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | EC               |  | US        |     47249 | NS      | $3097171.95   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5098 | PA      | $4601.43      | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                              | CUSIP: 842400GS6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    315000 | PA      | $273768.53    | 0.03%             | 2029-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379QFZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11009 | PA      | $423.92       | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-4                                                                 | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319877 | PA      | $297269.13    | 0.03%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788737 | PA      | $128017.79    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17015000 | PA      | $15494284.38  | 1.42%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378MSZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52620 | PA      | $2474.74      | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MSCI Inc                                          | MSCI Inc                                                                                                   | CUSIP: 55354G100<br>LEI: 549300HTIN2PD78UB763 | Long             | EC               | CORP              | US        |     11245 | NS      | $5230836.65   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| CPT MORTGAGE TRUST                                | Century Plaza Towers 2019-CPT                                                                              | CUSIP: 12654YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $466263.19    | 0.04%             | 2039-11-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE10 Mortgage Trust                                                                            | CUSIP: 12626BAD6<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $173813.38    | 0.02%             | 2046-08-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2022-PSB                                                                                          | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583252 | PA      | $582104.44    | 0.05%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11115 | PA      | $11255.51     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2015-GC29                                                              | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3737629 | PA      | $69177.91     | 0.01%             | 2048-04-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128P76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235722 | PA      | $226179.56    | 0.02%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AKXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180801 | PA      | $8457.69      | 0.00%             | 2044-08-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                     | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1470000 | PA      | $1289768.18   | 0.12%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                           | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    655000 | PA      | $582111.11    | 0.05%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Bumble Inc                                        | Bumble Inc                                                                                                 | CUSIP: 12047B105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    118946 | NS      | $2503813.30   | 0.23%             |  |  |  | No            |                  1 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ASAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327211 | PA      | $62396.33     | 0.01%             | 2043-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Senegal                               | Senegal Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    245000 | PA      | $225701.06    | 0.02%             | 2028-03-13      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   1320000 | PA      | $1011985.82   | 0.09%             | 2032-04-28      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-6 LLC                                                                                            | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515955 | PA      | $465825.83    | 0.04%             | 2026-07-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Vertex Pharmaceuticals Inc                        | Vertex Pharmaceuticals Inc                                                                                 | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |      9184 | NS      | $2652155.52   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6422092 | PA      | $5718421.34   | 0.53%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Okta Inc                                          | Okta Inc                                                                                                   | CUSIP: 679295105<br>LEI: 549300N8J06I8MRHU620 | Long             | EC               | CORP              | US        |      3482 | NS      | $237925.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |    400000 | PA      | $400000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    961787 | PA      | $49987.25     | 0.00%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31371G2B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15106 | PA      | $15146.11     | 0.00%             | 2028-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                             | Northrop Grumman Corp                                                                                      | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    175000 | PA      | $170088.82    | 0.02%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81908 | PA      | $76388.52     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                   | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $792393.40    | 0.07%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                     | Sempra Energy                                                                                              | CUSIP: 816851BH1<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    165000 | PA      | $135307.20    | 0.01%             | 2038-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6307934 | PA      | $5774585.99   | 0.53%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AAF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255910 | PA      | $221299.63    | 0.02%             | 2042-12-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WXGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25934 | PA      | $24250.25     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |      6523 | NS      | $3458364.14   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EQKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140412 | PA      | $137036.88    | 0.01%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2022-6                                                                 | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162000 | PA      | $162192.12    | 0.01%             | 2027-08-16      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE8 Mortgage Trust                                                                             | CUSIP: 12625KAE5<br>LEI: 549300NGGFIEJ2ER3D22 | Long             | ABS-MBS          | CORP              | US        |    216028 | PA      | $214657.05    | 0.02%             | 2046-06-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    660000 | PA      | $512099.74    | 0.05%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62899 | PA      | $57230.37     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A6DE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9625 | PA      | $808.27       | 0.00%             | 2042-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140KXXW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373001 | PA      | $309250.80    | 0.03%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority Sales Tax Receipts Fund | CHICAGO IL TRANSIT AUTH SALES TAX RECPTS REVENUE                                                           | CUSIP: 16772PCX2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    170000 | PA      | $142168.79    | 0.01%             | 2040-12-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QMV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209296 | PA      | $184024.53    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                   | Philip Morris International Inc                                                                            | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     55917 | NS      | $5659359.57   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| FREEPORT INDONESIA PT                             | Freeport Indonesia PT                                                                                      | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    250000 | PA      | $229308.57    | 0.02%             | 2032-04-14      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| United Rentals Inc                                | United Rentals Inc                                                                                         | CUSIP: 911363109<br>LEI: 5323X5O7RN0NKFCDRY08 | Long             | EC               | CORP              | US        |      1087 | NS      | $386341.54    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                                             | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34914 | PA      | $29935.86     | 0.00%             | 2034-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                      | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    735000 | PA      | $606927.12    | 0.06%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                               | Avantor Funding Inc                                                                                        | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    780000 | PA      | $708739.20    | 0.07%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 31397UKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92510 | PA      | $71972.39     | 0.01%             | 2041-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38382E5F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    699526 | PA      | $40958.04     | 0.00%             | 2035-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                               | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    110000 | PA      | $103164.95    | 0.01%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                                                        | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    340000 | PA      | $337003.07    | 0.03%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2050000 | PA      | $1577906.03   | 0.15%             | 2053-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                 | Clean Harbors Inc                                                                                          | CUSIP: 184496AN7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1132262.50   | 0.10%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ADEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494793 | PA      | $443480.92    | 0.04%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101611 | PA      | $92453.12     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-2                                                                          | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239724 | PA      | $199067.88    | 0.02%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132L83D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279674 | PA      | $259387.06    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138W9PN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57659 | PA      | $56642.27     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                               | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     31000 | PA      | $22793.26     | 0.00%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                           | Marathon Petroleum Corp                                                                                    | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |     32135 | NS      | $3740192.65   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140FXHP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345503 | PA      | $328407.32    | 0.03%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417GMF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34459 | PA      | $32214.66     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                 | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3911.80      | 0.00%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    225000 | PA      | $156187.98    | 0.01%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139141 | PA      | $113485.10    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138W7G81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14440 | PA      | $13516.59     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140LHGY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260000 | PA      | $238157.49    | 0.02%             | 2032-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-2                                                                 | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164932 | PA      | $152237.92    | 0.01%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK31                                                                                            | CUSIP: 06541ABG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $449897.30    | 0.04%             | 2054-02-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272479 | PA      | $232668.18    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                                               | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  23050600 | PA      | $23050600.21  | 2.12%             |  |  |  | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust        | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                                                       | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $102274.44    | 0.01%             | 2043-01-05      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                           | United Rentals North America Inc                                                                           | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     85000 | PA      | $72657.71     | 0.01%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| MFRA TRUST                                        | MFA 2021-NQM2 Trust                                                                                        | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313006 | PA      | $254088.24    | 0.02%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| DR Horton Inc                                     | DR Horton Inc                                                                                              | CUSIP: 23331A109<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | EC               | CORP              | US        |      3029 | NS      | $270005.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | Csail 2015-C2 Commercial Mortgage Trust                                                                    | CUSIP: 12634NAV0<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |  10877874 | PA      | $136743.58    | 0.01%             | 2057-06-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                  | ArcelorMittal SA                                                                                           | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    145000 | PA      | $145682.24    | 0.01%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1524731.69   | 0.14%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                                                      | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $146420.91    | 0.01%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427155 | PA      | $348590.00    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                          | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $161436.21    | 0.01%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond - WI Reopening                                                            | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6395000 | PA      | $6261104.69   | 0.58%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                                             | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    120000 | PA      | $110128.90    | 0.01%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 36183RD91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176980 | PA      | $158116.61    | 0.01%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BPXD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73906 | PA      | $75136.94     | 0.01%             | 2046-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Genmab A/S                                        | Genmab A/S                                                                                                 | CUSIP: 372303206<br>LEI: 529900MTJPDPE4MHJ122 | Long             | EC               | CORP              | DK        |     12223 | NS      | $518010.74    | 0.05%             |  |  |  | No            |                  1 | On Loan: —       |
| JetBlue Airways Corp                              | JetBlue Airways Corp                                                                                       | CUSIP: 477143101<br>LEI: 54930070J9H97ZO93T57 | Long             | EC               | CORP              | US        |    233227 | NS      | $1511310.96   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Schlumberger Ltd                                  | Schlumberger Ltd                                                                                           | CUSIP: 000000000<br>LEI: 213800ZUA17OK3QLGM62 | Long             | EC               | CORP              | CW        |     70470 | NS      | $3767326.20   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| NMLT Trust                                        | NMLT 2021-INV1 Trust                                                                                       | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883364 | PA      | $704422.23    | 0.06%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138M5VP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61362 | PA      | $58876.57     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57205 | PA      | $2213.10      | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                   | DAE Funding LLC                                                                                            | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    885000 | PA      | $822438.92    | 0.08%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389740 | PA      | $367183.27    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                                            | CUSIP: 94989HAZ3<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |   2682648 | PA      | $47602.79     | 0.00%             | 2048-05-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22358 | PA      | $21963.50     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418NYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5257 | PA      | $5244.79      | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                              | Taylor Morrison Communities Inc                                                                            | CUSIP: 87724RAB8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    623000 | PA      | $583347.71    | 0.05%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138W7GC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190898 | PA      | $173694.60    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                                                | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    155000 | PA      | $143049.50    | 0.01%             | 2026-03-30      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| agilon health Inc                                 | agilon health Inc                                                                                          | CUSIP: 00857U107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    156027 | NS      | $2518275.78   | 0.23%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 31307DH58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184295 | PA      | $176753.31    | 0.02%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    862000 | PA      | $667912.61    | 0.06%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCIV LLC                                                                                              | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548232 | PA      | $495608.30    | 0.05%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138291 | PA      | $128792.69    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460624 | PA      | $1192858.82   | 0.11%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGO PRO AS                                     | Energo-Pro AS                                                                                              | CUSIP: 000000000<br>LEI: 315700IQCL9IX158RO36 | Long             | DBT              | CORP              | CZ        |    645000 | PA      | $589188.15    | 0.05%             | 2027-02-04      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    335000 | PA      | $293873.53    | 0.03%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 31335AZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    752203 | PA      | $673999.95    | 0.06%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380KPS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286179 | PA      | $56085.72     | 0.01%             | 2043-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2006-3                                                                           | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399172 | PA      | $369131.64    | 0.03%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2016-C6 Commercial Mortgage Trust                                                                    | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |   1478113 | PA      | $69351.87     | 0.01%             | 2049-01-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219787 | PA      | $179393.43    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417GFP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120531 | PA      | $109668.08    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ball Corp                                         | Ball Corp                                                                                                  | CUSIP: 058498106<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | EC               | CORP              | US        |     15649 | NS      | $800289.86    | 0.07%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WHL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10760 | PA      | $9631.16      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61096.94     | 0.01%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427104 | PA      | $408038.10    | 0.04%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                                                                         | CUSIP: 01400EAA1<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $183010.95    | 0.02%             | 2026-09-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QKP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1934633 | PA      | $1643350.98   | 0.15%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137B16D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119472 | PA      | $6423.17      | 0.00%             | 2028-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                                                                         | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    265000 | PA      | $230719.31    | 0.02%             | 2029-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $961546.87    | 0.09%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank N.A.                          | Long: 99D029JA5 CDS USD R F  4.58000 / Short: 99D029JA5 CDS USD P V 01MEVENT                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    117501 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                               | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    220000 | PA      | $181439.45    | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176479 | PA      | $158020.24    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tradeweb Markets Inc                              | Tradeweb Markets Inc                                                                                       | CUSIP: 892672106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     49877 | NS      | $3238513.61   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34796000 | PA      | $33482669.87  | 3.08%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340073 | PA      | $324575.31    | 0.03%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 3617GGRM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57161 | PA      | $54440.56     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aclaris Therapeutics Inc                          | Aclaris Therapeutics Inc                                                                                   | CUSIP: 00461U105<br>LEI: 5493000B2LQ9QTW1DF52 | Long             | EC               | CORP              | US        |     11663 | NS      | $183692.25    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-54CB                                                                           | CUSIP: 12668APP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346694 | PA      | $200031.45    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C18                                                                              | CUSIP: 054975AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $333418.12    | 0.03%             | 2055-12-15      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462254 | PA      | $394093.34    | 0.04%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2016-2                                                                 | CUSIP: 64829GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304450 | PA      | $281852.35    | 0.03%             | 2035-11-26      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417GBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30460 | PA      | $27714.91     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                                                                         | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    135000 | PA      | $125003.25    | 0.01%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                          | Cleco Corporate Holdings LLC                                                                               | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    255000 | PA      | $216903.96    | 0.02%             | 2029-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM5 Trust                                                                                       | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434946 | PA      | $335492.84    | 0.03%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-13                                                              | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34904 | PA      | $31314.08     | 0.00%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    128000 | PA      | $104494.50    | 0.01%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308611 | PA      | $286647.96    | 0.03%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                       | Ovintiv Inc                                                                                                | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $85531.02     | 0.01%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2006-AR3                                                               | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77258 | PA      | $63578.20     | 0.01%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Ball Corp                                         | Ball Corp                                                                                                  | CUSIP: 058498AS5<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1176142.84   | 0.11%             | 2023-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE6 Mortgage Trust                                                                             | CUSIP: 12624XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70140 | PA      | $69915.15     | 0.01%             | 2046-03-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2014-GC23                                                              | CUSIP: 17322VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3086512 | PA      | $33699.46     | 0.00%             | 2047-07-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13                                                | CUSIP: 61763BAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160061 | PA      | $157382.82    | 0.01%             | 2046-11-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X7K40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202069 | PA      | $187814.26    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                                                    | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    755000 | PA      | $628019.73    | 0.06%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-64CB                                                                           | CUSIP: 12668AZX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75425 | PA      | $64428.75     | 0.01%             | 2035-12-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC20                                                                     | CUSIP: 36252WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465000 | PA      | $350928.90    | 0.03%             | 2047-04-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS NY                                        | NATIXIS NY                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000789 | PA      | $2000789.06   | 0.18%             | 2023-02-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228533 | PA      | $217470.53    | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Teradyne Inc                                      | Teradyne Inc                                                                                               | CUSIP: 880770102<br>LEI: C3X4YJ278QNZHRJULN75 | Long             | EC               | CORP              | US        |     22292 | NS      | $1947206.20   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Panama                                | Panama Government International Bond                                                                       | CUSIP: 698299BB9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | PA      | $144361.20    | 0.01%             | 2053-04-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                                                      | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |    195000 | PA      | $167271.00    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 36241K4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309852 | PA      | $317173.69    | 0.03%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75464 | PA      | $77428.03     | 0.01%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                         | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38678.24     | 0.00%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-4                                                                           | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332037 | PA      | $314914.77    | 0.03%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B10 Mortgage Trust                                                                          | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6077116 | PA      | $314549.08    | 0.03%             | 2062-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                                             | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    265000 | PA      | $268100.63    | 0.02%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31419FVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288567 | PA      | $277128.95    | 0.03%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                          | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     90000 | PA      | $70848.11     | 0.01%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                           | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    865000 | PA      | $767535.61    | 0.07%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    910000 | PA      | $644002.73    | 0.06%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ANMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99685 | PA      | $7628.83      | 0.00%             | 2030-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                 | L3Harris Technologies Inc                                                                                  | CUSIP: 502431AJ8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    305000 | PA      | $303208.85    | 0.03%             | 2023-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                                           | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    241632 | PA      | $194006.13    | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                 | EOG Resources Inc                                                                                          | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |     18072 | NS      | $2340685.44   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Arch Capital Group Ltd                            | Arch Capital Group Ltd                                                                                     | CUSIP: 000000000<br>LEI: 549300AYR4P8AFKDCE43 | Long             | EC               | CORP              | BM        |     38854 | NS      | $2439254.12   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| NIKE Inc                                          | NIKE Inc                                                                                                   | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |     50544 | NS      | $5914153.44   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2017-2 Ltd                                                                         | CUSIP: 05683HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1325000 | PA      | $1290233.33   | 0.12%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Agilent Technologies Inc                          | Agilent Technologies Inc                                                                                   | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |     27858 | NS      | $4168949.70   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| HashiCorp Inc                                     | HashiCorp Inc                                                                                              | CUSIP: 418100103<br>LEI: 549300XGOB9ZFQHMIP56 | Long             | EC               | CORP              | US        |     27482 | NS      | $751357.88    | 0.07%             |  |  |  | No            |                  1 | On Loan: —       |
| INVEST ENERGY RES LTD                             | Investment Energy Resources Ltd                                                                            | CUSIP: 46143NAB6<br>LEI: 254900A71Y7WHN7L5K89 | Long             | DBT              | CORP              | BM        |    200000 | PA      | $191100.00    | 0.02%             | 2029-04-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-8                                                                          | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562922 | PA      | $474089.94    | 0.04%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM7 Trust                                                                                       | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407620 | PA      | $356897.00    | 0.03%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ARE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166025 | PA      | $134488.83    | 0.01%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                   | LSTAR Securities Investment Ltd 2019-4                                                                     | CUSIP: 54912JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419917 | PA      | $406702.39    | 0.04%             | 2024-05-01      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                     | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $345473.22    | 0.03%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                           | DCP Midstream Operating LP                                                                                 | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19886.40     | 0.00%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                   | Gen Digital Inc                                                                                            | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    260000 | PA      | $254800.00    | 0.02%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -14 | NC      | $58036.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WJEV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101110 | PA      | $90661.04     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC            | Amur Equipment Finance Receivables XI LLC                                                                  | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $257129.96    | 0.02%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc                             | Micron Technology Inc                                                                                      | CUSIP: 595112103<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | EC               | CORP              | US        |     55956 | NS      | $2796680.88   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2465000 | PA      | $2071659.19   | 0.19%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299267 | PA      | $277773.42    | 0.03%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68034 | PA      | $66847.54     | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 31396ULP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54250 | PA      | $55154.92     | 0.01%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                          | EQM Midstream Partners LP                                                                                  | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28672.50     | 0.00%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                                                       | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163350 | PA      | $138043.82    | 0.01%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| HubSpot Inc                                       | HubSpot Inc                                                                                                | CUSIP: 443573100<br>LEI: 529900BLNVEW0MVKJB37 | Long             | EC               | CORP              | US        |      1199 | NS      | $346666.87    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2022-NQM1 Trust                                                                                        | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1031604 | PA      | $884038.35    | 0.08%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132QVVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80738 | PA      | $77422.22     | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12                                                | CUSIP: 61762XAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $113694.14    | 0.01%             | 2046-10-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                                                | CUSIP: 61690VBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730345 | PA      | $11969.25     | 0.00%             | 2048-10-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132HPEN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72129 | PA      | $67593.02     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK28                                                                                            | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4910280 | PA      | $485805.40    | 0.04%             | 2063-03-15      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132Y2HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41144 | PA      | $39274.95     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                   | North Macedonia Government International Bond                                                              | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |    425000 | PA      | $423218.91    | 0.04%             | 2025-01-18      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                                             | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    740000 | PA      | $595099.12    | 0.05%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Linde PLC                                         | Linde PLC                                                                                                  | CUSIP: 000000000<br>LEI: 8945002PAZHZLBGKGF02 | Long             | EC               | CORP              | IE        |     16797 | NS      | $5478845.46   | 0.50%             |  |  |  | No            |                  1 | On Loan: —       |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-NQM4                                                              | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88968 | PA      | $80151.98     | 0.01%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262120 | PA      | $9235.68      | 0.00%             | 2055-04-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AFXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51349 | PA      | $2343.73      | 0.00%             | 2028-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                                              | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37127.64     | 0.00%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Chubb Ltd                                         | Chubb Ltd                                                                                                  | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |     18793 | NS      | $4145735.80   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2482086 | PA      | $150309.44    | 0.01%             | 2030-01-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132GFB22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195220 | PA      | $197910.21    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                               | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    340000 | PA      | $325371.77    | 0.03%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312936 | PA      | $265554.82    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Omnicom Group Inc                                 | Omnicom Group Inc                                                                                          | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |     65183 | NS      | $5316977.31   | 0.49%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 31394GXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22686 | PA      | $23014.40     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-2                                                                           | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40197 | PA      | $39677.39     | 0.00%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                     | FirstCash Inc                                                                                              | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    585000 | PA      | $520688.04    | 0.05%             | 2030-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                 | Chile Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    700000 | PA      | $402322.02    | 0.04%             | 2051-01-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                  | ArcelorMittal SA                                                                                           | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     95000 | PA      | $94462.77     | 0.01%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138M8VW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108392 | PA      | $104092.78    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp                             | General Dynamics Corp                                                                                      | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |     14222 | NS      | $3528620.42   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| MONDELEZ INTERNATIONAL                            | Mondelez International Inc                                                                                 | CUSIP: 609207BB0<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    175000 | PA      | $149692.17    | 0.01%             | 2032-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80978 | PA      | $75388.68     | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MABU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242112 | PA      | $232772.65    | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CR14 Mortgage Trust                                                                              | CUSIP: 12630DAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2559624 | PA      | $9814.88      | 0.00%             | 2047-02-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     75000 | PA      | $59217.70     | 0.01%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                                                      | CUSIP: 167505KH8<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    325000 | PA      | $277781.04    | 0.03%             | 2039-12-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                              | Colombia Government International Bond                                                                     | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    225000 | PA      | $165008.81    | 0.02%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NPL1 LLC                                                                                          | CUSIP: 55282YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655740 | PA      | $615507.16    | 0.06%             | 2060-03-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-CCRE4 Mortgage Trust                                                                             | CUSIP: 12624QAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84458 | PA      | $3.49         | 0.00%             | 2045-10-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-7                                                                          | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1131671 | PA      | $949563.27    | 0.09%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-4                                                                 | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411308 | PA      | $394332.25    | 0.04%             | 2048-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| National Bank Of Canada                           | National Bank Of Canada                                                                                    | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |   1700000 | PA      | $1700000.00   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                          | Rogers Communications Inc                                                                                  | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $186068.65    | 0.02%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140FFLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120288 | PA      | $111900.74    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                       | Ivory Coast Government International Bond                                                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    460000 | PA      | $387612.76    | 0.04%             | 2032-01-30      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6882 | PA      | $6262.08      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                             | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    465000 | PA      | $426934.25    | 0.04%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70119 | PA      | $72787.88     | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173724 | PA      | $158067.94    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                                                      | CUSIP: 167505NG7<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    480000 | PA      | $450870.82    | 0.04%             | 2029-11-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    452252 | PA      | $369776.23    | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                    | NRG Energy Inc                                                                                             | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    360000 | PA      | $298279.74    | 0.03%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38381TR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311773 | PA      | $52947.96     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Celanese Corp                                     | Celanese Corp                                                                                              | CUSIP: 150870103<br>LEI: 549300FHJQTDPPN41627 | Long             | EC               | CORP              | US        |     18591 | NS      | $1900743.84   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| PPG Industries Inc                                | PPG Industries Inc                                                                                         | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |     25048 | NS      | $3149535.52   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Aurora Innovation Inc                             | Aurora Innovation Inc                                                                                      | CUSIP: 051774107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     87391 | NS      | $105743.11    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                                                                 | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $472257.27    | 0.04%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2022-1                                                                  | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588322 | PA      | $492175.85    | 0.05%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR2 Trust                                                                             | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1183308 | PA      | $1115943.25   | 0.10%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2016-C5 Commercial Mortgage Trust                                                                    | CUSIP: 12636LBA7<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |    675612 | PA      | $13989.57     | 0.00%             | 2048-11-15      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                         | ONEOK Inc                                                                                                  | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     95000 | PA      | $89661.86     | 0.01%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2425000 | PA      | $2273825.35   | 0.21%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                              | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    220000 | PA      | $217575.06    | 0.02%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 36186NMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7386 | PA      | $6598.46      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                | MACQUARIE BANK LTD                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000540 | PA      | $2000540.00   | 0.18%             | 2023-02-03      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                                                        | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     80000 | PA      | $65116.27     | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                                            | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    140000 | PA      | $113054.98    | 0.01%             | 2032-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                    | Lowe's Cos Inc                                                                                             | CUSIP: 548661EL7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    210000 | PA      | $205004.30    | 0.02%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $265254.34    | 0.02%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| CVS Health Corp                                   | CVS Health Corp                                                                                            | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    125000 | PA      | $113925.60    | 0.01%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                                                          | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363056 | PA      | $279325.84    | 0.03%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    365000 | PA      | $349217.59    | 0.03%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3015 | PA      | $3046.51      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17465 | PA      | $17685.47     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-1                                                                 | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560901 | PA      | $527169.91    | 0.05%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sun Communities Inc                               | Sun Communities Inc                                                                                        | CUSIP: 866674104<br>LEI: 549300H5GEOJYN41ZG57 | Long             | EC               |  | US        |     16419 | NS      | $2347917.00   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Exelon Corp                                       | Exelon Corp                                                                                                | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |    103473 | NS      | $4473137.79   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312939 | PA      | $282769.28    | 0.03%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR5 Trust                                                                       | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216426 | PA      | $202979.38    | 0.02%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                                                      | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |    235000 | PA      | $222389.90    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344813 | PA      | $321754.91    | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                 | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    390000 | PA      | $345015.67    | 0.03%             | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2939854 | PA      | $2400412.20   | 0.22%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                          | Kaiser Foundation Hospitals                                                                                | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    270000 | PA      | $183882.81    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-HYB3                                                                  | CUSIP: 12669GE49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4843 | PA      | $4438.16      | 0.00%             | 2035-06-20      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R2                                                                         | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270420 | PA      | $245127.09    | 0.02%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2022-4 Mortgage Loan Trust                                                                            | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187232 | PA      | $178880.50    | 0.02%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Buckhorn Park CLO, Ltd.                           | Buckhorn Park CLO Ltd                                                                                      | CUSIP: 118382AQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    555000 | PA      | $541899.23    | 0.05%             | 2034-07-18      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-C19                                                                   | CUSIP: 92938VAQ8<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $327528.39    | 0.03%             | 2047-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Horizon Therapeutics Plc                          | Horizon Therapeutics Plc                                                                                   | CUSIP: 000000000<br>LEI: 529900P0GSQ79OOZEV53 | Long             | EC               | CORP              | IE        |      2967 | NS      | $337644.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QGGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100905 | PA      | $85933.41     | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Seagen Inc                                        | Seagen Inc                                                                                                 | CUSIP: 81181C104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4719 | NS      | $606438.69    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FAIR ISAAC CORP                                   | Fair Isaac Corp                                                                                            | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    853000 | PA      | $774102.62    | 0.07%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FleetCor Technologies Inc                         | FleetCor Technologies Inc                                                                                  | CUSIP: 339041105<br>LEI: 549300DG6RR0NQSFLN74 | Long             | EC               | CORP              | US        |      7207 | NS      | $1323781.76   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -94 | NC      | $61353.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET INST US GOVT FUND                    | STATE STREET INST US GOVT FUND                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2000000 | NS      | $2000000.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Advanced Micro Devices Inc                        | Advanced Micro Devices Inc                                                                                 | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |     53966 | NS      | $3495377.82   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    450000 | PA      | $460003.88    | 0.04%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EHZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26918 | PA      | $27329.25     | 0.00%             | 2041-09-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XFBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404120 | PA      | $361859.98    | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                             | Texas Instruments Inc                                                                                      | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |     34213 | NS      | $5652671.86   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Starwood Residential Mortgage Trust               | STAR 2021-1 Trust                                                                                          | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462698 | PA      | $417959.73    | 0.04%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-5 LLC                                                                                            | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557846 | PA      | $505117.77    | 0.05%             | 2026-06-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2021-NPL6 LLC                                                                                         | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430025 | PA      | $397284.09    | 0.04%             | 2051-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 30711XEP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176121 | PA      | $179662.32    | 0.02%             | 2029-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                           | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    500000 | PA      | $429416.01    | 0.04%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2019-HRP1                                                              | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    157109 | PA      | $153555.10    | 0.01%             | 2039-11-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| PayPal Holdings Inc                               | PayPal Holdings Inc                                                                                        | CUSIP: 70450Y103<br>LEI: 5493005X2GO78EFZ3E94 | Long             | EC               | CORP              | US        |     40785 | NS      | $2904707.70   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132LQA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421548 | PA      | $391503.98    | 0.04%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                      | Centene Corp                                                                                               | CUSIP: 15135B101<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | EC               | CORP              | US        |     64282 | NS      | $5271766.82   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4093.45      | 0.00%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                     | Sempra Energy                                                                                              | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     50000 | PA      | $38963.81     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc                                      | Alphabet Inc                                                                                               | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    231418 | NS      | $20418010.14  | 1.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-72                                                                             | CUSIP: 12668A3N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68937 | PA      | $60326.40     | 0.01%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                                                   | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   1010000 | PA      | $829642.97    | 0.08%             | 2033-04-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WEDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75514 | PA      | $70225.78     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136B3SL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571831 | PA      | $527783.08    | 0.05%             | 2058-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM2 Trust                                                                                       | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410735 | PA      | $319221.30    | 0.03%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-LC13 Mortgage Trust                                                                              | CUSIP: 12626GAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90975 | PA      | $89962.80     | 0.01%             | 2046-08-10      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                                                      | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |    270000 | PA      | $264742.98    | 0.02%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                              | Colombia Government International Bond                                                                     | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $136217.17    | 0.01%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9301 | PA      | $9710.61      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK24                                                                                            | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2242973 | PA      | $78557.00     | 0.01%             | 2062-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932289 | PA      | $793410.14    | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                 | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     85000 | PA      | $67365.50     | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C18                                                                              | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $109860.89    | 0.01%             | 2055-12-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283128 | PA      | $253340.49    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 16 Ltd                                                                                                  | CUSIP: 74971CAA1<br>LEI: 549300FLUOZC8QYYKL96 | Long             | ABS-CBDO         | CORP              | KY        |   1175000 | PA      | $1148513.15   | 0.11%             | 2036-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18848 | PA      | $19389.12     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     45000 | PA      | $48589.43     | 0.00%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2005-AR21                                                                 | CUSIP: 45660LYF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8876 | PA      | $7897.38      | 0.00%             | 2035-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                          | Visa Inc                                                                                                   | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |     18831 | NS      | $3912328.56   | 0.36%             |  |  |  | No            |                  1 | On Loan: —       |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    375000 | PA      | $366261.11    | 0.03%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO XXIX Ltd                                                                                   | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1251161.60   | 0.12%             | 2034-04-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138YR6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88598 | PA      | $84863.28     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                   | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    320000 | PA      | $263604.72    | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae                                                                                                 | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2080000 | PA      | $1802024.76   | 0.17%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ascendis Pharma A/S                               | Ascendis Pharma A/S                                                                                        | CUSIP: 04351P101<br>LEI: 549300B66JN3W3J8GH73 | Long             | EC               | CORP              | DK        |      2412 | NS      | $294577.56    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Zoetis Inc                                        | Zoetis Inc                                                                                                 | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |     19779 | NS      | $2898612.45   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140H6C80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63354 | PA      | $58894.21     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    756511 | PA      | $676808.74    | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                            | Boston Scientific Corp                                                                                     | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |     80503 | NS      | $3724873.81   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AP2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28093 | PA      | $1791.30      | 0.00%             | 2030-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                                                     | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $321647.65    | 0.03%             | 2028-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -281 | NC      | $129850.10    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 31329QM40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296544 | PA      | $283122.93    | 0.03%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                  | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     57000 | PA      | $57908.86     | 0.01%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pretium Mortgage Credit Partners LLC                                                                       | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1121353 | PA      | $1001365.12   | 0.09%             | 2052-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C16                                                                              | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $235704.36    | 0.02%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    400000 | PA      | $390664.28    | 0.04%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Archer-Daniels-Midland Co                         | Archer-Daniels-Midland Co                                                                                  | CUSIP: 039483102<br>LEI: 549300LO13MQ9HYSTR83 | Long             | EC               | CORP              | US        |     41099 | NS      | $3816042.15   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XFX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374974 | PA      | $330325.28    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc                               | Elevance Health Inc                                                                                        | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |      8142 | NS      | $4176601.74   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Lennar Corp                                       | Lennar Corp                                                                                                | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Long             | EC               | CORP              | US        |      9743 | NS      | $881741.50    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27313 | PA      | $27075.73     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43114 | PA      | $1823.92      | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AP2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73727 | PA      | $7597.43      | 0.00%             | 2035-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379BCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103430 | PA      | $94022.64     | 0.01%             | 2039-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                             | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    455000 | PA      | $400173.61    | 0.04%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380TE93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196140 | PA      | $30649.69     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Apellis Pharmaceuticals Inc                       | Apellis Pharmaceuticals Inc                                                                                | CUSIP: 03753U106<br>LEI: 254900HS0ZFRXXSB9D42 | Long             | EC               | CORP              | US        |      3712 | NS      | $191947.52    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Biogen Inc                                        | Biogen Inc                                                                                                 | CUSIP: 09062X103<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | EC               | CORP              | US        |      5107 | NS      | $1414230.44   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CR14 Mortgage Trust                                                                              | CUSIP: 12630DAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $186753.05    | 0.02%             | 2047-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Block Inc                                         | Block Inc                                                                                                  | CUSIP: 852234103<br>LEI: 549300OHIIUWSTIZME52 | Long             | EC               | CORP              | US        |     41204 | NS      | $2589259.36   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| GSK PLC                                           | GSK PLC                                                                                                    | CUSIP: 37733W204<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |     47743 | NS      | $1677689.02   | 0.15%             |  |  |  | No            |                  1 | On Loan: —       |
| Edison International                              | Edison International                                                                                       | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |     68960 | NS      | $4387235.20   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL3 LLC                                                                                         | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485997 | PA      | $420852.03    | 0.04%             | 2051-05-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                                                        | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1167225 | PA      | $942328.76    | 0.09%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    230000 | PA      | $218360.14    | 0.02%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                       | Gap Inc/The                                                                                                | CUSIP: 364760AQ1<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    913000 | PA      | $636922.51    | 0.06%             | 2031-10-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2007-AR1                                                               | CUSIP: 07401MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301066 | PA      | $261571.47    | 0.02%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK22                                                                                            | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4552295 | PA      | $145731.71    | 0.01%             | 2062-11-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138XHA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87942 | PA      | $86553.63     | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144643 | PA      | $129469.89    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                              | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     69000 | PA      | $55060.19     | 0.01%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                     | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     95000 | PA      | $96421.78     | 0.01%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X0BV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107092 | PA      | $100242.21    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379V5S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172976 | PA      | $32489.05     | 0.00%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                          | Viper Energy Partners LP                                                                                   | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |    535000 | PA      | $507988.10    | 0.05%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-2                                                          | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    222473 | PA      | $202425.17    | 0.02%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL2 LLC                                                                                         | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145611 | PA      | $131573.25    | 0.01%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255672 | PA      | $217146.86    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                   | Gen Digital Inc                                                                                            | CUSIP: 871503AU2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    905000 | PA      | $880270.68    | 0.08%             | 2025-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                              | Lockheed Martin Corp                                                                                       | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |      7819 | NS      | $3803865.31   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116089 | PA      | $5872.98      | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90588 | PA      | $7769.49      | 0.00%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJTR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333316 | PA      | $328060.34    | 0.03%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                               | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1082895.45   | 0.10%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| AmeriCredit Automobile Receivables Trust          | AmeriCredit Automobile Receivables Trust 2019-3                                                            | CUSIP: 03066NAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    535000 | PA      | $514372.81    | 0.05%             | 2025-09-18      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                               | Sirius XM Radio Inc                                                                                        | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82521.00     | 0.01%             | 2030-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137B2JF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31250 | PA      | $1372.99      | 0.00%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380WH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    380277 | PA      | $76405.39     | 0.01%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                                            | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    155000 | PA      | $128966.33    | 0.01%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK18                                                                                            | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2876180 | PA      | $123480.74    | 0.01%             | 2062-05-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE7 Mortgage Trust                                                                             | CUSIP: 12625FAE6<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |    117319 | PA      | $116537.30    | 0.01%             | 2046-03-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| United Therapeutics Corp                          | United Therapeutics Corp                                                                                   | CUSIP: 91307C102<br>LEI: 5299005C4HZL4UWROC14 | Long             | EC               | CORP              | US        |      1534 | NS      | $426590.06    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2006-AR16 Trust                                                     | CUSIP: 94984NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47590 | PA      | $43637.48     | 0.00%             | 2036-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                               | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    516000 | PA      | $310049.81    | 0.03%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                          | Rogers Communications Inc                                                                                  | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     65000 | PA      | $56091.98     | 0.01%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                                            | CUSIP: 94989HBM1<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $68331.45     | 0.01%             | 2048-05-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137B05Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71785 | PA      | $6547.54      | 0.00%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XGGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456724 | PA      | $391357.83    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                  | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    215000 | PA      | $214989.36    | 0.02%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380CF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169094 | PA      | $28793.34     | 0.00%             | 2047-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                                             | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    425000 | PA      | $434928.73    | 0.04%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                       | Workday Inc                                                                                                | CUSIP: 98138H101<br>LEI: 549300J0DYC0N31V7G13 | Long             | EC               | CORP              | US        |      7503 | NS      | $1255476.99   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138ABBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4010 | PA      | $3916.27      | 0.00%             | 2041-03-01      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21087 | PA      | $21586.22     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81198.05     | 0.01%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                      | NiSource Inc                                                                                               | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80137.80     | 0.01%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                                              | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $275466.97    | 0.03%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                    | Microsoft Corp                                                                                             | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    164414 | NS      | $39429765.48  | 3.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                                                       | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    808070 | PA      | $688438.82    | 0.06%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-1 Mortgage Loan Trust                                                                            | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466528 | PA      | $376068.99    | 0.03%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Insulet Corp                                      | Insulet Corp                                                                                               | CUSIP: 45784P101<br>LEI: 549300TZTYD2PYN92D43 | Long             | EC               | CORP              | US        |      5222 | NS      | $1537304.58   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114806.17    | 0.01%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    470000 | PA      | $447014.11    | 0.04%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A7GL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78649 | PA      | $2110.85      | 0.00%             | 2027-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                                                      | CUSIP: 167505KG0<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |     85000 | PA      | $79681.72     | 0.01%             | 2029-12-01      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XJAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667059 | PA      | $607055.64    | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                    | CAMB Commercial Mortgage Trust 2019-LIFE                                                                   | CUSIP: 12482HAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665000 | PA      | $633268.26    | 0.06%             | 2037-12-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | Toorak Mortgage Corp 2021-1 Ltd                                                                            | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $633614.71    | 0.06%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                                                    | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103920 | PA      | $94706.50     | 0.01%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                           | United Rentals North America Inc                                                                           | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61597.25     | 0.01%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                               | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    157000 | PA      | $94931.13     | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 31398SBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354398 | PA      | $53741.41     | 0.00%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2018-3                                                                       | CUSIP: 59980XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335656 | PA      | $320458.47    | 0.03%             | 2058-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-4                                                          | CUSIP: 35563PHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    810300 | PA      | $731239.30    | 0.07%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39003 | PA      | $39094.02     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Syneos Health Inc                                 | Syneos Health Inc                                                                                          | CUSIP: 87166B102<br>LEI: 549300F1ZGKDS8P6GU13 | Long             | EC               | CORP              | US        |     75194 | NS      | $2758115.92   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Ashtead Capital Inc                               | Ashtead Capital Inc                                                                                        | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $934548.79    | 0.09%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REVOLUTION Medicines Inc                          | REVOLUTION Medicines Inc                                                                                   | CUSIP: 76155X100<br>LEI: 549300JU3X0LBCQ65892 | Long             | EC               | CORP              | US        |      5811 | NS      | $138418.02    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| RR 1 Ltd                                          | RR 1 LLC                                                                                                   | CUSIP: 78108YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1365000 | PA      | $1334598.72   | 0.12%             | 2035-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                    | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    145000 | PA      | $118442.37    | 0.01%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    171732 | PA      | $172271.60    | 0.02%             | 2042-07-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                       | NVIDIA Corp                                                                                                | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    235000 | PA      | $190304.98    | 0.02%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-5                                                              | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $228506.50    | 0.02%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                               | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    645000 | PA      | $585945.30    | 0.05%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                             | Indonesia Government International Bond                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1170000 | PA      | $909431.54    | 0.08%             | 2033-03-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                         | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    806131 | PA      | $119072.19    | 0.01%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KJJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209133 | PA      | $184450.99    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2006-6AR                                                                | CUSIP: 61749CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134356 | PA      | $63222.48     | 0.01%             | 2036-05-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust 2005-AR4                                                                 | CUSIP: 39538WBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135158 | PA      | $105128.44    | 0.01%             | 2045-10-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK23                                                                                            | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3638107 | PA      | $134524.09    | 0.01%             | 2052-12-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                        | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1190000 | PA      | $1112988.60   | 0.10%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138W9T42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18912 | PA      | $18578.69     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                          | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                        | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $58691.75     | 0.01%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |    900000 | PA      | $900000.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                              | Keurig Dr Pepper Inc                                                                                       | CUSIP: 49271VAP5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    440000 | PA      | $409280.76    | 0.04%             | 2029-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Moderna Inc                                       | Moderna Inc                                                                                                | CUSIP: 60770K107<br>LEI: 549300EI6OKH5K5Q2G38 | Long             | EC               | CORP              | US        |      4591 | NS      | $824635.42    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                                                        | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312254 | PA      | $293198.76    | 0.03%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296494 | PA      | $285662.09    | 0.03%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kellogg Co                                        | Kellogg Co                                                                                                 | CUSIP: 487836108<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | EC               | CORP              | US        |     35098 | NS      | $2500381.52   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140LGPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175000 | PA      | $163602.38    | 0.02%             | 2032-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2011-C3                                                                     | CUSIP: 61760RAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $145526.47    | 0.01%             | 2049-07-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| NBM US Holdings Inc                               | NBM US Holdings Inc                                                                                        | CUSIP: 62877VAA9<br>LEI: 5493008K1QMSP0J8UC24 | Long             | DBT              | CORP              | US        |    635000 | PA      | $630561.35    | 0.06%             | 2026-05-14      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Stryker Corp                                      | Stryker Corp                                                                                               | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |     14699 | NS      | $3593758.51   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378JXN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63397 | PA      | $11891.65     | 0.00%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380BAQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49098 | PA      | $2360.26      | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3157606 | PA      | $3007748.96   | 0.28%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8                                               | CUSIP: 46638UAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293827 | PA      | $266717.78    | 0.02%             | 2045-10-15      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                           | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    400000 | PA      | $275442.26    | 0.03%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM1 Trust                                                                                        | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558392 | PA      | $434381.39    | 0.04%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                          | Constellation Brands Inc                                                                                   | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |     39512 | NS      | $9156906.00   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-4                                                              | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $711124.11    | 0.07%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138ABXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7045 | PA      | $6875.66      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp                                       | NVIDIA Corp                                                                                                | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     12062 | NS      | $1762740.68   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                                                          | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11792.14     | 0.00%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42437 | PA      | $2029.93      | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 31394DEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183508 | PA      | $189230.24    | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8FN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235966 | PA      | $218437.54    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International plc                | Johnson Controls International plc                                                                         | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | IE        |     22576 | NS      | $1444864.00   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QKF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154227 | PA      | $135543.11    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS MORTGAGE TRUST 2017-C1                                                                               | CUSIP: 07332VBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4831363 | PA      | $225582.14    | 0.02%             | 2050-02-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3131XYTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112611 | PA      | $104368.47    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS4                                                                       | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201844 | PA      | $180427.00    | 0.02%             | 2060-11-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Adobe Inc                                         | Adobe Inc                                                                                                  | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |      4491 | NS      | $1511356.23   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Willis North America Inc                          | Willis North America Inc                                                                                   | CUSIP: 970648AF8<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126454.96    | 0.01%             | 2024-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X7GK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573810 | PA      | $537140.63    | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE19 Mortgage Trust                                                                            | CUSIP: 12592GBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $217598.02    | 0.02%             | 2047-08-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Ryman Hospitality Properties Inc                  | Ryman Hospitality Properties Inc                                                                           | CUSIP: 78377T107<br>LEI: 529900GCCWW9SRMPJR11 | Long             | EC               |  | US        |     34322 | NS      | $2806853.16   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XFM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2038849 | PA      | $1730314.68   | 0.16%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                     | Sutter Health                                                                                              | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    210000 | PA      | $142330.74    | 0.01%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2020-3                                                               | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415000 | PA      | $393255.04    | 0.04%             | 2026-02-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397352 | PA      | $370578.94    | 0.03%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                                                   | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    130000 | PA      | $103987.55    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79840 | PA      | $76673.32     | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2019-3                                                               | CUSIP: 96042HAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506288 | PA      | $502983.57    | 0.05%             | 2024-11-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138W9EE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13575 | PA      | $12681.86     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2022-STAR                                                                                        | CUSIP: 055980AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $565844.45    | 0.05%             | 2024-08-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137AYYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55365 | PA      | $1732.34      | 0.00%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-3 LLC                                                                                            | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411616 | PA      | $366960.43    | 0.03%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $94177.60     | 0.01%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Celldex Therapeutics Inc                          | Celldex Therapeutics Inc                                                                                   | CUSIP: 15117B202<br>LEI: 529900F018DMYWH38923 | Long             | EC               | CORP              | US        |      6616 | NS      | $294875.12    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511885 | PA      | $435930.28    | 0.04%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1930000 | PA      | $-1693322.67  | -0.16%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust                                              | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67979 | PA      | $58676.62     | 0.01%             | 2037-06-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140F5Z63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36610 | PA      | $34965.35     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                                           | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    360000 | PA      | $321466.02    | 0.03%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418QGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1122 | PA      | $1120.30      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Harriman Park CLO                                 | Harriman Park CLO LTD                                                                                      | CUSIP: 413717AN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1655000 | PA      | $1621218.14   | 0.15%             | 2034-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    874000 | PA      | $793856.58    | 0.07%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fluor Corp                                        | Fluor Corp                                                                                                 | CUSIP: 343412102<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Long             | EC               | CORP              | US        |     73095 | NS      | $2533472.70   | 0.23%             |  |  |  | No            |                  1 | On Loan: —       |
| AstraZeneca PLC                                   | AstraZeneca PLC                                                                                            | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |     71159 | NS      | $4824580.20   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   1400000 | PA      | $1400000.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Kennametal Inc                                    | Kennametal Inc                                                                                             | CUSIP: 489170100<br>LEI: 549300GZDSG25XUV0Y08 | Long             | EC               | CORP              | US        |     28657 | NS      | $689487.42    | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     65000 | PA      | $49887.86     | 0.00%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XAUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1086174 | PA      | $928247.39    | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3370000 | PA      | $3011937.50   | 0.28%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust                                                                         | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239171 | PA      | $95746.06     | 0.01%             | 2036-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pretium Mortgage Credit Partners LLC                                                                       | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    866000 | PA      | $780575.60    | 0.07%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 3622AAN26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230640 | PA      | $222260.33    | 0.02%             | 2042-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Ceridian HCM Holding Inc                          | Ceridian HCM Holding Inc                                                                                   | CUSIP: 15677J108<br>LEI: 549300T64GVCHFJ8L449 | Long             | EC               | CORP              | US        |     39376 | NS      | $2525970.40   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                                                     | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $120650.80    | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2022-4                                                                 | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $363031.72    | 0.03%             | 2027-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                           | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104053.30    | 0.01%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    120000 | PA      | $106164.43    | 0.01%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                               | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    190000 | PA      | $141136.03    | 0.01%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26378 | PA      | $27495.31     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103767 | PA      | $96672.41     | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2006-AR13 Trust                                                     | CUSIP: 94984DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44047 | PA      | $40626.09     | 0.00%             | 2036-09-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                          | CUSIP: 442851AT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $220077.99    | 0.02%             | 2029-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                               | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    370000 | PA      | $313716.50    | 0.03%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                            | Open Text Holdings Inc                                                                                     | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $101048.41    | 0.01%             | 2031-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| TRUIST BANK                                       | Truist Bank                                                                                                | CUSIP: 89788KAA4<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    375000 | PA      | $304072.39    | 0.03%             | 2030-03-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXXVIII Ltd                                                                           | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1330000 | PA      | $1296527.89   | 0.12%             | 2034-07-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3037224 | PA      | $195668.28    | 0.02%             | 2030-06-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                             | Micron Technology Inc                                                                                      | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     95000 | PA      | $96498.80     | 0.01%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2017-H1                                                                     | CUSIP: 61691JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1495180 | PA      | $56185.41     | 0.01%             | 2050-06-15      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    760000 | PA      | $724467.52    | 0.07%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140Q7QD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348267 | PA      | $322794.30    | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Illumina Inc                                      | Illumina Inc                                                                                               | CUSIP: 452327109<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | EC               | CORP              | US        |      9959 | NS      | $2013709.80   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2013-C12                                                        | CUSIP: 46639NAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37822 | PA      | $37538.87     | 0.00%             | 2045-07-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT MAR23                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -118 | NC      | $138660.65    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Walt Disney Co/The                                | Walt Disney Co/The                                                                                         | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |     60583 | NS      | $5263451.04   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                       | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    220000 | PA      | $189279.95    | 0.02%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136B2GA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260123 | PA      | $52217.71     | 0.00%             | 2048-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                        | BINOM Securitization Trust 2021-INV1                                                                       | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351721 | PA      | $308290.91    | 0.03%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X4TQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140645 | PA      | $137728.42    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                   | LSTAR Securities Investment Ltd 2021-2                                                                     | CUSIP: 54912PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684620 | PA      | $597247.31    | 0.05%             | 2026-03-02      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    840000 | PA      | $651744.63    | 0.06%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-9 LLC                                                                                            | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020502 | PA      | $918667.91    | 0.08%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                               | Sirius XM Radio Inc                                                                                        | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60921.00     | 0.01%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                                                                | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    386000 | PA      | $359879.38    | 0.03%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                          | Marsh & McLennan Cos Inc                                                                                   | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |     27050 | NS      | $4476234.00   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213165 | PA      | $24527.94     | 0.00%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X4PM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3631 | PA      | $3545.41      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                          | CUSIP: 442851AY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $83377.72     | 0.01%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                           | Duke Energy Indiana LLC                                                                                    | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    145000 | PA      | $91030.79     | 0.01%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136B2DL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364801 | PA      | $61414.39     | 0.01%             | 2048-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO XXIV Ltd                                                                                  | CUSIP: 09609NAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    825000 | PA      | $800286.30    | 0.07%             | 2034-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M9VL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19184 | PA      | $19914.40     | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 31394VV56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11842 | PA      | $9953.31      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520720 | PA      | $478886.23    | 0.04%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                          | Anheuser-Busch InBev Worldwide Inc                                                                         | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    443000 | PA      | $442029.12    | 0.04%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust              | GMACM Home Equity Loan Trust 2004-HE3                                                                      | CUSIP: 361856DG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11132 | PA      | $11006.33     | 0.00%             | 2034-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-3                                                                 | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461309 | PA      | $435340.89    | 0.04%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Puget Energy Inc                                  | Puget Energy Inc                                                                                           | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    270000 | PA      | $256803.96    | 0.02%             | 2025-05-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132JN7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23421 | PA      | $23034.29     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GoDaddy Inc                                       | GoDaddy Inc                                                                                                | CUSIP: 380237107<br>LEI: 549300J8H1TB0I2CB447 | Long             | EC               | CORP              | US        |     37046 | NS      | $2771781.72   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 3617GCKE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26096 | PA      | $25217.41     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                        | Evergy Inc                                                                                                 | CUSIP: 30034WAA4<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     85000 | PA      | $80696.01     | 0.01%             | 2024-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QA3 Trust                                                                                 | CUSIP: 75114RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454689 | PA      | $375590.44    | 0.03%             | 2036-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                       | CUSIP: 87612KAC6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    225000 | PA      | $212343.89    | 0.02%             | 2052-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corp          | NEW YORK TRANSPRTN DEV CORP LEASE REVENUE                                                                  | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1150000 | PA      | $1105227.05   | 0.10%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AAKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27943 | PA      | $3344.07      | 0.00%             | 2042-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ALQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1040001 | PA      | $62363.33     | 0.01%             | 2034-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ares Management Corp                              | Ares Management Corp                                                                                       | CUSIP: 03990B101<br>LEI: 529900JUV61FH7B8VW38 | Long             | EC               | CORP              | US        |    113507 | NS      | $7768419.08   | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-3                                                                        | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105884 | PA      | $103695.29    | 0.01%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                     | FirstCash Inc                                                                                              | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    758000 | PA      | $665494.24    | 0.06%             | 2028-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                 | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000 | PA      | $19398.25     | 0.00%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138ELLB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33643 | PA      | $31486.67     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                                           | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    245000 | PA      | $176490.81    | 0.02%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE15 Mortgage Trust                                                                            | CUSIP: 12591RBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $112839.74    | 0.01%             | 2047-02-10      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202835 | PA      | $172920.24    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                          | OBX 2021-NQM3 Trust                                                                                        | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523276 | PA      | $393307.32    | 0.04%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108086 | PA      | $98345.39     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | Long: 99D08X0U2 CDS USD R V 01MEVENT 99D08X0V / Short: 99D08X0U2 CDS USD P F  4.58000 99D08X0U2            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    117501 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                 | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    815000 | PA      | $776162.56    | 0.07%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                      | Drive Auto Receivables Trust 2019-4                                                                        | CUSIP: 26209AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    403643 | PA      | $397529.06    | 0.04%             | 2027-02-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $270449.03    | 0.02%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    565000 | PA      | $540471.15    | 0.05%             | 2038-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Airbnb Inc                                        | Airbnb Inc                                                                                                 | CUSIP: 009066101<br>LEI: 549300HMUDNO0RY56D37 | Long             | EC               | CORP              | US        |     76129 | NS      | $6509029.50   | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| PACCAR Inc                                        | PACCAR Inc                                                                                                 | CUSIP: 693718108<br>LEI: KDTEY8BWE486IKZ3CC07 | Long             | EC               | CORP              | US        |      6935 | NS      | $686356.95    | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-3                                                          | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    222658 | PA      | $203500.34    | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X6QS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64423 | PA      | $59697.87     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR13 Trust                                             | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122662 | PA      | $101947.10    | 0.01%             | 2046-10-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XF3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252670 | PA      | $215182.16    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31379FN75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $539.04       | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Guidewire Software Inc                            | Guidewire Software Inc                                                                                     | CUSIP: 40171V100<br>LEI: 549300WXSG0J8IXZCK32 | Long             | EC               | CORP              | US        |      9466 | NS      | $592192.96    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435664 | PA      | $358780.36    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Etsy Inc                                          | Etsy Inc                                                                                                   | CUSIP: 29786A106<br>LEI: 54930089Q7XT501AEA40 | Long             | EC               | CORP              | US        |     54166 | NS      | $6488003.48   | 0.60%             |  |  |  | No            |                  1 | On Loan: —       |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-158861.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                             | Oglethorpe Power Corp                                                                                      | CUSIP: 677050AR7<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    130000 | PA      | $103209.36    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-3                                                                            | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591491 | PA      | $485762.06    | 0.04%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                     | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $227674.03    | 0.02%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| MS GOVT US LEX                                    | MS GOVT US LEX                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   5000000 | NS      | $5000000.00   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA3 Trust                                                                                | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50147 | PA      | $24553.80     | 0.00%             | 2035-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    462314 | PA      | $411732.75    | 0.04%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140F5SH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89774 | PA      | $83310.36     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                              | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     90000 | PA      | $92635.84     | 0.01%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 30711XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300828 | PA      | $309881.55    | 0.03%             | 2029-05-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140LHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380000 | PA      | $351721.90    | 0.03%             | 2032-11-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM2                                                                     | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1236187 | PA      | $1122324.26   | 0.10%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-7CB                                                                            | CUSIP: 12667F4T9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133613 | PA      | $101837.21    | 0.01%             | 2038-03-01      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QD2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717937 | PA      | $631509.62    | 0.06%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flowserve Corp                                    | Flowserve Corp                                                                                             | CUSIP: 34354P105<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | EC               | CORP              | US        |     48768 | NS      | $1496202.24   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874273 | PA      | $713702.45    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                   | SBA Tower Trust                                                                                            | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              |  | US        |    545000 | PA      | $513671.77    | 0.05%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X4QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17585 | PA      | $17204.82     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                 | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    455000 | PA      | $360679.45    | 0.03%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2022-NQM1                                                                                             | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1252936 | PA      | $1074953.67   | 0.10%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | Long: 99D083228 CDS USD R F   .11000 1 ABX / Short: 99D083228 CDS USD P V 01MEVENT 2 ABX                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | GB        |     62130 | OU      | $-4556.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2022-3                                                        | CUSIP: 02528GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55000 | PA      | $53915.25     | 0.00%             | 2026-10-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                            | Egypt Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    270000 | PA      | $170132.40    | 0.02%             | 2048-02-21      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429486 | PA      | $350754.43    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -8001000 | PA      | $-7502217.18  | -0.69%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Assured Guaranty Ltd                              | Assured Guaranty Ltd                                                                                       | CUSIP: 000000000<br>LEI: 549300BBOQUJEPH87M14 | Long             | EC               | CORP              | BM        |     32031 | NS      | $1994250.06   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2019-2                                                                               | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359721 | PA      | $332740.49    | 0.03%             | 2049-04-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 3617G1SM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80177 | PA      | $76322.65     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                            | Marvell Technology Inc                                                                                     | CUSIP: 573874104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     45750 | NS      | $1694580.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                           | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    375000 | PA      | $351262.82    | 0.03%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Apex Credit CLO LLC                               | JFIN CLO 2017 Ltd                                                                                          | CUSIP: 03755FAC1<br>LEI: 549300RQCC84IFW6Y440 | Long             | ABS-CBDO         | CORP              | KY        |    791963 | PA      | $782178.76    | 0.07%             | 2029-04-24      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                           | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672000 | PA      | $636102.43    | 0.06%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-LC14                                                                  | CUSIP: 96221TAE7<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $39240.02     | 0.00%             | 2047-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    780000 | PA      | $744889.74    | 0.07%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Knollwood CDO Ltd                                 | Knollwood CDO Ltd                                                                                          | CUSIP: 499169AD2<br>LEI: 549300E24U6UCPJEUI87 | Long             | ABS-CBDO         | CORP              | KY        |    790358 | PA      | $79.04        | 0.00%             | 2039-01-10      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31416RHU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13861 | PA      | $13821.29     | 0.00%             | 2024-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-2                                                                | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206066 | PA      | $173187.78    | 0.02%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                                                   | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    245000 | PA      | $225126.84    | 0.02%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Summit Issuer, LLC                                | Summit Issuer LLC                                                                                          | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $280154.14    | 0.03%             | 2050-12-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: B9D0TKV25 CDS USD R V 03MEVENT 2 CCPCDX / Short: B9D0TKV25 CDS USD P F  1.00000 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   3440000 | OU      | $201260.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QHM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2127220 | PA      | $1736155.47   | 0.16%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    698587 | PA      | $600518.67    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Intra-Cellular Therapies Inc                      | Intra-Cellular Therapies Inc                                                                               | CUSIP: 46116X101<br>LEI: 5299002U2KGF193IJA20 | Long             | EC               | CORP              | US        |     11938 | NS      | $631758.96    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140FJB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107030 | PA      | $99413.60     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WQAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597669 | PA      | $543806.84    | 0.05%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State of California                               | CALIFORNIA ST                                                                                              | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    180000 | PA      | $218677.43    | 0.02%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140M9X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456847 | PA      | $390095.53    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                                                                         | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201015.72    | 0.02%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KTYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554562 | PA      | $467459.07    | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379LG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97038 | PA      | $18603.50     | 0.00%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 3622A2CX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168599 | PA      | $175492.02    | 0.02%             | 2040-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                           | Regatta VI Funding Ltd                                                                                     | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1166331.60   | 0.11%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM8                                                                                             | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    536752 | PA      | $455328.96    | 0.04%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                  | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    255000 | PA      | $220385.98    | 0.02%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X53X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71096 | PA      | $69948.56     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EHJ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30896 | PA      | $31010.32     | 0.00%             | 2041-06-01      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    452896 | PA      | $406089.45    | 0.04%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39956 | PA      | $37854.28     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |    700000 | PA      | $700000.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                         | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18375.47     | 0.00%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-8                                                                            | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518240 | PA      | $428010.82    | 0.04%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                                              | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    585000 | PA      | $541804.33    | 0.05%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    455000 | PA      | $404291.66    | 0.04%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183135 | PA      | $150069.72    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-1                                                                 | CUSIP: 64830CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456947 | PA      | $423083.39    | 0.04%             | 2057-09-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $120985.91    | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379VRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137631 | PA      | $7674.84      | 0.00%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                  | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    240000 | PA      | $201122.20    | 0.02%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                                                         | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    165000 | PA      | $131373.37    | 0.01%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TJX Cos Inc/The                                   | TJX Cos Inc/The                                                                                            | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |    106633 | NS      | $8487986.80   | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Incyte Corp                                       | Incyte Corp                                                                                                | CUSIP: 45337C102<br>LEI: 549300Z4WN6JVZ3T4680 | Long             | EC               | CORP              | US        |      4709 | NS      | $378226.88    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31419A3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230965 | PA      | $228963.20    | 0.02%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 36198KLS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802338 | PA      | $716562.72    | 0.07%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132HLE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82573 | PA      | $79386.60     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS3                                                                       | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394905 | PA      | $356952.62    | 0.03%             | 2061-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200057 | PA      | $164848.71    | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140GT7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95654 | PA      | $88920.70     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                                             | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     85000 | PA      | $56692.46     | 0.01%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Monster Beverage Corp                             | Monster Beverage Corp                                                                                      | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |     48089 | NS      | $4882476.17   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310396 | PA      | $289905.07    | 0.03%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                                           | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    170000 | PA      | $163890.16    | 0.02%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    355000 | PA      | $366249.17    | 0.03%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FORESIGHT ENERGY LLC                              | FORESIGHT ENERGY LLC                                                                                       | CUSIP: 000000000<br>LEI: 549300HM3UR1W0JJ7F28 | Long             | EC               | CORP              | US        |      1359 | NS      | $14268.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39702 | PA      | $41067.44     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-7                                                              | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $656258.72    | 0.06%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Hologic Inc                                       | Hologic Inc                                                                                                | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    658000 | PA      | $620030.11    | 0.06%             | 2028-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust            | UBS-Barclays Commercial Mortgage Trust 2013-C5                                                             | CUSIP: 90270YBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       544 | PA      | $542.93       | 0.00%             | 2046-03-10      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    440000 | PA      | $354472.22    | 0.03%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631691 | PA      | $516501.67    | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD,NY                 | SUMITOMO MITSUI TRUST BANK LTD,NY                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000328 | PA      | $1000328.00   | 0.09%             | 2023-02-24      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Crown Finance US, Inc.                            | Crown Finance US, Inc. 2018 USD Term Loan                                                                  | CUSIP: 22834KAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     79970 | PA      | $15144.38     | 0.00%             | 2025-02-28      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                   | North Macedonia Government International Bond                                                              | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |    515000 | PA      | $506930.89    | 0.05%             | 2026-06-03      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Hershey Co/The                                    | Hershey Co/The                                                                                             | CUSIP: 427866108<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | EC               | CORP              | US        |     28400 | NS      | $6576588.00   | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2022-3                                                                   | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90000 | PA      | $88135.44     | 0.01%             | 2027-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                | Steel Dynamics Inc                                                                                         | CUSIP: 858119BK5<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87927.82     | 0.01%             | 2030-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                               | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     54000 | PA      | $33394.97     | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-5                                                                            | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736683 | PA      | $600900.45    | 0.06%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                            | Egypt Government International Bond                                                                        | CUSIP: 03846JAE0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $141500.00    | 0.01%             | 2033-09-30      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137AMVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27810 | PA      | $1052.89      | 0.00%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                   | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61135.72     | 0.01%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    880000 | PA      | $661373.10    | 0.06%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137ARZH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18234 | PA      | $886.25       | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-C24                                                                   | CUSIP: 92939KAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86806 | PA      | $5095.96      | 0.00%             | 2047-11-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    340000 | PA      | $324699.42    | 0.03%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                                              | CUSIP: 59261AG76<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   1390000 | PA      | $1199572.36   | 0.11%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                   | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $928654.84    | 0.09%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL              | BX Commercial Mortgage Trust 2019-XL                                                                       | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910718 | PA      | $899489.33    | 0.08%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96229 | PA      | $92412.67     | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kimco Realty Corp                                 | Kimco Realty Corp                                                                                          | CUSIP: 49446R109<br>LEI: 549300EA7I6T15IBYS12 | Long             | EC               |  | US        |    128180 | NS      | $2714852.40   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B9 Mortgage Trust                                                                           | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1507033.44   | 0.14%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KLTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    787247 | PA      | $642382.61    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1656300 | PA      | $97661.44     | 0.01%             | 2030-10-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE10 Mortgage Trust                                                                            | CUSIP: 12626BAF1<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |    606180 | PA      | $1116.34      | 0.00%             | 2046-08-10      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                                                     | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    250000 | PA      | $172944.95    | 0.02%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                 | Affirm Asset Securitization Trust 2020-Z1                                                                  | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49852 | PA      | $49443.83     | 0.00%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127482 | PA      | $112641.38    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                 | ILLINOIS ST                                                                                                | CUSIP: 452152KJ9<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     70000 | PA      | $70000.00     | 0.01%             | 2023-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140GPSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123198 | PA      | $118051.40    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust           | SG Commercial Mortgage Securities Trust 2020-COVE                                                          | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1230000 | PA      | $1132206.76   | 0.10%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WJFD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216941 | PA      | $194319.23    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2017-DELC Mortgage Trust                                                                             | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1802000 | PA      | $1770191.46   | 0.16%             | 2036-08-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A9GA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75329 | PA      | $4291.48      | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B4 Mortgage Trust                                                                           | CUSIP: 08161HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4254602 | PA      | $72050.84     | 0.01%             | 2051-07-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM3 Trust                                                                                       | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550866 | PA      | $438106.91    | 0.04%             | 2066-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Hanesbrands Inc                                   | Hanesbrands Inc                                                                                            | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    140000 | PA      | $125099.93    | 0.01%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| HOWARD UNIVERSITY                                 | Howard University                                                                                          | CUSIP: 442851AV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $81909.69     | 0.01%             | 2031-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-1                                                          | CUSIP: 35563PJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1135048 | PA      | $1036922.63   | 0.10%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                     | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    535000 | PA      | $566779.81    | 0.05%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        47 | NC      | $-28273.47    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X8NY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5921 | PA      | $5752.02      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK9                                                                                             | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    793344 | PA      | $23929.47     | 0.00%             | 2054-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| 510 Assets Backed Trust                           | 510 Asset Backed 2021-NPL2 Trust                                                                           | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    801991 | PA      | $718958.78    | 0.07%             | 2061-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| PulteGroup Inc                                    | PulteGroup Inc                                                                                             | CUSIP: 745867AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    583000 | PA      | $585072.67    | 0.05%             | 2026-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 31396WJS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100696 | PA      | $85219.65     | 0.01%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                          | AT&T Inc                                                                                                   | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |    236323 | NS      | $4350706.43   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108920 | PA      | $93290.26     | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X5NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71061 | PA      | $69385.21     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cargurus Inc                                      | Cargurus Inc                                                                                               | CUSIP: 141788109<br>LEI: 54930027BKQN6B7X7G78 | Long             | EC               | CORP              | US        |    156456 | NS      | $2191948.56   | 0.20%             |  |  |  | No            |                  1 | On Loan: —       |
| Southwest Airlines Co                             | Southwest Airlines Co                                                                                      | CUSIP: 844741108<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | EC               | CORP              | US        |     12636 | NS      | $425454.12    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6776 | PA      | $6991.00      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $390315.98    | 0.04%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378P4B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29474 | PA      | $5400.30      | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140F8BQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26039 | PA      | $24908.81     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138W9TW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54806 | PA      | $53839.18     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ICON PLC                                          | ICON PLC                                                                                                   | CUSIP: 000000000<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |      5720 | NS      | $1111110.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4075000 | PA      | $4014777.25   | 0.37%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust            | UBS-Barclays Commercial Mortgage Trust 2013-C6                                                             | CUSIP: 90349GBF1<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    202299 | PA      | $200807.07    | 0.02%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                                             | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    395000 | PA      | $395000.00    | 0.04%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                           | Shell International Finance BV                                                                             | CUSIP: 822582CK6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    120000 | PA      | $87039.52     | 0.01%             | 2041-11-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140FXJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598665 | PA      | $549195.69    | 0.05%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WUUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22460 | PA      | $21930.29     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                                                   | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    395000 | PA      | $389598.85    | 0.04%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751274 | PA      | $613546.50    | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                                              | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    110000 | PA      | $106352.40    | 0.01%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179995 | PA      | $163772.93    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                   | LSTAR Securities Investment Ltd 2019-3                                                                     | CUSIP: 50220XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219637 | PA      | $218167.52    | 0.02%             | 2024-04-01      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KJZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233860 | PA      | $191936.06    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                         | INVESCO GOVT AND AGCY LEX                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   5000000 | NS      | $5000000.00   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NQM1 Trust                                                                                        | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252651 | PA      | $217981.27    | 0.02%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-LC14                                                                  | CUSIP: 96221TAH0<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |   1300418 | PA      | $11033.27     | 0.00%             | 2047-03-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572177 | PA      | $484646.28    | 0.04%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2021-R1                                                                          | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1244337 | PA      | $998238.39    | 0.09%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    305000 | PA      | $262325.44    | 0.02%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Tesla Inc                                         | Tesla Inc                                                                                                  | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |      5645 | NS      | $695351.10    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380CP80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208285 | PA      | $38884.37     | 0.00%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Karuna Therapeutics Inc                           | Karuna Therapeutics Inc                                                                                    | CUSIP: 48576A100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4694 | NS      | $922371.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS3                                                            | CUSIP: 94989VAG4<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |   4594062 | PA      | $90105.63     | 0.01%             | 2057-09-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                            | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    465000 | PA      | $468396.09    | 0.04%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EQFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93517 | PA      | $92706.15     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 36183QUL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22613 | PA      | $20201.41     | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209717 | PA      | $186763.72    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                         | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    240000 | PA      | $238063.20    | 0.02%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                              | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    150000 | PA      | $123533.34    | 0.01%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-2                                                          | CUSIP: 35563PFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    413137 | PA      | $380536.22    | 0.03%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2011-C4                                                                    | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $70069.21     | 0.01%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B2 Mortgage Trust                                                                           | CUSIP: 08161CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $750204.69    | 0.07%             | 2051-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp                             | Oglethorpe Power Corp                                                                                      | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    115000 | PA      | $98325.62     | 0.01%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                                             | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120991.47    | 0.01%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| SUMITOMO BK NY                                    | SUMITOMO BK NY                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000110 | PA      | $1000110.00   | 0.09%             | 2023-03-06      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1163288.55   | 0.11%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XGQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664134 | PA      | $632141.37    | 0.06%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F042418<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -98000 | PA      | $-97331.21    | -0.01%            | 2038-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                        | Intel Corp                                                                                                 | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |     56006 | NS      | $1480238.58   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Knight-Swift Transportation Holdings Inc          | Knight-Swift Transportation Holdings Inc                                                                   | CUSIP: 499049104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     44990 | NS      | $2357925.90   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 3617BVST5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115192 | PA      | $109601.80    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                 | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6335000 | PA      | $5993527.28   | 0.55%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM2R                                                             | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211591 | PA      | $182912.50    | 0.02%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45315 | PA      | $46376.97     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211999 | PA      | $196595.08    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137AWF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145303 | PA      | $123508.28    | 0.01%             | 2042-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                                                          | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    305000 | PA      | $302389.06    | 0.03%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6040000 | PA      | $4944070.33   | 0.45%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    565000 | PA      | $475954.75    | 0.04%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK20                                                                                            | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4060893 | PA      | $168544.91    | 0.02%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2022-3                                                                          | CUSIP: 33845PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    503000 | PA      | $490973.42    | 0.05%             | 2028-07-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| INTL AIRPORT FINANCE SA                           | International Airport Finance SA                                                                           | CUSIP: 45900TAA0<br>LEI: 959800M9M5LP0KXUP789 | Long             | DBT              | CORP              | ES        |    919292 | PA      | $904009.03    | 0.08%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2005-9                                                                      | CUSIP: 007036SE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37568 | PA      | $36550.40     | 0.00%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia           | MUNI ELEC AUTH OF GEORGIA                                                                                  | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |    191000 | PA      | $204320.68    | 0.02%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                 | Service Corp International/US                                                                              | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    785000 | PA      | $638131.90    | 0.06%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378BM71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    779424 | PA      | $12430.56     | 0.00%             | 2053-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XDDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140534 | PA      | $118461.89    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fortune Brands Innovations Inc                    | Fortune Brands Innovations Inc                                                                             | CUSIP: 34964C106<br>LEI: 54930032LHW54PQUJD44 | Long             | EC               | CORP              | US        |     22717 | NS      | $1297367.87   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B18 Mortgage Trust                                                                          | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1324502 | PA      | $103916.58    | 0.01%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                    | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    405000 | PA      | $379762.94    | 0.03%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUSTON                       | BANK OF NOVA SCOTIA HOUSTON                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000420 | PA      | $1000420.25   | 0.09%             | 2023-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                               | Sirius XM Radio Inc                                                                                        | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    835000 | PA      | $741429.90    | 0.07%             | 2026-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                   | LSTAR Securities Investment Ltd 2020-1                                                                     | CUSIP: 54912MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481208 | PA      | $474701.85    | 0.04%             | 2026-02-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268035 | PA      | $225938.02    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                   | NGPL PipeCo LLC                                                                                            | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    210000 | PA      | $170814.63    | 0.02%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Arista Networks Inc                               | Arista Networks Inc                                                                                        | CUSIP: 040413106<br>LEI: 635400H1WKBLOQERUU95 | Long             | EC               | CORP              | US        |      5812 | NS      | $705286.20    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACK KNIGHT INFOSERV LL                          | Black Knight InfoServ LLC                                                                                  | CUSIP: 092174AA9<br>LEI: 549300H5PS5C68DAUX66 | Long             | DBT              | CORP              | US        |   1478000 | PA      | $1279209.00   | 0.12%             | 2028-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                               | Abbott Laboratories                                                                                        | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |     24368 | NS      | $2675362.72   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56152.97     | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises Inc                            | IPALCO Enterprises Inc                                                                                     | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    335000 | PA      | $324621.19    | 0.03%             | 2024-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-2                                                                 | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578956 | PA      | $542430.60    | 0.05%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FedEx Corp                                        | FedEx Corp                                                                                                 | CUSIP: 31428X106<br>LEI: 549300E707U7WNPZN687 | Long             | EC               | CORP              | US        |      3058 | NS      | $529645.60    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BBPC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387015 | PA      | $331649.17    | 0.03%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380CG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107939 | PA      | $18977.82     | 0.00%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                          | Builders FirstSource Inc                                                                                   | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    785000 | PA      | $695572.02    | 0.06%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM2                                                                  | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203503 | PA      | $190561.78    | 0.02%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                      | Ecopetrol SA                                                                                               | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    455000 | PA      | $347547.13    | 0.03%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co                                     | Ford Motor Co                                                                                              | CUSIP: 345370860<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | EC               | CORP              | US        |     83636 | NS      | $972686.68    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    390034 | PA      | $387574.87    | 0.04%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| National Bank of Canada                           | National Bank Of Canada                                                                                    | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |   2700000 | PA      | $2700000.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Masterbrand Inc                                   | Masterbrand Inc                                                                                            | CUSIP: 57638P104<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | EC               | CORP              | US        |     22717 | NS      | $171513.35    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ITC HOLDINGS CORP                                 | ITC Holdings Corp                                                                                          | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    290000 | PA      | $244628.34    | 0.02%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-4F                                                                            | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138700 | PA      | $96532.98     | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418BPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12512 | PA      | $11984.92     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust I LLC 2019-1                                                                      | CUSIP: 03464MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10936 | PA      | $10875.38     | 0.00%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust                             | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55068 | PA      | $34785.13     | 0.00%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231872 | PA      | $218041.24    | 0.02%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                | Leviathan Bond Ltd                                                                                         | CUSIP: 000000000<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |    480000 | PA      | $464448.00    | 0.04%             | 2027-06-30      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                                           | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    680000 | PA      | $554071.05    | 0.05%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                               | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    480000 | PA      | $384819.71    | 0.04%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Match Group Inc                                   | Match Group Inc                                                                                            | CUSIP: 57667L107<br>LEI: 15OMOPB0A8K0EFUVD031 | Long             | EC               | CORP              | US        |     38218 | NS      | $1585664.82   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-1                                                                           | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206397 | PA      | $202925.59    | 0.02%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                                            | CUSIP: 3136AHAG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175633 | PA      | $172398.58    | 0.02%             | 2023-10-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                                                | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    375000 | PA      | $307546.26    | 0.03%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    707374 | PA      | $580335.58    | 0.05%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140KELG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230255 | PA      | $188322.13    | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15606000 | PA      | $13210702.32  | 1.21%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    550000 | PA      | $536130.86    | 0.05%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140H23B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59587 | PA      | $55657.70     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X6WG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156800 | PA      | $145806.00    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Blueprint Medicines Corp                          | Blueprint Medicines Corp                                                                                   | CUSIP: 09627Y109<br>LEI: 5299004CC60O9T5HVM83 | Long             | EC               | CORP              | US        |      1990 | NS      | $87181.90     | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137AYCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63562 | PA      | $2851.29      | 0.00%             | 2041-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73290 | PA      | $71997.48     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1026323 | PA      | $874058.87    | 0.08%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314999 | PA      | $280484.86    | 0.03%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58545 | PA      | $2703.59      | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | Long: 99D01MWP9 CDS USD R V 01MEVENT 2 ABX / Short: 99D01MWP9 CDS USD P F   .11000 1 ABX                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     62130 | OU      | $4556.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    301000 | PA      | $264088.15    | 0.02%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                             | KKR CLO 21 Ltd                                                                                             | CUSIP: 48252KAA7<br>LEI: 5493008X0MRR4A6VYF15 | Long             | ABS-CBDO         | CORP              | KY        |   1230000 | PA      | $1207249.92   | 0.11%             | 2031-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    535000 | PA      | $422880.58    | 0.04%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Ovintiv Inc                                       | Ovintiv Inc                                                                                                | CUSIP: 292505AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $191091.81    | 0.02%             | 2037-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132L6NA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5272 | PA      | $5086.46      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B1 Mortgage Trust                                                                           | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825239 | PA      | $36159.80     | 0.00%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                   | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     45000 | PA      | $31694.05     | 0.00%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-6                                                                 | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    825237 | PA      | $683719.30    | 0.06%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                            | NXP BV / NXP Funding LLC                                                                                   | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    165000 | PA      | $164778.91    | 0.02%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    650000 | PA      | $515025.36    | 0.05%             | 2039-07-09      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X6YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121928 | PA      | $113554.48    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GTP ACQUISITION PARTNERS                          | GTP Acquisition Partners I LLC                                                                             | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1355000 | PA      | $1262227.89   | 0.12%             | 2025-06-16      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                       | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     19531 | NS      | $6706554.78   | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                  | CUSIP: 31395QCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59023 | PA      | $2201.31      | 0.00%             | 2027-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                               | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16907.40     | 0.00%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                         | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     35000 | PA      | $29549.90     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-10 LLC                                                                                           | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445985 | PA      | $412371.78    | 0.04%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BTKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292697 | PA      | $269541.53    | 0.02%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ServiceNow Inc                                    | ServiceNow Inc                                                                                             | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |      6767 | NS      | $2627423.09   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                           | GSK Consumer Healthcare Capital US LLC                                                                     | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    490000 | PA      | $440625.75    | 0.04%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                          | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1405000 | PA      | $1301062.44   | 0.12%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523239 | PA      | $444370.40    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                           | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33215.44     | 0.00%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Sysco Corp                                        | Sysco Corp                                                                                                 | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |     71057 | NS      | $5432307.65   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Indonesia                             | Indonesia Government International Bond                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    100000 | PA      | $106771.34    | 0.01%             | 2023-06-14      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87113 | PA      | $81240.65     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                                  | CUSIP: 3136FGRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147773 | PA      | $131629.09    | 0.01%             | 2039-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    135000 | PA      | $98670.93     | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                                             | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    245000 | PA      | $161308.64    | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137F1XN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260938 | PA      | $240575.83    | 0.02%             | 2046-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                                                     | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    350000 | PA      | $278724.10    | 0.03%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138Y3XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140313 | PA      | $130937.64    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132KEUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118269 | PA      | $113855.83    | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1650000 | PA      | $-1674347.50  | -0.15%            | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Middleby Corp/The                                 | Middleby Corp/The                                                                                          | CUSIP: 596278101<br>LEI: JDFO86U9VQRBKW5KYA35 | Long             | EC               | CORP              | US        |     10570 | NS      | $1415323.00   | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| SentinelOne Inc                                   | SentinelOne Inc                                                                                            | CUSIP: 81730H109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12636 | NS      | $184359.24    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Dexcom Inc                                        | Dexcom Inc                                                                                                 | CUSIP: 252131107<br>LEI: 549300YSK3QDSFR5EU59 | Long             | EC               | CORP              | US        |     18150 | NS      | $2055306.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-AR1                                                                           | CUSIP: 3623414D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171776 | PA      | $164680.60    | 0.02%             | 2036-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    865000 | PA      | $770958.48    | 0.07%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137FUSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    777001 | PA      | $115986.25    | 0.01%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust           | DBJPM 20-C9 Mortgage Trust                                                                                 | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1008656 | PA      | $69993.55     | 0.01%             | 2053-09-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| TACO BELL FUNDING, LLC                            | Taco Bell Funding LLC                                                                                      | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1903770 | PA      | $1529427.90   | 0.14%             | 2051-08-25      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                  | FirstEnergy Corp                                                                                           | CUSIP: 337932107<br>LEI: 549300SVYJS666PQJH88 | Long             | EC               | CORP              | US        |    118593 | NS      | $4973790.42   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140FHLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92273 | PA      | $85658.68     | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| METINVEST BV                                      | Metinvest BV                                                                                               | CUSIP: 000000000<br>LEI: 635400TMCKVEU87EJ582 | Long             | DBT              | CORP              | NL        |    355000 | PA      | $204445.15    | 0.02%             | 2025-06-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization Equity Trust       | AASET 2020-1 Trust                                                                                         | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124544 | PA      | $99763.50     | 0.01%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 3622A2EW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305730 | PA      | $296158.24    | 0.03%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                           | Charles Schwab Corp/The                                                                                    | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |    156525 | NS      | $13032271.50  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11312.58     | 0.00%             | 2045-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 31283H3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44802 | PA      | $45488.61     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                          | Brazil Notas do Tesouro Nacional Serie F                                                                   | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  11104000 | PA      | $1837958.85   | 0.17%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16363 | PA      | $16747.16     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-HY4                                                                   | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183354 | PA      | $158599.12    | 0.01%             | 2047-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Qualtrics International Inc                       | Qualtrics International Inc                                                                                | CUSIP: 747601201<br>LEI: 549300NW34K5PVZGTN68 | Long             | EC               | CORP              | US        |     30991 | NS      | $321686.58    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2013-C13                                                                   | CUSIP: 92937UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98942.07     | 0.01%             | 2045-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1481271.67   | 0.14%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Duke Energy Corp                                  | Duke Energy Corp                                                                                           | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |     62357 | NS      | $6422147.43   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Octagon Investment Partners 45, Ltd.              | Octagon Investment Partners 45 Ltd                                                                         | CUSIP: 67577MAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1155000 | PA      | $1113198.24   | 0.10%             | 2035-04-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1304000 | PA      | $1110603.76   | 0.10%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107958 | PA      | $111370.45    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                           | Standard Industries Inc/NJ                                                                                 | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    125000 | PA      | $94062.91     | 0.01%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -44 | NC      | $32231.94     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-1                                                                            | CUSIP: 07386HA92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299608 | PA      | $291290.43    | 0.03%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Snowflake Inc                                     | Snowflake Inc                                                                                              | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Long             | EC               | CORP              | US        |      1802 | NS      | $258659.08    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Meta Platforms Inc                                | Meta Platforms Inc                                                                                         | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     68218 | NS      | $8209354.12   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Pfizer Inc                                        | Pfizer Inc                                                                                                 | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |    163431 | NS      | $8374204.44   | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| VeriSign Inc                                      | VeriSign Inc                                                                                               | CUSIP: 92343E102<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | EC               | CORP              | US        |     33551 | NS      | $6892717.44   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140JGWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151791 | PA      | $144731.84    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-3 Mortgage Loan Trust                                                                            | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848569 | PA      | $655989.43    | 0.06%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                   | Danske Bank A/S                                                                                            | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    450000 | PA      | $446272.55    | 0.04%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                   | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    160000 | PA      | $145729.22    | 0.01%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK8                                                                                             | CUSIP: 06650AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6842298 | PA      | $189134.81    | 0.02%             | 2050-11-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                               | Otis Worldwide Corp                                                                                        | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    455000 | PA      | $382290.69    | 0.04%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76466 | PA      | $78943.30     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                          | Baxter International Inc                                                                                   | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    695000 | PA      | $552103.36    | 0.05%             | 2032-02-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2014-150E                                                                   | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1008200.61   | 0.09%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Waste Connections Inc                             | Waste Connections Inc                                                                                      | CUSIP: 94106B101<br>LEI: 549300HDLRTPBQU69P29 | Long             | EC               | CORP              | CA        |     12495 | NS      | $1656337.20   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XJNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448148 | PA      | $380432.59    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                          | Cleco Corporate Holdings LLC                                                                               | CUSIP: 18551PAD1<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16859.18     | 0.00%             | 2046-05-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                             | Molina Healthcare Inc                                                                                      | CUSIP: 60855R100<br>LEI: 549300NQQCEQ46YHZ591 | Long             | EC               | CORP              | US        |      3931 | NS      | $1298094.82   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                                            | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    185000 | PA      | $176681.36    | 0.02%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    738000 | PA      | $569923.21    | 0.05%             | 2049-04-03      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Sarepta Therapeutics Inc                          | Sarepta Therapeutics Inc                                                                                   | CUSIP: 803607100<br>LEI: 549300IKDPIED8J8IG21 | Long             | EC               | CORP              | US        |      2254 | NS      | $292073.32    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94926.52     | 0.01%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp                        | Raytheon Technologies Corp                                                                                 | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | EC               | CORP              | US        |     56986 | NS      | $5751027.12   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A6U85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19745 | PA      | $563.50       | 0.00%             | 2027-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Edwards Lifesciences Corp                         | Edwards Lifesciences Corp                                                                                  | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |     38796 | NS      | $2894569.56   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| LANDSBANKI ISLANDS ESC                            | LANDSBANKI ISLANDS ESC                                                                                     | CUSIP: 515ESCAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | PA      | $0.00         | 0.00%             | 2020-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| SHELL INTERNATIONAL FIN                           | Shell International Finance BV                                                                             | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    125000 | PA      | $89660.16     | 0.01%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Philadelphia Authority for Industrial Development | PHILADELPHIA PA AUTH FOR INDL DEV PENSION FUNDING                                                          | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |   1235000 | PA      | $1290918.21   | 0.12%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                                                     | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    210000 | PA      | $203979.72    | 0.02%             | 2036-05-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WJBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63252 | PA      | $56734.81     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108799 | PA      | $108447.57    | 0.01%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XCPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    843438 | PA      | $805552.43    | 0.07%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                                            | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2333132 | PA      | $130483.70    | 0.01%             | 2029-05-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                         | Hess Corp                                                                                                  | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     87000 | PA      | $93703.73     | 0.01%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2013-GC13                                                                     | CUSIP: 36198EAG0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |   9795390 | PA      | $279.17       | 0.00%             | 2046-07-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QLD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445263 | PA      | $362990.43    | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                     | Boeing Co/The                                                                                              | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |     16350 | NS      | $3114511.50   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X4PR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25698 | PA      | $25142.45     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| National Bank Financial Inc.                      | National Bank Financial Inc.                                                                               | CUSIP: 000000000<br>LEI: 254900XZG349Z8CSZB72 | Long             | RA               | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XHB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319985 | PA      | $271853.47    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540087 | PA      | $440886.56    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36409 | PA      | $35767.04     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1385000 | PA      | $1405437.14   | 0.13%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                         | Qorvo Inc                                                                                                  | CUSIP: 74736KAH4<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |     65000 | PA      | $57475.60     | 0.01%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL                                | FS Luxembourg Sarl                                                                                         | CUSIP: 30315XAB0<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    245000 | PA      | $246085.35    | 0.02%             | 2025-12-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379QGG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18942 | PA      | $839.53       | 0.00%             | 2027-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336513 | PA      | $288224.93    | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2005-10                                                                     | CUSIP: 007036TQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68732 | PA      | $62187.89     | 0.01%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| WEX Inc                                           | WEX Inc                                                                                                    | CUSIP: 96208T104<br>LEI: T9M5IGROL1TL1G5OV478 | Long             | EC               | CORP              | US        |     14353 | NS      | $2348868.45   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246483 | PA      | $209239.73    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ACR60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406009 | PA      | $360485.81    | 0.03%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    670234 | PA      | $599600.93    | 0.06%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WXEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23630 | PA      | $22113.05     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     40000 | PA      | $34630.52     | 0.00%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR1 Trust                                                                             | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288369 | PA      | $270443.27    | 0.02%             | 2039-05-17      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2020-1                                                                 | CUSIP: 30167HAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312439 | PA      | $306314.85    | 0.03%             | 2025-12-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                 | HSBC Holdings PLC                                                                                          | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    620000 | PA      | $570788.41    | 0.05%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2018-4                                                                       | CUSIP: 59980YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736960 | PA      | $698075.43    | 0.06%             | 2066-04-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR4 Trust                                                                       | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    764424 | PA      | $709356.54    | 0.07%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WJEU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56532 | PA      | $50655.08     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR7 Trust                                                                       | CUSIP: 74333CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $336610.96    | 0.03%             | 2039-10-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380CEN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149626 | PA      | $24569.65     | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492631 | PA      | $452654.96    | 0.04%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138A9CW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107159 | PA      | $102910.36    | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2017-FHA1 Trust                                                                                       | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308777 | PA      | $274166.47    | 0.03%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2015-1 Ltd                                                                                        | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |   1063702 | PA      | $1052821.32   | 0.10%             | 2029-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                              | Taylor Morrison Communities Inc                                                                            | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    120000 | PA      | $103948.12    | 0.01%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2540000 | PA      | $2092721.88   | 0.19%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ANV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195495 | PA      | $8495.10      | 0.00%             | 2055-06-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    190000 | PA      | $145766.86    | 0.01%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                             | Continental Resources Inc/OK                                                                               | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    125000 | PA      | $116357.54    | 0.01%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                           | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     45000 | PA      | $40065.73     | 0.00%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                                                        | CUSIP: 20268JAB9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     80000 | PA      | $69619.85     | 0.01%             | 2029-10-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-27                                                                             | CUSIP: 12667GN33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166136 | PA      | $136176.08    | 0.01%             | 2035-08-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                  | Altria Group Inc                                                                                           | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |     34534 | NS      | $1578549.14   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Palo Alto Networks Inc                            | Palo Alto Networks Inc                                                                                     | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Long             | EC               | CORP              | US        |      5942 | NS      | $829146.68    | 0.08%             |  |  |  | No            |                  1 | On Loan: —       |
| AT&T INC                                          | AT&T Inc                                                                                                   | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    959000 | PA      | $639886.69    | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                                                | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $175861.98    | 0.02%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31419A2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9263 | PA      | $9223.60      | 0.00%             | 2040-12-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138ELE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58711 | PA      | $53419.63     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2407598 | PA      | $64599.96     | 0.01%             | 2027-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1085256 | PA      | $886473.50    | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                                                    | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246187 | PA      | $203062.36    | 0.02%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127137 | PA      | $111824.40    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                          | CUSIP: 442851AU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $83396.84     | 0.01%             | 2030-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    405000 | PA      | $420376.20    | 0.04%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co                                  | Georgia Power Co                                                                                           | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68690.63     | 0.01%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp                                    | Starbucks Corp                                                                                             | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | EC               | CORP              | US        |     33472 | NS      | $3320422.40   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| CSL Finance PLC                                   | CSL Finance PLC                                                                                            | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $188324.28    | 0.02%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2021-3                                                                   | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $353409.79    | 0.03%             | 2030-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339439 | PA      | $351026.80    | 0.03%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                      | Evergy Metro Inc                                                                                           | CUSIP: 30037DAA3<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8226.57      | 0.00%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                           | O'Reilly Automotive Inc                                                                                    | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    370000 | PA      | $357631.22    | 0.03%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2960000 | PA      | $-2916255.37  | -0.27%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XX LP                                                                                                  | CUSIP: 50188WAE8<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |    305177 | PA      | $303348.96    | 0.03%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Emerson Electric Co                               | Emerson Electric Co                                                                                        | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |      5149 | NS      | $494612.94    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYALTY PHARMA PLC                                | Royalty Pharma PLC                                                                                         | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    840000 | PA      | $635238.69    | 0.06%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660547 | PA      | $559604.66    | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X54P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35412 | PA      | $34717.40     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2011-GC5                                                                      | CUSIP: 36191YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142108 | PA      | $0.34         | 0.00%             | 2044-08-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                 | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    275000 | PA      | $169492.66    | 0.02%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4162000 | PA      | $2584667.01   | 0.24%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Limited               | SAPPHIRE AVIATION FINANCE II LTD                                                                           | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186658 | PA      | $141135.22    | 0.01%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                          | Berkshire Hathaway Energy Co                                                                               | CUSIP: 084659BD2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    165000 | PA      | $127712.38    | 0.01%             | 2031-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Science Applications International Corp           | Science Applications International Corp                                                                    | CUSIP: 808625107<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | EC               | CORP              | US        |     12113 | NS      | $1343695.09   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KH4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241918 | PA      | $207486.43    | 0.02%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449274 | PA      | $403536.59    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44224 | PA      | $43444.14     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                            | CUSIP: 37045XCY0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    215000 | PA      | $180935.93    | 0.02%             | 2030-06-21      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $83028.32     | 0.01%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                    | EPR Properties                                                                                             | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |    400000 | PA      | $341270.37    | 0.03%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TD Prime Svcs                                     | TD Prime Svcs                                                                                              | CUSIP: 000000000<br>LEI: 549300ZBQI1JB1844X09 | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $49037.07     | 0.00%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                 | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     65000 | PA      | $43873.95     | 0.00%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 31397CNW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9978 | PA      | $8282.22      | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XJLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128496 | PA      | $110034.42    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140HGL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312532 | PA      | $266169.51    | 0.02%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XCEW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216417 | PA      | $186182.26    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2357368 | PA      | $191696.45    | 0.02%             | 2030-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60000 | PA      | $58478.76     | 0.01%             | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KJGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309467 | PA      | $263956.18    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    462626 | PA      | $414159.48    | 0.04%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    485000 | PA      | $451834.70    | 0.04%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Finance America Mortgage Loan Trust               | Finance America Mortgage Loan Trust 2003-1                                                                 | CUSIP: 317350AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43496 | PA      | $41308.00     | 0.00%             | 2033-09-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 36241LUN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199577 | PA      | $198313.42    | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311409 | PA      | $254570.31    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KERNEL HOLDING SA                                 | Kernel Holding SA                                                                                          | CUSIP: 000000000<br>LEI: 5493003GR6L4DZOS2U12 | Long             | DBT              | CORP              | LU        |    520000 | PA      | $227797.23    | 0.02%             | 2024-10-17      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84368 | PA      | $78225.49     | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Laboratory Corp of America Holdings               | Laboratory Corp of America Holdings                                                                        | CUSIP: 50540R409<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | EC               | CORP              | US        |      1845 | NS      | $434460.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228810 | PA      | $194182.82    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                                            | CUSIP: 3136B6XE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4165557 | PA      | $365885.88    | 0.03%             | 2034-06-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    805494 | PA      | $772126.46    | 0.07%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WVQ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34144 | PA      | $31066.34     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XHDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200565 | PA      | $177840.08    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                                             | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |     38630 | NS      | $3284322.60   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pretium Mortgage Credit Partners I 2021-NPL2 LLC                                                           | CUSIP: 741386AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506450 | PA      | $446573.80    | 0.04%             | 2060-06-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Ingersoll Rand Inc                                | Ingersoll Rand Inc                                                                                         | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |     25499 | NS      | $1332322.75   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Caterpillar Inc                                   | Caterpillar Inc                                                                                            | CUSIP: 149123101<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | EC               | CORP              | US        |      7709 | NS      | $1846768.04   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: B9D0REBG2 CDS USD R V 03MEVENT 2 CCPCORPORATE / Short: B9D0REBG2 CDS USD P F  1.00000 1 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   1491000 | OU      | $76051.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1001507 | PA      | $866103.00    | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                                               | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    220000 | PA      | $213220.75    | 0.02%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-10                                                                             | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434016 | PA      | $113562.88    | 0.01%             | 2036-06-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10896000 | PA      | $10922876.07  | 1.00%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                                                                         | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    596000 | PA      | $567342.73    | 0.05%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344087 | PA      | $52041.36     | 0.00%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $292691.78    | 0.03%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C23                                                        | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2732680 | PA      | $20080.28     | 0.00%             | 2047-09-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                               | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $208465.62    | 0.02%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                               | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    215000 | PA      | $181470.75    | 0.02%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                                                 | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    585000 | PA      | $475420.70    | 0.04%             | 2030-09-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                 | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    180000 | PA      | $123876.23    | 0.01%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2010000 | PA      | $1698371.49   | 0.16%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8715000 | PA      | $7089306.17   | 0.65%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Envision Healthcare Corporation                   | Envision Healthcare Corporation 2022 Second Out Term Loan                                                  | CUSIP: 29373UAF8<br>LEI: 549300OL60X0LPKY8N60 | Long             | LON              | CORP              | US        |         0 | PA      | $0.09         | 0.00%             | 2027-03-31      | Variable      | 8.83%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                         | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55792.47     | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2003-3                                                               | CUSIP: 576433EE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48165 | PA      | $43493.49     | 0.00%             | 2033-09-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| ON Semiconductor Corp                             | ON Semiconductor Corp                                                                                      | CUSIP: 682189105<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | EC               | CORP              | US        |     45484 | NS      | $2836837.08   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA Healthcare Inc                                | HCA Healthcare Inc                                                                                         | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |     19006 | NS      | $4560679.76   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2019-GS7                                                                       | CUSIP: 52474MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715702 | PA      | $714426.53    | 0.07%             | 2059-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2020-4                                                              | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $133584.84    | 0.01%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                    | Amazon.com Inc                                                                                             | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    135000 | PA      | $119599.17    | 0.01%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                      | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    405000 | PA      | $402227.15    | 0.04%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71365 | PA      | $66517.09     | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 3617GGRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89969 | PA      | $85644.55     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-3                                                          | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    657144 | PA      | $593633.77    | 0.05%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-OA5                                                                   | CUSIP: 126694M96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172688 | PA      | $140837.57    | 0.01%             | 2046-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                                                   | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    300000 | PA      | $218403.81    | 0.02%             | 2041-04-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-P2                                                                     | CUSIP: 14686JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970000 | PA      | $944540.22    | 0.09%             | 2027-04-12      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| KLA Corp                                          | KLA Corp                                                                                                   | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |      7476 | NS      | $2818676.28   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| GO DADDY OPCO/FINCO                               | Go Daddy Operating Co LLC / GD Finance Co Inc                                                              | CUSIP: 38016LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    983000 | PA      | $930370.23    | 0.09%             | 2027-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cirrus Funding 2018-1, Ltd                        | Cirrus Funding 2018-1 Ltd                                                                                  | CUSIP: 17275GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    940000 | PA      | $901581.26    | 0.08%             | 2037-01-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AES Corp/The                                      | AES Corp/The                                                                                               | CUSIP: 00130H105<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | EC               | CORP              | US        |    134618 | NS      | $3871613.68   | 0.36%             |  |  |  | No            |                  1 | On Loan: —       |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $106538.16    | 0.01%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                            | Diamondback Energy Inc                                                                                     | CUSIP: 25278X109<br>LEI: 549300R22LSX6OHWEN64 | Long             | EC               | CORP              | US        |      8354 | NS      | $1142660.12   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57927 | PA      | $54320.28     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XVIII Ltd                                                                                             | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $876987.90    | 0.08%             | 2031-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Electronic Arts Inc                               | Electronic Arts Inc                                                                                        | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |      9428 | NS      | $1151913.04   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| McKesson Corp                                     | McKesson Corp                                                                                              | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |      5998 | NS      | $2249969.76   | 0.21%             |  |  |  | No            |                  1 | On Loan: —       |
| Paragon Offshore Finance Company                  | Paragon Offshore Finance Company Term Loan B                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |       587 | PA      | $0.00         | 0.00%             | 2022-07-18      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM2                                                                                             | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    598177 | PA      | $495348.42    | 0.05%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                              | Lockheed Martin Corp                                                                                       | CUSIP: 539830BV0<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    755000 | PA      | $771638.16    | 0.07%             | 2027-11-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1483527 | PA      | $131675.51    | 0.01%             | 2030-05-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     65000 | PA      | $70534.03     | 0.01%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Nokia OYJ                                         | Nokia Oyj                                                                                                  | CUSIP: 654902AE5<br>LEI: 549300A0JPRWG1KI7U06 | Long             | DBT              | CORP              | FI        |    720000 | PA      | $679730.08    | 0.06%             | 2027-06-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Emera Inc                                         | Emera Inc                                                                                                  | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $230452.80    | 0.02%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                                                  | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    925000 | PA      | $917584.53    | 0.08%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                        | Humana Inc                                                                                                 | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |      8426 | NS      | $4315712.94   | 0.40%             |  |  |  | No            |                  1 | On Loan: —       |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                                                     | CUSIP: 62954HAV0<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    116000 | PA      | $108146.69    | 0.01%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | S+P500 EMINI FUT MAR23                                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        41 | NC      | $-180950.69   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EDISON INTERNATIONAL                              | Edison International                                                                                       | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    115000 | PA      | $120092.35    | 0.01%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6847 | PA      | $6961.94      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                            | Toll Brothers Finance Corp                                                                                 | CUSIP: 88947EAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $127045.08    | 0.01%             | 2025-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3643.69      | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    230000 | PA      | $180136.54    | 0.02%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-20                                                                             | CUSIP: 362351AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47789 | PA      | $24255.05     | 0.00%             | 2046-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2019-R03                                                               | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19882 | PA      | $19833.48     | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fortive Corp                                      | Fortive Corp                                                                                               | CUSIP: 34959J108<br>LEI: 549300MU9YQJYHDQEF63 | Long             | EC               | CORP              | US        |     18462 | NS      | $1186183.50   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF PANAMA                                | Panama Government International Bond                                                                       | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   1170000 | PA      | $753637.87    | 0.07%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2555000 | PA      | $2179734.38   | 0.20%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                         | Avant Loans Funding Trust 2021-REV1                                                                        | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455000 | PA      | $433360.47    | 0.04%             | 2030-07-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                              | OneMain Finance Corp                                                                                       | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    155000 | PA      | $149926.85    | 0.01%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                 | ILLINOIS ST                                                                                                | CUSIP: 452151LE1<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    242727 | PA      | $242853.86    | 0.02%             | 2023-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                                                       | CUSIP: 92933BAQ7<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    855000 | PA      | $736453.78    | 0.07%             | 2030-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2020-Z2                                                                  | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114020 | PA      | $110924.58    | 0.01%             | 2025-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38376VPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240989 | PA      | $51945.18     | 0.00%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                          | EQT Corp                                                                                                   | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44758.20     | 0.00%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                         | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $308523.81    | 0.03%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Rapid7 Inc                                        | Rapid7 Inc                                                                                                 | CUSIP: 753422104<br>LEI: 549300GNVG5D60KEYN14 | Long             | EC               | CORP              | US        |      4392 | NS      | $149240.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A9BW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44531 | PA      | $5814.48      | 0.00%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-2                                                                            | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292687 | PA      | $240233.17    | 0.02%             | 2066-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                         | Apple Inc                                                                                                  | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    131224 | NS      | $17049934.32  | 1.57%             |  |  |  | No            |                  1 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379GUD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340247 | PA      | $27617.17     | 0.00%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                         | Hess Corp                                                                                                  | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    190000 | PA      | $206282.97    | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $173836.72    | 0.02%             | 2030-01-17      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                          | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    630000 | PA      | $545996.38    | 0.05%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| DREYFUS TREASURY & AGENCY LEX                     | DREYFUS TREASURY & AGENCY LEX                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   5000000 | NS      | $5000000.00   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| BP PLC                                            | BP PLC                                                                                                     | CUSIP: 055622104<br>LEI: 213800LH1BZH3DI6G760 | Long             | EC               | CORP              | GB        |    281008 | NS      | $9815609.44   | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7861 | PA      | $7959.68      | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                      | Danaher Corp                                                                                               | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |     26977 | NS      | $7160235.34   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Arab Republic of Egypt                            | Egypt Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $132935.20    | 0.01%             | 2047-01-31      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Reynolds American Inc                             | Reynolds American Inc                                                                                      | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    120000 | PA      | $108319.48    | 0.01%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                                                        | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25276.72     | 0.00%             | 2025-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EKQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369704 | PA      | $336387.91    | 0.03%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AR4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238302 | PA      | $9589.68      | 0.00%             | 2046-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                                                          | CUSIP: 29379VBQ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40120.67     | 0.00%             | 2048-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 31396VGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51246 | PA      | $51656.21     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                     | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    110000 | PA      | $106299.15    | 0.01%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals Inc                     | Regeneron Pharmaceuticals Inc                                                                              | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |      3084 | NS      | $2225075.16   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296637 | PA      | $269902.23    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XDRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1699329 | PA      | $1451055.95   | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336031 | PA      | $286172.80    | 0.03%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133AGCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393992 | PA      | $323728.54    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XHG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965244 | PA      | $924941.83    | 0.09%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                                                | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    180000 | PA      | $173700.00    | 0.02%             | 2024-03-30      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Builders FirstSource Inc                          | Builders FirstSource Inc                                                                                   | CUSIP: 12008R107<br>LEI: 549300W0SKP6L3H7DP63 | Long             | EC               | CORP              | US        |     30861 | NS      | $2002261.68   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                                           | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    260000 | PA      | $212802.04    | 0.02%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                                              | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    315000 | PA      | $308447.33    | 0.03%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38375GLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37375 | PA      | $4288.81      | 0.00%             | 2042-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TriNet Group Inc                                  | TriNet Group Inc                                                                                           | CUSIP: 896288107<br>LEI: 5299003FJVBETSFKE990 | Long             | EC               | CORP              | US        |     14154 | NS      | $959641.20    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-RAMP1                                            | CUSIP: 25150MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166386 | PA      | $153420.36    | 0.01%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2018-BNK10                                                                                            | CUSIP: 065404BB0<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1583403.46   | 0.15%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378EAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41530 | PA      | $1788.66      | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Venture CLO 43 Limited                            | Venture 43 CLO Ltd                                                                                         | CUSIP: 92290CAB5<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $484600.50    | 0.04%             | 2034-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140JLA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365741 | PA      | $348736.89    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380CNU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53726 | PA      | $11279.81     | 0.00%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23916 | PA      | $1000.25      | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792136 | PA      | $646650.78    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                    | William Carter Co/The                                                                                      | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |    765000 | PA      | $733802.67    | 0.07%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1330000 | PA      | $1009133.15   | 0.09%             | 2033-10-25      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                                                        | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    413250 | PA      | $372234.11    | 0.03%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21935 | PA      | $22755.89     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-A3                                                                           | CUSIP: 46628KAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11721 | PA      | $9444.84      | 0.00%             | 2036-05-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    315000 | PA      | $228528.17    | 0.02%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                           | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512200 | PA      | $425987.52    | 0.04%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378JAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62458 | PA      | $7997.66      | 0.00%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A3NU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416000 | PA      | $378406.62    | 0.03%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MIT UFJ TR NY                                     | MIT UFJ TR NY                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000600 | PA      | $2000600.00   | 0.18%             | 2023-02-14      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1770000 | PA      | $-1774365.88  | -0.16%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Syndax Pharmaceuticals Inc                        | Syndax Pharmaceuticals Inc                                                                                 | CUSIP: 87164F105<br>LEI: 529900OF94TRHKZVBS87 | Long             | EC               | CORP              | US        |      5925 | NS      | $150791.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7712136 | PA      | $7063674.08   | 0.65%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140EWKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38461 | PA      | $36823.86     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179394 | PA      | $146291.52    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-C20                                                                   | CUSIP: 92890FAT3<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |     84713 | PA      | $82452.97     | 0.01%             | 2047-05-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37829 | PA      | $37501.09     | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | Comm 2014-UBS2 Mortgage Trust                                                                              | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235125 | PA      | $229789.28    | 0.02%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31419AU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16062 | PA      | $15424.89     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BLP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96347 | PA      | $86649.11     | 0.01%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                                           | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    240000 | PA      | $218293.38    | 0.02%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| New York Times Co/The                             | New York Times Co/The                                                                                      | CUSIP: 650111107<br>LEI: 529900J1WEMMIW7BOH57 | Long             | EC               | CORP              | US        |     48319 | NS      | $1568434.74   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                 | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    465000 | PA      | $425725.51    | 0.04%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                                                | CUSIP: 61764PBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1745947 | PA      | $23243.45     | 0.00%             | 2047-12-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160559 | PA      | $135639.12    | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324718 | PA      | $301246.11    | 0.03%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2021-4 LLC                                                                                            | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    552650 | PA      | $494862.26    | 0.05%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3131YBFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171505 | PA      | $158775.05    | 0.01%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                                                        | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    280000 | PA      | $261514.53    | 0.02%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                        | Unum Group                                                                                                 | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     45000 | PA      | $30661.06     | 0.00%             | 2051-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QKQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109137 | PA      | $92944.50     | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                | Angolan Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    400000 | PA      | $350224.00    | 0.03%             | 2029-11-26      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                                                                        | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192837.76    | 0.02%             | 2032-08-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                                                | CUSIP: 12659DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $171282.11    | 0.02%             | 2039-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                                                       | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    300000 | PA      | $279271.14    | 0.03%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| REPUBLIC OF INDONESIA                             | Indonesia Government International Bond                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    100000 | PA      | $104636.44    | 0.01%             | 2024-07-18      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| Clean Harbors Inc                                 | Clean Harbors Inc                                                                                          | CUSIP: 184496107<br>LEI: 5493000SJVZVZJKHJF48 | Long             | EC               | CORP              | US        |     10693 | NS      | $1220285.16   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-5                                                                 | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332812 | PA      | $307644.83    | 0.03%             | 2059-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1045000 | PA      | $625874.44    | 0.06%             | 2041-04-14      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                                             | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1049024.76   | 0.10%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Trupanion Inc                                     | Trupanion Inc                                                                                              | CUSIP: 898202106<br>LEI: 549300J86GFKIDGMQP18 | Long             | EC               | CORP              | US        |     36597 | NS      | $1739455.41   | 0.16%             |  |  |  | No            |                  1 | On Loan: —       |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    410000 | PA      | $379305.74    | 0.03%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Inc                                   | T-Mobile US Inc                                                                                            | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |     42232 | NS      | $5912480.00   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379F3V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51715 | PA      | $1231.40      | 0.00%             | 2041-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                                                                   | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    190000 | PA      | $165496.62    | 0.02%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132JN3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13738 | PA      | $13513.50     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    310000 | PA      | $223652.42    | 0.02%             | 2038-02-08      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Livent Corp                                       | Livent Corp                                                                                                | CUSIP: 53814L108<br>LEI: 254900OOLQ2VNMZTJL47 | Long             | EC               | CORP              | US        |     33591 | NS      | $667453.17    | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| GCAT                                              | GCAT 2021-NQM5 Trust                                                                                       | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1047793 | PA      | $823458.70    | 0.08%             | 2066-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016743 | PA      | $933906.41    | 0.09%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                                                   | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    128000 | PA      | $112173.56    | 0.01%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WVCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24979 | PA      | $24538.08     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                | Conagra Brands Inc                                                                                         | CUSIP: 205887CF7<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    255000 | PA      | $212429.41    | 0.02%             | 2027-11-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HSBC Securities,Inc.                              | HSBC Securities,Inc.                                                                                       | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | RA               | CORP              | US        |   4000000 | PA      | $4000000.00   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Charter Communications Inc                        | Charter Communications Inc                                                                                 | CUSIP: 16119P108<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Long             | EC               | CORP              | US        |      2834 | NS      | $961009.40    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR23                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -17 | NC      | $491146.47    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KTMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79472 | PA      | $67680.54     | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                                                   | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     31000 | PA      | $20749.26     | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1139381 | PA      | $21190.88     | 0.00%             | 2026-10-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2022-2                                                               | CUSIP: 96042VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $545232.07    | 0.05%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO XIV Ltd                                                                                       | CUSIP: 87159QBV9<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |     48951 | PA      | $48929.05     | 0.00%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BENIN INTL GOV BOND                               | Benin Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |    620000 | PA      | $480111.80    | 0.04%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                                           | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    685000 | PA      | $648813.92    | 0.06%             | 2037-02-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140F4UB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25482 | PA      | $24370.99     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132LQCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273009 | PA      | $253553.13    | 0.02%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Fin Square Govt Fd                  | Goldman Sachs Fin Square Govt Fd                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets Inc                      | Citigroup Global Markets Inc                                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                    | Var Energi ASA                                                                                             | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    530000 | PA      | $539858.94    | 0.05%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Rexford Industrial Realty Inc                     | Rexford Industrial Realty Inc                                                                              | CUSIP: 76169C100<br>LEI: 549300MSLO0DF0EMX355 | Long             | EC               |  | US        |     29159 | NS      | $1593247.76   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2018-C2                                                                               | CUSIP: 05491UBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $397955.62    | 0.04%             | 2051-12-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 9128284R8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9300000 | PA      | $8990847.63   | 0.83%             | 2025-05-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X6MR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160373 | PA      | $152624.71    | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                          | CUSIP: 3620ALXM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18835 | PA      | $16821.97     | 0.00%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AKT45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243811 | PA      | $47768.22     | 0.00%             | 2044-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                           | Booz Allen Hamilton Inc                                                                                    | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1169470.67   | 0.11%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR3 Trust                                                                       | CUSIP: 74331UAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $253805.16    | 0.02%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2019-E                                                                       | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350198 | PA      | $344635.14    | 0.03%             | 2070-11-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379PN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477093 | PA      | $70284.52     | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2021-2                                                                  | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198972 | PA      | $153039.38    | 0.01%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ABFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257520 | PA      | $11735.20     | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                 | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3490000 | PA      | $-3106734.34  | -0.29%            | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2022-SFR2 Trust                                                                         | CUSIP: 89616TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    771961 | PA      | $725020.67    | 0.07%             | 2040-07-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2020-C7                                                                               | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280000 | PA      | $75160.06     | 0.01%             | 2053-04-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265988 | PA      | $248523.08    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alkermes PLC                                      | Alkermes PLC                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |     16719 | NS      | $436867.47    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     60000 | PA      | $45833.27     | 0.00%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                         | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    260000 | PA      | $240562.73    | 0.02%             | 2045-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    885000 | PA      | $588024.56    | 0.05%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                               | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $86523.80     | 0.01%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Performance Food Group Co                         | Performance Food Group Co                                                                                  | CUSIP: 71377A103<br>LEI: 549300EUK8GR9IT1YK57 | Long             | EC               | CORP              | US        |    282946 | NS      | $16521216.94  | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EQFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108589 | PA      | $107647.94    | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    910000 | PA      | $725716.66    | 0.07%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 31329QG54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425592 | PA      | $405007.45    | 0.04%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health Inc                          | Elanco Animal Health Inc                                                                                   | CUSIP: 28414H103<br>LEI: 549300SHPNDCE059M934 | Long             | EC               | CORP              | US        |     66319 | NS      | $810418.18    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Novartis AG                                       | Novartis AG                                                                                                | CUSIP: 66987V109<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |     28024 | NS      | $2542337.28   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Merck & Co Inc                                    | Merck & Co Inc                                                                                             | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     76106 | NS      | $8443960.70   | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     55000 | PA      | $43040.87     | 0.00%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                                                         | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    175000 | PA      | $170870.15    | 0.02%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                             | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    235000 | PA      | $205396.07    | 0.02%             | 2027-01-13      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4054613 | PA      | $86095.65     | 0.01%             | 2027-03-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                                              | CUSIP: 59261AG35<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    505000 | PA      | $472218.48    | 0.04%             | 2045-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31418BYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59691 | PA      | $57097.32     | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2006-2                                                                              | CUSIP: 07388DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144576 | PA      | $122754.04    | 0.01%             | 2036-07-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                             | Finance Department Government of Sharjah                                                                   | CUSIP: 38381CAC6<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |    550000 | PA      | $455622.20    | 0.04%             | 2033-03-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78004 | PA      | $13851.06     | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140X63P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299287 | PA      | $255539.10    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180644 | PA      | $189570.97    | 0.02%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                                                        | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    625000 | PA      | $614534.61    | 0.06%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2020-6 LLC                                                                                            | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138867 | PA      | $128138.68    | 0.01%             | 2025-11-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3040000 | PA      | $1976356.26   | 0.18%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                         | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    155000 | PA      | $151645.80    | 0.01%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO X LTD                                                                                        | CUSIP: 94949WAM8<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |   1065000 | PA      | $1028860.29   | 0.09%             | 2032-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132152 | PA      | $27961.78     | 0.00%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    635000 | PA      | $479124.35    | 0.04%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| PTC Therapeutics Inc                              | PTC Therapeutics Inc                                                                                       | CUSIP: 69366J200<br>LEI: 549300UJLWOIWFDGB318 | Long             | EC               | CORP              | US        |      5400 | NS      | $206118.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 31398EX82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224757 | PA      | $220728.02    | 0.02%             | 2039-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344004 | PA      | $52189.56     | 0.00%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1004478 | PA      | $857063.09    | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379FK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125685 | PA      | $16568.45     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                 | CUSIP: 458140BZ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    400000 | PA      | $380486.03    | 0.03%             | 2029-08-05      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                    | Eli Lilly & Co                                                                                             | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     32498 | NS      | $11889068.32  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KJJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    967285 | PA      | $827229.35    | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                               | Global Payments Inc                                                                                        | CUSIP: 37940X102<br>LEI: 549300NOMHGVQBX6S778 | Long             | EC               | CORP              | US        |     34728 | NS      | $3449184.96   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     17327 | NS      | $2323550.70   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com Inc                                    | Amazon.com Inc                                                                                             | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    255900 | NS      | $21495600.00  | 1.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137AQ6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88259 | PA      | $82078.03     | 0.01%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125284 | PA      | $20365.71     | 0.00%             | 2041-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KME92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87411 | PA      | $74222.67     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                 | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1680000 | PA      | $1407563.24   | 0.13%             | 2053-01-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133AQUG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160348 | PA      | $136127.67    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp          | Westinghouse Air Brake Technologies Corp                                                                   | CUSIP: 929740108<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | EC               | CORP              | US        |     35122 | NS      | $3505526.82   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| SHELL INTERNATIONAL FIN                           | Shell International Finance BV                                                                             | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    155000 | PA      | $104953.22    | 0.01%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-25                                                                    | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67549 | PA      | $55908.62     | 0.01%             | 2035-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2022-SHIP                                                                | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $88740.23     | 0.01%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140KTS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652800 | PA      | $532905.01    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NY                                       | CITIBANK NY                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000071 | PA      | $1000071.00   | 0.09%             | 2023-03-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma PLC                                | Royalty Pharma PLC                                                                                         | CUSIP: 000000000<br>LEI: 549300FGFN7VOK8BZR03 | Long             | EC               | CORP              | GB        |      3289 | NS      | $129981.28    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1847866 | PA      | $1654464.77   | 0.15%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Bofa Securities, Inc                              | Bofa Securities, Inc                                                                                       | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |  14551218 | PA      | $14551217.65  | 1.34%             |  |  |  | No            |                  2 | On Loan: No      |
| GAP INC/THE                                       | Gap Inc/The                                                                                                | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    487000 | PA      | $343529.80    | 0.03%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    225000 | PA      | $180233.96    | 0.02%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2006-NC4                                                            | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8013 | PA      | $6935.72      | 0.00%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                               | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $188932.33    | 0.02%             | 2033-08-09      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BCJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74888 | PA      | $2038.85      | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                                             | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    180000 | PA      | $186515.69    | 0.02%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: —       |
| EQUINOR ASA                                       | Equinor ASA                                                                                                | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    110000 | PA      | $86748.11     | 0.01%             | 2050-04-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| EQUINOR ASA                                       | Equinor ASA                                                                                                | CUSIP: 29446MAG7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    170000 | PA      | $139722.12    | 0.01%             | 2040-04-06      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    635000 | PA      | $378286.36    | 0.03%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                | Royalty Pharma PLC                                                                                         | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    395000 | PA      | $308717.39    | 0.03%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132HLX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107429 | PA      | $103283.58    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                             | Duke Energy Carolinas LLC                                                                                  | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    275000 | PA      | $237327.30    | 0.02%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL4 Trust                                                                                       | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304690 | PA      | $278370.73    | 0.03%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Tullow Oil PLC                                    | Tullow Oil PLC                                                                                             | CUSIP: 899415AE3<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $301758.60    | 0.03%             | 2025-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-3                                                                              | CUSIP: 362334BS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    536765 | PA      | $291181.26    | 0.03%             | 2036-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                  | Alabama Power Co                                                                                           | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    225000 | PA      | $186190.67    | 0.02%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136B9YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571742 | PA      | $55891.13     | 0.01%             | 2039-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-C20                                                                   | CUSIP: 92890FAU0<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |    160281 | PA      | $156124.77    | 0.01%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                   | CSL Finance PLC                                                                                            | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    325000 | PA      | $306324.47    | 0.03%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                | Steel Dynamics Inc                                                                                         | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     20000 | PA      | $12966.57     | 0.00%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905807 | PA      | $795839.89    | 0.07%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                           | Transcontinental Gas Pipe Line Co LLC                                                                      | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $108474.21    | 0.01%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31417FVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25987 | PA      | $23644.91     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C2                                                                      | CUSIP: 90276CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707844 | PA      | $26303.19     | 0.00%             | 2050-08-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -29 | NC      | $32799.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Baxter International Inc                          | Baxter International Inc                                                                                   | CUSIP: 071813109<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | EC               | CORP              | US        |     34893 | NS      | $1778496.21   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Bristol-Myers Squibb Co                           | Bristol-Myers Squibb Co                                                                                    | CUSIP: 110122108<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | EC               | CORP              | US        |     20069 | NS      | $1443964.55   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Genpact Ltd                                       | Genpact Ltd                                                                                                | CUSIP: 000000000<br>LEI: 529900OSEC6Q0L4L5B35 | Long             | EC               | CORP              | BM        |     27876 | NS      | $1291216.32   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                               | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    517000 | PA      | $390897.66    | 0.04%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                  | CUSIP: 3128UGL47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7050 | PA      | $6900.97      | 0.00%             | 2041-02-01      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-CCRE4 Mortgage Trust                                                                             | CUSIP: 12624QAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16325 | PA      | $16234.30     | 0.00%             | 2045-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Ingevity Corp                                     | Ingevity Corp                                                                                              | CUSIP: 45688C107<br>LEI: 5493009UTFC4B5IMGF87 | Long             | EC               | CORP              | US        |     13224 | NS      | $931498.56    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SERVICE CORP INTL                                 | Service Corp International/US                                                                              | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    858000 | PA      | $804396.27    | 0.07%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS2                                                                       | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305138 | PA      | $275811.10    | 0.03%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-CCRE3 Mortgage Trust                                                                             | CUSIP: 12624PAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273831 | PA      | $18958.94     | 0.00%             | 2045-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp        | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                                                   | CUSIP: 341271AD6<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    975000 | PA      | $895198.49    | 0.08%             | 2025-07-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                            | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    205000 | PA      | $207968.07    | 0.02%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL CHICAGO                          | BANK OF MONTREAL CHICAGO                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1001351 | PA      | $1001350.80   | 0.09%             | 2023-11-08      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| American International Group Inc                  | American International Group Inc                                                                           | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |     55152 | NS      | $3487812.48   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-6                                                              | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $162132.61    | 0.01%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                          | CUSIP: 442851AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $89723.30     | 0.01%             | 2026-10-01      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WMWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237639 | PA      | $216223.91    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC US GOVT FUND LEX                             | HSBC US GOVT FUND LEX                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2006-TOP21                                                                  | CUSIP: 617451CX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12137 | PA      | $5321.40      | 0.00%             | 2052-10-12      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                          | Kaiser Foundation Hospitals                                                                                | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    110000 | PA      | $79702.37     | 0.01%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                           | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320925 | PA      | $277227.85    | 0.03%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138XHAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35391 | PA      | $34766.23     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                                            | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1885494 | PA      | $28344.63     | 0.00%             | 2030-01-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR23                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -35 | NC      | $310429.12    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2019-4                                                                 | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    844748 | PA      | $830570.27    | 0.08%             | 2025-09-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                           | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3460000 | PA      | $2058700.00   | 0.19%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93054 | PA      | $14794.85     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                      | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    200000 | PA      | $168707.38    | 0.02%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: —       |
| GO DADDY OPCO/FINCO                               | Go Daddy Operating Co LLC / GD Finance Co Inc                                                              | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $142322.63    | 0.01%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379AMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210717 | PA      | $186646.95    | 0.02%             | 2041-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CROWN FINANCE US, INC.                            | Crown Finance US, Inc. 2022 DIP Term Loan                                                                  | CUSIP: 22834KAL5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     39549 | PA      | $38995.68     | 0.00%             | 2023-09-07      | Variable      | 14.42%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38375C5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    582047 | PA      | $120219.82    | 0.01%             | 2042-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic of Senegal                               | Senegal Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    485000 | PA      | $399640.00    | 0.04%             | 2033-05-23      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    330000 | PA      | $320729.39    | 0.03%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140FXGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635290 | PA      | $622581.88    | 0.06%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9                                              | CUSIP: 46639EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $107542.25    | 0.01%             | 2047-12-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips                                    | ConocoPhillips                                                                                             | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |     67502 | NS      | $7965236.00   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 42 CLO Ltd                                                                                         | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1256694.40   | 0.12%             | 2034-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720601 | PA      | $608226.94    | 0.06%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Brighthouse Funds Trust II

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer